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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"The journal of risk model validation"
~type_genre:"Conference paper"
~type_genre:"Thesis"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
90
Schätztheorie
90
Estimation
24
Schätzung
24
Time series analysis
22
Volatilität
22
Zeitreihenanalyse
22
Risikomaß
20
Risk measure
20
ARCH model
18
ARCH-Modell
18
Market microstructure
10
Marktmikrostruktur
10
Nichtparametrisches Verfahren
10
Nonparametric statistics
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Capital income
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Correlation
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Kapitaleinkommen
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Regression analysis
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Regressionsanalyse
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Theorie
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Theory
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Prognoseverfahren
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Stochastischer Prozess
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Statistischer Test
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Analysis of variance
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Credit risk
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Kreditrisiko
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Noise Trading
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Noise trading
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5
Portfolio-Management
5
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Article
22
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Article in journal
Conference paper
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22
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English
22
Author
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Andreou, Alena
1
Balter, Janine
1
Bos, Charles S.
1
Buczy´nski, Mateusz
1
Caldeira, João F.
1
Carrasco, Marine
1
Chlebus, Marcin
1
Curcic, Nikola
1
Fan, Jianqing
1
Fan, Yingying
1
Fałdziński, Marcin
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Lange, Petter Eilif de
1
Law, Keith K. F.
1
Li, Wai Keung
1
Li, Yingying
1
Lv, Jinchi
1
Miletic, Vuk
1
Milojkovic, Dragana
1
Moura, Guilherme Valle
1
Murphy, David
1
Mykland, Per A.
1
Nagakura, Daisuke
1
Nielsen, Morten Ørregaard
1
Nogales, Francisco J.
1
Osińska, Magdalena
1
Radivojevic, Nikola
1
Risstad, Morten
1
Rodrigues, Paulo M. M.
1
Rubia, Antonio
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
The journal of risk model validation
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
43
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Quantitative finance
16
Econometric theory
15
International journal of forecasting
14
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
The econometrics journal
12
The North American journal of economics and finance : a journal of financial economics studies
11
Econometrics : open access journal
10
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
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
The European journal of finance
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
International Journal of Energy Economics and Policy : IJEEP
5
Journal of quantitative economics
5
Journal of risk
5
Research in international business and finance
5
Applied economics letters
4
Applied financial economics
4
Cogent economics & finance
4
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ECONIS (ZBW)
22
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22
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1
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
2
Estimating value-at-risk using quantile regression and implied volatilities
Lange, Petter Eilif de
;
Risstad, Morten
;
Westgaard, Sjur
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 53-76
Persistent link: https://www.econbiz.de/10014540547
Saved in:
3
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
4
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
5
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
Saved in:
6
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:
7
Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola
;
Curcic, Nikola
;
Milojkovic, Dragana
; …
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
Saved in:
8
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:
9
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
10
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
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