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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~type_genre:"Übersichtsarbeit"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
147
Schätztheorie
147
Time series analysis
43
Zeitreihenanalyse
43
Estimation
36
Schätzung
36
Volatilität
36
Capital income
27
Kapitaleinkommen
27
Theorie
26
Theory
26
ARCH model
24
ARCH-Modell
24
Forecasting model
18
Prognoseverfahren
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Stochastic process
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Stochastischer Prozess
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Börsenkurs
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Nichtparametrisches Verfahren
16
Nonparametric statistics
16
Share price
16
Portfolio selection
15
Portfolio-Management
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Correlation
14
Korrelation
14
Regression analysis
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Regressionsanalyse
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Risikomaß
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Risk measure
12
Autocorrelation
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Autokorrelation
11
CAPM
10
Market microstructure
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Marktmikrostruktur
10
Statistical distribution
10
Statistische Verteilung
10
Statistical test
9
Statistischer Test
9
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Article
36
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Article in journal
Übersichtsarbeit
Aufsatz in Zeitschrift
36
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English
36
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Abergel, Frédéric
1
Amado, Cristina
1
Andreou, Alena
1
Asai, Manabu
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Cheng, Wan-hsiu
1
Chourdakis, Kyriakos
1
Creel, Michael D.
1
D'Addona, Stefano
1
Dalla, Violetta
1
Daníelsson, Jón
1
Dotsis, George
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Ghosh, Anisha
1
Ghysels, Eric
1
Hao, Hong-Xia
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Hung, Jui-cheng
1
Huth, Nicolas
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Jondeau, Eric
1
Kang, Kyu Ho
1
King, Maxwell L.
1
Kinnunen, Jyri
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Kristensen, Dennis
1
Lee, Cheol Woo
1
Lee, Kyungsub
1
Li, Minqiang
1
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Journal of empirical finance
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Economics letters
24
Econometric reviews
22
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Quantitative finance
15
Econometric theory
14
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Finance research letters
12
The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Econometrics : open access journal
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
5
The European journal of finance
5
The journal of risk model validation
5
Applied economics letters
4
Applied financial economics
4
Cogent economics & finance
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
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ECONIS (ZBW)
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21
High frequency lead/lag relationships : empirical facts
Huth, Nicolas
;
Abergel, Frédéric
- In:
Journal of empirical finance
26
(
2014
),
pp. 41-58
Persistent link: https://www.econbiz.de/10010472008
Saved in:
22
An examination of the continuous-time dynamics of international volatility indices amid the recent market turmoil
Li, Minqiang
- In:
Journal of empirical finance
22
(
2013
),
pp. 128-139
Persistent link: https://www.econbiz.de/10009768415
Saved in:
23
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
24
Spot variance path estimation and its application to high-frequency jump testing
Bos, Charles S.
;
Janus, Paweł
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
2
,
pp. 354-389
Persistent link: https://www.econbiz.de/10009540536
Saved in:
25
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu
;
Hung, Jui-cheng
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Saved in:
26
GARCH parameter estimation using high-frequency data
Visser, Marcel P.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 162-197
Persistent link: https://www.econbiz.de/10009125144
Saved in:
27
Maximum likelihood estimation of non-affine volatility processes
Chourdakis, Kyriakos
;
Dotsis, George
- In:
Journal of empirical finance
18
(
2011
)
3
,
pp. 533-545
Persistent link: https://www.econbiz.de/10009302070
Saved in:
28
Autoregressive stochastic volatility models with heavy-tailed distributions : a comparison with multifactor volatility models
Asai, Manabu
- In:
Journal of empirical finance
15
(
2008
)
2
,
pp. 332-341
Persistent link: https://www.econbiz.de/10003699171
Saved in:
29
Bias-reduced estimation of long-memory stochastic volatility
Frederiksen, Per
;
Nielsen, Morten Ørregaard
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 496-512
Persistent link: https://www.econbiz.de/10003778957
Saved in:
30
Box-Cox stochastic volatility models with heavy-tails and correlated errors
Zhang, Xibin
;
King, Maxwell L.
- In:
Journal of empirical finance
15
(
2008
)
3
,
pp. 549-566
Persistent link: https://www.econbiz.de/10003759632
Saved in:
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