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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Applied economics"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Kapitaleinkommen"
~subject:"Option pricing theory"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Kapitaleinkommen
Option pricing theory
Estimation theory
207
Schätztheorie
207
Schätzung
55
Theorie
48
Theory
48
Time series analysis
44
Zeitreihenanalyse
44
Volatilität
22
Forecasting model
18
Prognoseverfahren
18
Monte Carlo simulation
15
Monte-Carlo-Simulation
15
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
ARCH model
12
ARCH-Modell
12
Börsenkurs
12
Cointegration
12
Kointegration
12
Regression analysis
12
Regressionsanalyse
12
Share price
12
Statistical distribution
12
Statistische Verteilung
12
Panel
11
Panel study
11
USA
11
United States
11
Optionspreistheorie
10
Portfolio selection
10
Portfolio-Management
10
Einheitswurzeltest
9
Stochastic process
9
Stochastischer Prozess
9
Unit root test
9
Welt
9
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9
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Article
72
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Article in journal
Aufsatz in Zeitschrift
72
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English
72
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Kim, Jong-Min
2
Murray, Christian J.
2
Papell, David H.
2
Abutaleb, Ahmed S.
1
Achab, Massil
1
Ahmad, Yamin
1
Ahsan, Tanveer
1
Aoki, Takaaki
1
Aßmann, Christian
1
Bacry, E.
1
Balli, Hatice Ozer
1
Bampinas, Georgios
1
Bayer, Christian
1
Baños-Pino, José
1
Behrendt, Simon
1
Boonsaeng, Tullaya
1
Breneis, Simon
1
Buccheri, G.
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Carpio, Carlos E.
1
Castellón, César E.
1
Ceffer, Attila
1
Chatterjee, Rupak
1
Chen, Li-Hsueh
1
Chen, May-Ru
1
Chen, Sixia
1
Chen, W. D.
1
Chen, Yu
1
Chi, Xie
1
Chiu, Yen-Chen
1
Choi, Pilsun
1
Choudhary, M. Ali
1
Chronopoulou, Alexandra
1
Chuang, I-Yuan
1
Chung, Munki
1
Darvas, Zsolt M.
1
Díaz Hernández, Adán
1
Esteban, María Victoria
1
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Applied economics
Quantitative finance
Journal of econometrics
302
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
158
Economics letters
129
Econometric reviews
73
Economic modelling
63
Applied economics letters
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
46
Journal of applied econometrics
43
Journal of empirical finance
43
Journal of banking & finance
40
The econometrics journal
39
Econometric theory
37
International journal of forecasting
34
Finance research letters
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
31
Quantitative economics : QE ; journal of the Econometric Society
31
Computational economics
30
Econometrics : open access journal
30
Journal of forecasting
30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
26
European journal of operational research : EJOR
26
Journal of risk and financial management : JRFM
26
Journal of the American Statistical Association : JASA
26
International journal of economics and financial issues : IJEFI
24
Journal of financial econometrics
24
Journal of economic dynamics & control
23
The review of economics and statistics
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Energy economics
21
Insurance / Mathematics & economics
21
The North American journal of economics and finance : a journal of financial economics studies
19
International journal of theoretical and applied finance
18
Journal of risk
18
The European journal of finance
17
Journal of financial economics
15
Journal of mathematical finance
15
Risks : open access journal
15
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ECONIS (ZBW)
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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
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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
Applying sample selection methods for panel data to analyse determinants of foreign direct divestment
Nguyen, Anh T. N.
- In:
Applied economics
55
(
2023
)
49
,
pp. 5737-5749
Persistent link: https://www.econbiz.de/10014335777
Saved in:
8
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
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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
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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