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subject:"Volatility"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Devisenmarkt"
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Search: subject_exact:"Estimation theory"
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Volatility
Devisenmarkt
Estimation theory
99
Schätztheorie
99
Time series analysis
29
Zeitreihenanalyse
29
Estimation
27
Schätzung
27
Volatilität
27
ARCH model
20
ARCH-Modell
20
Risikomaß
14
Risk measure
14
Capital income
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Kapitaleinkommen
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Börsenkurs
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Forecasting model
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Market microstructure
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Marktmikrostruktur
12
Prognoseverfahren
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Share price
12
Regression analysis
11
Regressionsanalyse
11
Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Theorie
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Theory
10
Correlation
9
Korrelation
9
Stochastic process
9
Stochastischer Prozess
9
Portfolio selection
7
Portfolio-Management
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Maximum likelihood estimation
6
Maximum-Likelihood-Schätzung
6
Noise Trading
6
Noise trading
6
Analysis of variance
5
CAPM
5
GARCH
5
Method of moments
5
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English
27
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Alañón Pardo, Ángel
1
Andreou, Alena
1
Arize, Augustine Chuck
1
Balter, Janine
1
Bos, Charles S.
1
Caldeira, João F.
1
Carrasco, Marine
1
Chen, Cathy W. S.
1
Díaz-Mendoza, Ana-Carmen
1
Fan, Jianqing
1
Fan, Yingying
1
Francq, Christian
1
Frederiksen, Per
1
Ghysels, Eric
1
Guillén, Montserrat
1
Hassler, Uwe
1
Herwartz, Helmut
1
Horváth, Lajos
1
Horváth, Roman
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Janus, Paweł
1
Koopman, Siem Jan
1
Kotchoni, Rachidi
1
Kumar, Satish
1
Kunitomo, Naoto
1
Li, Leon
1
Li, Yingying
1
Lin, Tsai-Yu
1
Liu, Qiang
1
Liu, Yiqi
1
Liu, Zhi
1
Lv, Jinchi
1
Moneva, J. M.
1
Moura, Guilherme Valle
1
Mykland, Per A.
1
Nagakura, Daisuke
1
Nielsen, Morten Ørregaard
1
Nogales, Francisco J.
1
Ortas, E.
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
The North American journal of economics and finance : a journal of financial economics studies
Journal of econometrics
117
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Discussion paper / Tinbergen Institute
28
Economics letters
26
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
CREATES research paper
15
Quantitative finance
15
Econometric theory
14
International journal of forecasting
14
Journal of banking & finance
14
International journal of theoretical and applied finance
13
Journal of financial econometrics
13
Finance research letters
12
The econometrics journal
11
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Econometrics : open access journal
9
International journal of economics and financial issues : IJEFI
9
SFB 649 discussion paper
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
NBER Working Paper
8
Applied economics
7
Journal of mathematical finance
7
Working paper / National Bureau of Economic Research, Inc.
7
Working papers
7
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
Documento de trabajo
6
Handbook of financial time series
6
International journal of financial engineering
6
NBER working paper series
6
Applied financial economics
5
Asia-Pacific financial markets
5
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ECONIS (ZBW)
27
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1
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
2
Multi-asset pair-trading strategy : a statistical learning approach
Lin, Tsai-Yu
;
Chen, Cathy W. S.
;
Syu, Fong-Yi
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667381
Saved in:
3
Holidays, weekends and range-based volatility
Díaz-Mendoza, Ana-Carmen
;
Alañón Pardo, Ángel
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012656917
Saved in:
4
Estimation of spot volatility with superposed noisy data
Liu, Qiang
;
Liu, Yiqi
;
Liu, Zhi
;
Wang, Li
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 62-79
Persistent link: https://www.econbiz.de/10012036296
Saved in:
5
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:
6
Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation
Li, Leon
- In:
The North American journal of economics and finance : a …
40
(
2017
),
pp. 116-135
Persistent link: https://www.econbiz.de/10011878799
Saved in:
7
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
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
GARCH models, tail indexes and error distributions : an empirical investigation
Horváth, Roman
;
Šopov, Boril
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
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