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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Computational economics"
~isPartOf:"European journal of operational research : EJOR"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Volatilität"
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Search: subject_exact:"Estimation theory"
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Volatility
Maximum-Likelihood-Schätzung
Volatilität
Estimation theory
285
Schätztheorie
285
Regression analysis
48
Regressionsanalyse
48
Nichtparametrisches Verfahren
37
Nonparametric statistics
37
Estimation
36
Time series analysis
36
Zeitreihenanalyse
36
Schätzung
35
Simulation
33
Technical efficiency
33
Technische Effizienz
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Monte Carlo simulation
32
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Mathematical programming
30
Mathematische Optimierung
30
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28
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23
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Bayes-Statistik
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Bayesian inference
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Least squares method
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Maximum likelihood estimation
17
Prognoseverfahren
17
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Option pricing theory
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Article
27
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Article in journal
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English
27
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Tsionas, Efthymios G.
2
Aloy, Marcel
1
Andreasen, Martin Møller
1
Badescu, Alexandru
1
Badunkenko, Oleg
1
Bartolucci, Francesco
1
Borovkova, Svetlana
1
Brandão, Luiz Eduardo Teixeira
1
Cagnone, Silvia
1
Cervellera, Gian P.
1
Chan, Felix Tung Sun
1
Choudhry, Taufiq
1
De Rossi, Giuliano
1
Dempsey, Michael
1
Deng, Xinyang
1
Deng, Yong
1
Dyer, James S.
1
Elliott, Robert J.
1
Gao, Kang
1
Greene, William H.
1
Hahn, Warren J.
1
Halme, Merja
1
Heidergott, Bernd
1
Herbst, Edward P.
1
Hu, Yong
1
Kallio, Markku
1
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Kibria, B. M. Golam
1
Kumbhakar, Subal
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Lee, Yong Woong
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Li, Yong
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Mahadevan, Sankaran
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Meng, Xiaochun
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Mozumder, Sharif
1
Månsson, Kristofer
1
Ortega, Juan-Pablo
1
Richard, Jean-François
1
Rösch, Daniel
1
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1
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Computational economics
European journal of operational research : EJOR
Journal of econometrics
188
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Economics letters
45
Econometric reviews
41
Economic modelling
24
Econometric theory
22
Journal of empirical finance
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
The econometrics journal
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Econometrics : open access journal
17
International journal of forecasting
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Journal of the American Statistical Association : JASA
17
Quantitative finance
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Journal of financial econometrics
15
Finance research letters
14
Journal of banking & finance
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
International journal of theoretical and applied finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Insurance / Mathematics & economics
11
Applied economics
10
Statistics in transition : an international journal of the Polish Statistical Association
10
Applied economics letters
9
Journal of economic dynamics & control
9
Journal of mathematical finance
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
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
Quantitative economics : QE ; journal of the Econometric Society
7
The European journal of finance
7
The journal of risk model validation
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Journal of applied econometrics
6
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ECONIS (ZBW)
27
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1
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
2
Estimating the unrestricted and restricted Liu estimators for the Poisson regression model : method and application
Månsson, Kristofer
;
Kibria, B. M. Golam
- In:
Computational economics
58
(
2021
)
2
,
pp. 311-326
Persistent link: https://www.econbiz.de/10012615004
Saved in:
3
Robust maximum likelihood estimation of stochastic frontier models
Stead, Alexander D.
;
Wheat, Phill
;
Greene, William H.
- In:
European journal of operational research : EJOR
309
(
2023
)
1
,
pp. 188-201
Persistent link: https://www.econbiz.de/10014290421
Saved in:
4
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
5
Maximum likelihood estimation methods for Copula models
Zhang, Jinyu
;
Gao, Kang
;
Li, Yong
;
Zhang, Qiaosen
- In:
Computational economics
60
(
2022
)
1
,
pp. 99-124
Persistent link: https://www.econbiz.de/10013262501
Saved in:
6
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
7
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
8
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
Saved in:
9
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
Saved in:
10
Unified approach for the affine and non-affine models : an empirical analysis on the S&P 500 volatility dynamics
Zhu, Shunwei
;
Wang, Bo
- In:
Computational economics
53
(
2019
)
4
,
pp. 1421-1442
Persistent link: https://www.econbiz.de/10012135302
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