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subject:"Cointegration"
type_genre:"Collection of articles written by one author"
~isPartOf:"Journal of mathematical finance"
~subject:"Prognoseverfahren"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Fallstudie"
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Search: subject_exact:"Estimation theory"
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Cointegration
Prognoseverfahren
Volatilität
Estimation theory
25
Schätztheorie
25
ARCH model
7
ARCH-Modell
7
Estimation
7
Schätzung
7
Statistical distribution
7
Statistische Verteilung
7
Volatility
7
Stochastic process
6
Stochastischer Prozess
6
Capital income
5
Kapitaleinkommen
5
Time series analysis
5
Zeitreihenanalyse
5
Forecasting model
4
GARCH
4
Risikomaß
4
Risk measure
4
Börsenkurs
3
Correlation
3
Korrelation
3
Share price
3
Yield curve
3
Zinsstruktur
3
Autocorrelation Function
2
Change-Point
2
Consistency
2
Density Estimation
2
Diffusion Processes
2
Interest Rate Models
2
Interest rate
2
Manhattan Distance
2
Markov chain
2
Markov-Kette
2
Maximum Likelihood Estimation
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
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11
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Collection of articles written by one author
Article in journal
Fallstudie
Aufsatz in Zeitschrift
11
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English
11
Author
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Bishwal, Jaya Prakasah Narayan
1
Cheng, Hao
1
Dai, Xianhua
1
Ensor, Katherine Bennett
1
Epaphra, Manamba
1
Esen, Halil Erturk
1
Ginley, Matthew
1
Gumbo, Victor
1
Koulis, Theodoro
1
Li, Hong
1
Lim, Kian-Guan
1
Ma, Changie
1
Mashele, Hopolang P.
1
Mundia, Simon
1
Ngunyi, Anthony
1
Omari, Cyprian Ondieki
1
Paseka, Alexander
1
Scott, David W.
1
Sen, Rituparna
1
Siziba, Simiso
1
Sonono, Masimba E.
1
Thavaneswaran, Aerambamoorthy
1
Wang, Yiwen
1
Yap, Nelson K. L.
1
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Journal of mathematical finance
Journal of econometrics
237
International journal of forecasting
118
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
91
Journal of forecasting
75
Economics letters
62
Econometric reviews
55
Econometric theory
49
Economic modelling
38
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
35
The econometrics journal
34
Journal of empirical finance
33
Econometrics : open access journal
32
Applied economics letters
26
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
Quantitative finance
23
Finance research letters
22
Applied economics
21
Journal of financial econometrics
20
International journal of economics and financial issues : IJEFI
19
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
18
Empirical economics : a quarterly journal of the Institute for Advanced Studies
18
Journal of banking & finance
18
Computational economics
17
Journal of the American Statistical Association : JASA
17
Journal of risk and financial management : JRFM
16
European journal of operational research : EJOR
15
Oxford bulletin of economics and statistics
15
Journal of time series econometrics
14
The North American journal of economics and finance : a journal of financial economics studies
14
Insurance / Mathematics & economics
13
International Journal of Energy Economics and Policy : IJEEP
13
International journal of theoretical and applied finance
13
Journal of applied econometrics
13
International journal of economics and finance
12
Journal of quantitative economics
12
Risks : open access journal
12
Energy economics
9
Finance and stochastics
9
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ECONIS (ZBW)
11
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11
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1
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
2
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
3
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
4
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
5
Prediction of stock price movement using continuous time models
Sonono, Masimba E.
;
Mashele, Hopolang P.
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
Saved in:
6
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
7
Forecasting density function : application in finance
Sen, Rituparna
;
Ma, Changie
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 433-447
Persistent link: https://www.econbiz.de/10011440098
Saved in:
8
Simulation of leveraged ETF volatility using nonparametric density estimation
Ginley, Matthew
;
Scott, David W.
;
Ensor, Katherine Bennett
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 457-479
Persistent link: https://www.econbiz.de/10011440276
Saved in:
9
Recursive estimation for continuous time stochastic volatility models using the Milstein approximation
Koulis, Theodoro
;
Paseka, Alexander
;
Thavaneswaran, …
- In:
Journal of mathematical finance
3
(
2013
)
3
,
pp. 357-365
Persistent link: https://www.econbiz.de/10010239543
Saved in:
10
A predictive functional regression model for asset return
Dai, Xianhua
;
Li, Hong
;
Wang, Yiwen
- In:
Journal of mathematical finance
3
(
2013
)
2
,
pp. 307-311
Persistent link: https://www.econbiz.de/10010239559
Saved in:
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