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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"Quantitative finance"
~isPartOf:"Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund"
~subject:"Heteroscedasticity"
~subject:"Monte-Carlo-Simulation"
~subject:"Share price"
~subject:"Volatility"
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Deutschland
Forecasting model
Heteroscedasticity
Monte-Carlo-Simulation
Share price
Volatility
Estimation theory
253
Schätztheorie
253
Regression analysis
77
Regressionsanalyse
77
Nichtparametrisches Verfahren
47
Nonparametric statistics
47
Time series analysis
46
Zeitreihenanalyse
46
Theorie
31
Theory
31
Robust statistics
27
Robustes Verfahren
27
Estimation
26
Schätzung
26
Statistical test
24
Statistischer Test
24
Volatilität
21
Prognoseverfahren
16
Statistical distribution
15
Statistische Verteilung
15
Börsenkurs
12
Correlation
12
Korrelation
12
Analysis of variance
11
Autocorrelation
11
Autokorrelation
11
Varianzanalyse
11
Kleinste-Quadrate-Methode
10
Least squares method
10
Theorie (STW)
10
Capital income
9
Heteroskedastizität
9
Kapitaleinkommen
9
Portfolio selection
9
Portfolio-Management
9
Stochastic process
9
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Non-commercial literature
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English
50
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Dette, Holger
4
Hartung, Joachim
4
Sibbertsen, Philipp
4
Weihs, Claus
3
Gilberg, Frank
2
Runde, Ralf
2
Tsiotas, Georgios
2
Venetis, Ioannis
2
Achab, Massil
1
Argaç, Dogan
1
Argaç, Dog̃an
1
Argaç, Doğan
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Berke, Olaf
1
Breneis, Simon
1
Brunnert, Marcus
1
Caccioli, Fabio
1
Calzolari, Giorgio
1
Canabarro, Askery
1
Cang, Yuquan
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chen, Yu
1
Chi, Xie
1
Christensen, Kim
1
Chronopoulou, Alexandra
1
Croux, Christophe
1
Czogiel, Irina
1
Favreau, Charles
1
Galakis, John
1
Gather, Ursula
1
Gelper, Sarah
1
Gerlach, Richard H.
1
Groß, Jürgen
1
Guo, Meihui
1
Haines, Linda M.
1
Hizmeri, Rodrigo
1
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Published in...
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Quantitative finance
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
Journal of econometrics
264
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
127
International journal of forecasting
119
Economics letters
86
Journal of forecasting
76
Econometric reviews
60
Discussion paper / Tinbergen Institute
57
Econometric theory
48
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
43
The econometrics journal
42
Economic modelling
40
Journal of empirical finance
38
NBER Working Paper
34
Working paper / Department of Econometrics and Business Statistics, Monash University
34
Computational economics
33
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
CREATES research paper
30
NBER working paper series
30
Working paper / National Bureau of Economic Research, Inc.
30
Working paper
29
Applied economics
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Applied economics letters
27
Discussion paper
27
Journal of the American Statistical Association : JASA
27
Finance research letters
26
Discussion paper series / IZA
25
Econometrics : open access journal
25
European journal of operational research : EJOR
24
Journal of banking & finance
24
Journal of financial econometrics
22
Journal of risk and financial management : JRFM
21
CESifo working papers
20
Cowles Foundation discussion paper
20
Europäische Hochschulschriften / 5
19
Working papers / Rutgers University, Department of Economics
19
CEMMAP working papers / Centre for Microdata Methods and Practice
18
Insurance / Mathematics & economics
18
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ECONIS (ZBW)
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1
Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei
;
Ihnatiuk, Vitalii
;
Chen, Yu
;
Lin, Jiahe
; …
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
Saved in:
2
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
3
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
4
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
5
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
6
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
7
Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
Saved in:
8
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
9
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
10
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
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