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subject:"Volatility"
~isPartOf:"Journal of econometrics"
~subject:"Time series analysis"
~subject:"United States"
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Volatility
Time series analysis
United States
Estimation
466
Schätzung
461
Estimation theory
217
Schätztheorie
217
Theorie
166
Theory
166
Zeitreihenanalyse
115
Nichtparametrisches Verfahren
106
Nonparametric statistics
106
Volatilität
102
Panel
94
Panel study
94
Regression analysis
81
Regressionsanalyse
81
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63
Prognoseverfahren
63
Börsenkurs
54
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54
USA
54
Capital income
53
Kapitaleinkommen
53
Stochastic process
46
Stochastischer Prozess
46
Factor analysis
38
Faktorenanalyse
38
Panel data
38
Bayes-Statistik
34
Bayesian inference
34
ARCH model
32
ARCH-Modell
32
Statistical test
32
Statistischer Test
32
Statistical distribution
29
Statistische Verteilung
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Markov chain
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204
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Todorov, Viktor
13
Bollerslev, Tim
8
Tauchen, George Eugene
7
Aït-Sahalia, Yacine
5
Kim, Donggyu
5
Koop, Gary
5
Li, Jia
5
Andersen, Torben
4
Xiu, Dacheng
4
Baltagi, Badi H.
3
Barigozzi, Matteo
3
Fan, Jianqing
3
Francq, Christian
3
McAleer, Michael
3
Park, Joon Y.
3
Patton, Andrew J.
3
Phillips, Peter C. B.
3
Taylor, Robert
3
Wang, Yazhen
3
Zakoïan, Jean-Michel
3
Aruoba, S. Borağan
2
Asai, Manabu
2
Bibinger, Markus
2
Christensen, Kim
2
Creal, Drew
2
Diebold, Francis X.
2
Dijk, Dick van
2
Ergemen, Yunus Emre
2
Fulop, Andras
2
Gallo, Giampiero M.
2
Ghysels, Eric
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Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Hallin, Marc
2
Han, Xu
2
Harvey, Andrew C.
2
Hounyo, Ulrich
2
Inoue, Atsushi
2
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2
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
1,525
Discussion paper series / IZA
447
Applied economics
441
Discussion paper / Centre for Economic Policy Research
426
Applied economics letters
273
CESifo working papers
253
Economic modelling
239
NBER working paper series
234
Working paper
219
Energy economics
216
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
198
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
197
Economics letters
180
Finance and economics discussion series
179
International review of economics & finance : IREF
177
The review of economics and statistics
176
Finance research letters
170
NBER Working Paper
169
Applied financial economics
168
The American economic review
153
The journal of finance : the journal of the American Finance Association
153
Journal of international money and finance
149
Journal of banking & finance
144
The North American journal of economics and finance : a journal of financial economics studies
141
Journal of applied econometrics
137
International review of financial analysis
130
Discussion paper / Tinbergen Institute
124
The journal of futures markets
123
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
113
Journal of empirical finance
110
International journal of forecasting
108
Discussion paper
104
Journal of money, credit and banking : JMCB
97
Journal of international financial markets, institutions & money
95
Research in international business and finance
94
Journal of economic dynamics & control
92
The review of financial studies
92
International journal of finance & economics : IJFE
87
Journal of macroeconomics
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ECONIS (ZBW)
204
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11
Time series estimation of the dynamic effects of disaster-type shocks
Davis, Richard A.
;
Ng, Serena
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 180-201
Persistent link: https://www.econbiz.de/10014434389
Saved in:
12
Testing for episodic predictability in stock returns
Demetrescu, Matei
;
Georgiev, Iliyan
;
Rodrigues, Paulo M. M.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 85-113
Persistent link: https://www.econbiz.de/10013441625
Saved in:
13
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
14
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
15
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
16
Bayesian estimation of long-run risk models using sequential Monte Carlo
Fulop, Andras
;
Heng, Jeremy
;
Li, Junye
;
Liu, Hening
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 62-84
Persistent link: https://www.econbiz.de/10013441725
Saved in:
17
Variation and efficiency of high-frequency betas
Zhang, Congshan
;
Li, Jia
;
Todorov, Viktor
;
Tauchen, …
- In:
Journal of econometrics
228
(
2022
)
1
,
pp. 156-175
Persistent link: https://www.econbiz.de/10013441735
Saved in:
18
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
19
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
20
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
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