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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"International journal of computational economics and econometrics : IJCEE"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
261
Schätztheorie
261
Nichtparametrisches Verfahren
78
Nonparametric statistics
78
Estimation
75
Schätzung
75
Regression analysis
71
Regressionsanalyse
71
Time series analysis
63
Zeitreihenanalyse
63
Induktive Statistik
39
Statistical inference
39
Statistical test
32
Statistischer Test
32
Panel
28
Panel study
28
Correlation
23
Korrelation
23
Volatilität
23
Forecasting model
21
Prognoseverfahren
21
Bayes-Statistik
20
Bayesian inference
20
Bootstrap approach
20
Bootstrap-Verfahren
20
Maximum likelihood estimation
19
Maximum-Likelihood-Schätzung
19
Causality analysis
17
Kausalanalyse
17
Capital income
16
IV-Schätzung
16
Instrumental variables
16
Kapitaleinkommen
16
Statistical distribution
16
Statistische Verteilung
16
Autocorrelation
15
Autokorrelation
15
VAR model
15
VAR-Modell
15
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3
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Article
23
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Article in journal
Aufsatz in Zeitschrift
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English
23
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Yang, Xiye
2
Bauwens, Luc
1
Bibinger, Markus
1
Bollerslev, Tim
1
Bormetti, Giacomo
1
Buccheri, Giuseppe
1
Chan, Joshua
1
Chaves, Leonardo Salim Saker
1
Chen, Wilson Ye
1
Chen, Xiangjin B.
1
Corsi, Fulvio
1
Engle, Robert F.
1
Eratalay, M. Hakan
1
Escanciano, Juan Carlos
1
Francq, Christian
1
Gao, Jiti
1
Gerlach, Richard H.
1
Hafner, Christian M.
1
Hautsch, Nikolaus
1
James, Lancelot F.
1
Jing, Bingyi
1
Kalnina, Ilze
1
Kim, Donggyu
1
Kyriakopoulou, Dimitra
1
Lapitskaya, Darya
1
Lee, Chung Eun
1
Li, Degui
1
Li, Dong
1
Li, Jia
1
Lillo, Fabrizio
1
Ling, Shiqing
1
Liu, Guangying
1
Malec, Peter
1
Mykland, Per A.
1
Müller, Gernot
1
Nõu, Anders
1
Otranto, Edoardo
1
Ouamaliche, Soufiane
1
Pakel, Cavit
1
Pardo-Fernández, Juan Carlos
1
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International journal of computational economics and econometrics : IJCEE
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
74
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Finance research letters
13
International journal of forecasting
13
Econometric reviews
12
Quantitative finance
12
Economics letters
11
Journal of financial econometrics
11
Journal of empirical finance
10
Economic modelling
9
The North American journal of economics and finance : a journal of financial economics studies
9
Econometric theory
8
Computational economics
6
Journal of banking & finance
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Journal of forecasting
5
Journal of mathematical finance
5
Journal of quantitative economics
5
Journal of risk
5
The econometrics journal
5
The journal of risk model validation
5
Energy economics
4
Finance and stochastics
4
International journal of financial engineering
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Theoretical economics letters
4
Applied economics
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
European journal of operational research : EJOR
3
IIMB management review
3
International journal of theoretical and applied finance
3
Journal of time series econometrics
3
The European journal of finance
3
Afro-Asian Journal of Finance and Accounting : AAJFA
2
Agricultural economics : the journal of the International Association of Agricultural Economists
2
Annals of finance
2
Economic research
2
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
Financial markets and portfolio management
2
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ECONIS (ZBW)
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1
Volatility estimation when the zero-process is nonstationary
Francq, Christian
;
Sucarrat, Genaro
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 53-66
Persistent link: https://www.econbiz.de/10013540630
Saved in:
2
Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market
Nõu, Anders
;
Lapitskaya, Darya
;
Eratalay, M. Hakan
; …
- In:
International journal of computational economics and …
13
(
2023
)
4
,
pp. 446-489
Persistent link: https://www.econbiz.de/10014439728
Saved in:
3
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
4
Estimation of leverage effect : kernel function and efficiency
Yang, Xiye
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
Saved in:
5
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
6
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
7
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
8
A non-parametric estimator for stochastic volatility density
Ouamaliche, Soufiane
;
Sayah, Awatef
- In:
International journal of computational economics and …
11
(
2021
)
4
,
pp. 349-367
Persistent link: https://www.econbiz.de/10012655445
Saved in:
9
Semiparametric estimation in continuous-time : asymptotics for integrated volatility functionals with small and large bandwidths
Yang, Xiye
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 793-806
Persistent link: https://www.econbiz.de/10012587983
Saved in:
10
Fitting vast dimensional time-varying covariance models
Pakel, Cavit
;
Shephard, Neil G.
;
Sheppard, Kevin
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 652-668
Persistent link: https://www.econbiz.de/10012588005
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