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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Applied financial economics"
~isPartOf:"Economic modelling"
~isPartOf:"Quantitative finance"
~type_genre:"Conference paper"
~type_genre:"Konferenzschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
204
Schätztheorie
204
Estimation
79
Schätzung
78
Time series analysis
48
Zeitreihenanalyse
48
Volatilität
37
Theorie
25
Theory
25
Regression analysis
23
Regressionsanalyse
23
Börsenkurs
22
Share price
22
Stochastic process
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Stochastischer Prozess
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Forecasting model
20
Prognoseverfahren
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Nichtparametrisches Verfahren
19
Nonparametric statistics
19
Cointegration
17
Kointegration
17
Statistical test
16
Statistischer Test
16
Bayes-Statistik
15
Bayesian inference
15
Monte Carlo simulation
14
Monte-Carlo-Simulation
14
Panel
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Panel study
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ARCH model
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ARCH-Modell
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Capital income
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Kapitaleinkommen
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Option pricing theory
11
Optionspreistheorie
11
Autocorrelation
10
Autokorrelation
10
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10
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37
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Article in journal
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Konferenzschrift
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37
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English
37
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Kumar, Dilip
4
Maheswaran, S.
3
Bayer, Christian
1
Behrendt, Simon
1
Boughrara, Adel
1
Breneis, Simon
1
Canabarro, Askery
1
Cang, Yuquan
1
Castillo B., Paul
1
Chatterjee, Rupak
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Dridi, Ichrak
1
Dufrénot, Gilles
1
Favreau, Charles
1
Feng, Yuanhua
1
Galakis, John
1
Guégan, Dominique
1
Han, Jeong sug
1
Hatemi-J, Abdulnasser
1
Haugom, Erik
1
Hizmeri, Rodrigo
1
Hu, Shuowen
1
Hur, Joonyoung
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
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1
Kane, Hayden
1
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1
Lewis, Alan L.
1
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1
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1
Lien, Gudbrand
1
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1
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1
Malliaropulos, Dimitrios
1
McNeil, Alexander J.
1
Mingone, A.
1
Niizeki, Mikiyo Kii
1
Nolte, Ingmar
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Applied financial economics
Economic modelling
Quantitative finance
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Econometric theory
14
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
Finance research letters
12
The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Econometrics : open access journal
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
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
The European journal of finance
6
The journal of risk model validation
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
European journal of operational research : EJOR
5
Journal of quantitative economics
5
Journal of risk
5
Applied economics letters
4
Cogent economics & finance
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Flexible inflation targeting and stock market volatility : evidence from emerging market economies
Dridi, Ichrak
;
Boughrara, Adel
- In:
Economic modelling
126
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014462464
Saved in:
7
Effects of external shocks on macroeconomic fluctuations in Pacific Alliance countries
Rodriguez, Gabriel
;
Vassallo, Renato
;
Castillo B., Paul
- In:
Economic modelling
124
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463282
Saved in:
8
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:
9
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
Saved in:
10
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
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