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subject:"Volatilität"
type:"article"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH-Modell"
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Volatilität
ARCH-Modell
Estimation
76
Schätzung
76
Theorie
38
Theory
38
Volatility
33
Capital income
30
Kapitaleinkommen
30
Börsenkurs
28
Share price
28
Forecasting model
23
Prognoseverfahren
23
ARCH model
22
Time series analysis
17
Zeitreihenanalyse
17
Estimation theory
15
Schätztheorie
15
Risikoprämie
12
Risk premium
12
Risikomaß
11
Risk measure
11
Stochastic process
9
Stochastischer Prozess
9
Statistical distribution
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Aktienmarkt
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Correlation
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Korrelation
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Marktmikrostruktur
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Regression analysis
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Regressionsanalyse
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Stock market
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USA
7
United States
7
CAPM
6
Risiko
6
Risk
6
Nichtparametrisches Verfahren
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41
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English
41
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Lanne, Markku
2
Okou, Cédric
2
Olmo, Jose
2
Trojani, Fabio
2
Aguilar, Mike
1
Ahoniemi, Katja
1
Asai, Manabu
1
Audrino, Francesco
1
Badescu, Alexandru
1
Balter, Janine
1
Bannouh, Karim
1
Barndorff-Nielsen, Ole E.
1
Barunik, Jozef
1
Bos, Charles S.
1
Caldeira, João F.
1
Caporin, Massimiliano
1
Chen, Yi-ting
1
Cui, Zhenyu
1
Dahlhaus, Rainer
1
Dijk, Dick van
1
Dufour, Jean-Marie
1
Engle, Robert F.
1
Escanciano, J. Carlos
1
Feunou, Bruno
1
Francq, Christian
1
Fuertes, Ana María
1
Gagliardini, Patrick
1
Garcia, René
1
Ghysels, Eric
1
Gonçalves, Sílvia
1
Haas, Markus
1
Hansen, Peter Reinhard
1
Hao, Jinji
1
Hassler, Uwe
1
Horváth, Lajos
1
Hounyo, Ulrich
1
Jacquier, Eric
1
Jahan-Parvar, Mohammad R.
1
Janus, Paweł
1
Jondeau, Eric
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Energy economics
155
Finance research letters
143
Applied economics
141
Economic modelling
126
International review of economics & finance : IREF
125
International review of financial analysis
111
Journal of econometrics
111
The North American journal of economics and finance : a journal of financial economics studies
105
Journal of empirical finance
91
Journal of banking & finance
90
Applied economics letters
88
Applied financial economics
84
Research in international business and finance
81
Journal of international financial markets, institutions & money
77
Journal of international money and finance
72
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
71
The journal of futures markets
70
Economics letters
62
Journal of risk and financial management : JRFM
58
International journal of forecasting
54
The European journal of finance
53
International journal of finance & economics : IJFE
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
48
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
International Journal of Energy Economics and Policy : IJEEP
40
International journal of economics and financial issues : IJEFI
39
Pacific-Basin finance journal
39
International journal of economics and finance
38
Quantitative finance
38
Journal of financial economics
37
Journal of financial econometrics
33
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
32
Cogent economics & finance
31
Econometric reviews
30
Journal of economic dynamics & control
30
Journal of forecasting
29
Review of quantitative finance and accounting
29
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
28
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ECONIS (ZBW)
41
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1
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
2
Downside variance risk premium
Feunou, Bruno
;
Jahan-Parvar, Mohammad R.
;
Okou, Cédric
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 341-383
Persistent link: https://www.econbiz.de/10011987780
Saved in:
3
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
5
Real-Time GARCH
Smetanina, Ekaterina
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 561-601
Persistent link: https://www.econbiz.de/10011987644
Saved in:
6
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
7
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
8
Dynamic conditional beta
Engle, Robert F.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 643-667
Persistent link: https://www.econbiz.de/10011623818
Saved in:
9
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
10
The geometric-VaR backtesting method
Pelletier, Denis
;
Wei, Wei
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 725-745
Persistent link: https://www.econbiz.de/10011623861
Saved in:
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