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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"ARCH-Modell"
~type_genre:"Bibliografie enthalten"
~type_genre:"Non-commercial literature"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Estimation theory
590
Schätztheorie
590
Theorie
195
Theory
195
Time series analysis
138
Zeitreihenanalyse
138
Estimation
127
Schätzung
127
Nichtparametrisches Verfahren
109
Nonparametric statistics
109
USA
93
United States
93
Regression analysis
89
Regressionsanalyse
89
Forecasting model
43
Prognoseverfahren
43
Statistical test
43
Statistischer Test
43
Volatilität
42
Induktive Statistik
41
Panel
41
Panel study
41
Statistical inference
41
Correlation
35
Korrelation
35
Capital income
29
Kapitaleinkommen
29
Statistical theory
29
Statistische Methodenlehre
29
Maximum likelihood estimation
28
Maximum-Likelihood-Schätzung
28
Bootstrap approach
26
Bootstrap-Verfahren
26
Simulation
26
ARCH model
25
Method of moments
25
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25
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24
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Article
57
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Article in journal
Bibliografie enthalten
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57
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1
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English
57
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Bauwens, Luc
2
Bollerslev, Tim
2
Ghysels, Eric
2
Hautsch, Nikolaus
2
Jing, Bingyi
2
Ling, Shiqing
2
Shephard, Neil G.
2
Sheppard, Kevin
2
Tsay, Ruey S.
2
Yang, Xiye
2
Aielli, Gian Piero
1
Alfelt, Gustav
1
Amado, Cristina
1
Andersen, Torben
1
Andreou, Elena
1
Audrino, Francesco
1
Ausín, M. Concepción
1
Bandi, Federico M.
1
Bibinger, Markus
1
Bodnar, Taras
1
Bormetti, Giacomo
1
Boswijk, Herman Peter
1
Buccheri, Giuseppe
1
Chan, Joshua
1
Chaves, Leonardo Salim Saker
1
Chen, Wilson Ye
1
Chen, Xiangjin B.
1
Corsi, Fulvio
1
Dueker, Michael
1
Engle, Robert F.
1
Escanciano, Juan Carlos
1
Fan, Jianqing
1
Foster, F. Douglas
1
Francq, Christian
1
Galeano, Pedro
1
Gao, Jiti
1
Gerlach, Richard H.
1
Gonçalves, Sílvia
1
Gungor, Sermin
1
Hafner, Christian M.
1
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
141
Econometric theory
48
Economics letters
38
Discussion paper / Tinbergen Institute
35
Econometric reviews
31
Journal of empirical finance
29
CREATES research paper
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
20
Economic modelling
19
International journal of forecasting
18
Finance research letters
17
Journal of banking & finance
17
Journal of financial econometrics
17
Journal of forecasting
16
Quantitative finance
15
International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
Journal of risk
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Econometrics : open access journal
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
11
SFB 649 discussion paper
11
Applied economics letters
10
CORE discussion papers : DP
9
Finance and stochastics
8
The European journal of finance
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Working papers
8
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
Working paper / National Bureau of Economic Research, Inc.
7
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57
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1
Singular conditional autoregressive Wishart model for realized covariance matrices
Alfelt, Gustav
;
Bodnar, Taras
;
Javed, Farrukh
;
Tyrcha, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 833-845
Persistent link: https://www.econbiz.de/10014448443
Saved in:
2
Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter
;
Zu, Yang
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 744-755
Persistent link: https://www.econbiz.de/10013534484
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
Bootstrapping two-stage quasi-maximum likelihood estimators of time series models
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Patton, Andrew J.
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 683-694
Persistent link: https://www.econbiz.de/10014448421
Saved in:
5
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:
6
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:
7
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:
8
Testing serial correlation and ARCH effect of high-dimensional time-series data
Ling, Shiqing
;
Tsay, Ruey S.
;
Yang, Yaxing
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 136-147
Persistent link: https://www.econbiz.de/10012424504
Saved in:
9
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:
10
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
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