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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Statistical test"
~subject:"Statistischer Test"
~type_genre:"Systematic review"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Statistischer Test
Estimation theory
102
Schätztheorie
102
Time series analysis
49
Zeitreihenanalyse
49
Estimation
33
Schätzung
33
ARCH model
17
ARCH-Modell
17
Volatilität
17
Regression analysis
14
Regressionsanalyse
14
Cointegration
13
Kointegration
13
Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Capital income
9
Kapitaleinkommen
9
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9
Markov-Kette
9
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Forecasting model
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Monte-Carlo-Simulation
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Prognoseverfahren
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cointegration
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Nichtlineare Regression
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Nonlinear regression
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Statistical distribution
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7
Strukturbruch
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VAR model
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VAR-Modell
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Article in journal
Systematic review
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26
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English
26
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Abbara, Omar
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Bera, Anil K.
1
Blazsek, Szabolcs
1
Bu, Ruijun
1
Chan, Jennifer So Kuen
1
Chen, Yi-ting
1
Cheng, Jie
1
Chevallier, Julien
1
Chuffart, Thomas
1
Chumacero, Rómulo A.
1
Cuestas, Juan Carlos
1
Daníelsson, Jón
1
Doğan, Osman
1
Enders, Walter
1
Escribano, Álvaro
1
Flachaire, Emmanuel
1
Gil-Alaña, Luis A.
1
Goutte, Stéphane
1
Hadri, Kaddour
1
Harvey, David I.
1
Hou, Weijie
1
Im, KyungSo
1
Jensen, Mark J.
1
Kalyvitēs, Sarantēs
1
Kok Haur Ng
1
Kraicová, Lucie
1
Lee, Cheng-Feng
1
Lee, Hyejin
1
Lee, Junsoo
1
Lee, Kyungsub
1
Leybourne, Stephen James
1
Li, Jing
1
Licht, Adrian
1
Lin, Chang-ching
1
Liu, Wei
1
Maynard, Alex S.
1
Niu, Wei-fang
1
Panopulu, Aikaterinē
1
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
256
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
Econometric reviews
76
Economics letters
66
Econometric theory
56
The econometrics journal
45
Economic modelling
31
Econometrics : open access journal
26
Journal of empirical finance
24
Journal of financial econometrics
22
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Quantitative economics : QE ; journal of the Econometric Society
20
International journal of forecasting
19
Applied economics letters
18
Journal of banking & finance
17
Quantitative finance
16
Finance research letters
15
Journal of forecasting
14
Journal of the American Statistical Association : JASA
14
International journal of theoretical and applied finance
13
Journal of time series econometrics
13
Computational economics
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Applied economics
11
Journal of risk and financial management : JRFM
11
The North American journal of economics and finance : a journal of financial economics studies
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
10
Journal of applied econometrics
10
European journal of operational research : EJOR
9
Finance and stochastics
9
International journal of economics and financial issues : IJEFI
8
Oxford bulletin of economics and statistics
8
The European journal of finance
8
Cambridge working papers in economics
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of financial economics
7
Journal of mathematical finance
7
Journal of quantitative economics
7
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ECONIS (ZBW)
26
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1
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
A new test for non-linear hypotheses under distributional and local parametric misspecification
Bera, Anil K.
;
Doğan, Osman
;
Taṣpınar, Süleyman
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 669-685
Persistent link: https://www.econbiz.de/10014506833
Saved in:
3
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
4
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
5
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
6
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
7
A parametric stationarity test with smooth breaks
Tsong, Ching-Chuan
;
Lee, Cheng-Feng
;
Tsai, Li Ju
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054883
Saved in:
8
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
9
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
10
Estimation of long memory in volatility using wavelets
Kraicová, Lucie
;
Baruník, Jozef
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011709605
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