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~isPartOf:"Econometric reviews"
~subject:"Volatility"
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Search: subject_exact:"Schätzmethode"
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Volatility
Estimation theory
250
Schätztheorie
250
Estimation
85
Schätzung
85
Nichtparametrisches Verfahren
78
Nonparametric statistics
78
Time series analysis
67
Zeitreihenanalyse
67
Regression analysis
60
Regressionsanalyse
60
Panel
55
Panel study
55
Statistical test
43
Statistischer Test
43
Theorie
33
Theory
33
Method of moments
31
Momentenmethode
31
Autocorrelation
29
Autokorrelation
29
Stochastic process
24
Stochastischer Prozess
24
Volatilität
24
Modellierung
22
Scientific modelling
22
Bootstrap approach
20
Bootstrap-Verfahren
20
panel data
19
Forecasting model
18
Maximum likelihood estimation
18
Maximum-Likelihood-Schätzung
18
Prognoseverfahren
18
Monte Carlo simulation
17
Monte-Carlo-Simulation
17
Statistical distribution
17
Statistische Verteilung
17
ARCH model
15
ARCH-Modell
15
Cointegration
14
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Article
24
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24
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24
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English
24
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Chan, Joshua
2
Jawadi, Fredj
2
Koopman, Siem Jan
2
McAleer, Michael
2
Teräsvirta, Timo
2
Alghalith, Moawia
1
Amado, Cristina
1
Asai, Manabu
1
Bennedsen, Mikkel
1
Bermudez, P. de Zea
1
Blasques, Francisco
1
Brownlees, Christian
1
Bu, Ruijun
1
Cai, Yuzhi
1
Cai, Zongwu
1
Catani, Paul
1
Chen, Qiang
1
D'Innocenzo, Enzo
1
Dimitrakopoulos, Stefanos
1
Eisenstat, Eric
1
Ftiti, Zied
1
Galbraith, John W.
1
Gu, Wentao
1
Hu, Meidi
1
Kolossiatis, Michalis
1
León-González, Roberto
1
Li, Yuyi
1
Long, Yonghong
1
Louhichi, Waël
1
Martinet, Guillaume Gaetan
1
Marín, J. Miguel
1
Mesters, G.
1
Nakajima, Jouchi
1
Nualart, Eulalia
1
Omori, Yasuhiro
1
Ooms, Marius
1
Peng, Siyang
1
Shaojun, Guo
1
Song, Xiaojun
1
Strachan, Rodney W.
1
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Econometric reviews
Energy economics
136
Finance research letters
135
Journal of econometrics
116
International review of economics & finance : IREF
94
The North American journal of economics and finance : a journal of financial economics studies
86
Applied economics
82
Economic modelling
81
International review of financial analysis
77
Research in international business and finance
59
Journal of banking & finance
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
52
Journal of empirical finance
50
Journal of international financial markets, institutions & money
49
Economics letters
48
International journal of forecasting
47
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
44
Applied economics letters
42
Discussion paper / Centre for Economic Policy Research
41
Journal of international money and finance
39
Quantitative finance
36
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
35
Working paper / National Bureau of Economic Research, Inc.
35
International journal of finance & economics : IJFE
33
Journal of financial econometrics
32
Pacific-Basin finance journal
30
The European journal of finance
28
Discussion papers / CEPR
26
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
26
Journal of financial economics
23
Journal of financial markets
23
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
22
Journal of economic dynamics & control
22
Computational economics
20
Management science : journal of the Institute for Operations Research and the Management Sciences
20
Empirical economics : a quarterly journal of the Institute for Advanced Studies
18
Global finance journal
18
Journal of risk
17
Review of quantitative finance and accounting
17
The journal of futures markets
17
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ECONIS (ZBW)
24
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1
Common and idiosyncratic conditional volatility : theory and empirical evidence from electricity prices
Blasques, Francisco
;
D'Innocenzo, Enzo
;
Koopman, Siem Jan
- In:
Econometric reviews
43
(
2024
)
8
,
pp. 638-670
Persistent link: https://www.econbiz.de/10015050635
Saved in:
2
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
3
Large dimensional portfolio allocation based on a mixed frequency dynamic factor model
Peng, Siyang
;
Shaojun, Guo
;
Long, Yonghong
- In:
Econometric reviews
41
(
2022
)
5
,
pp. 539-563
Persistent link: https://www.econbiz.de/10013364893
Saved in:
4
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
5
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
6
Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel
- In:
Econometric reviews
39
(
2020
)
9
,
pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
Saved in:
7
Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Dimitrakopoulos, Stefanos
;
Kolossiatis, Michalis
- In:
Econometric reviews
39
(
2020
)
4
,
pp. 319-343
Persistent link: https://www.econbiz.de/10012181420
Saved in:
8
A multifactor transformed diffusion model with applications to VIX and VIX futures
Bu, Ruijun
;
Jawadi, Fredj
;
Li, Yuyi
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 27-53
Persistent link: https://www.econbiz.de/10012181537
Saved in:
9
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models
Jawadi, Fredj
;
Ftiti, Zied
;
Louhichi, Waël
- In:
Econometric reviews
39
(
2020
)
1
,
pp. 54-70
Persistent link: https://www.econbiz.de/10012181540
Saved in:
10
Bias-corrected realized variance
Yeh, Jin-huei
;
Wang, Jying-Nan
- In:
Econometric reviews
38
(
2019
)
2
,
pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
Saved in:
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