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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Computational economics"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Portfolio-Management"
~subject:"Stochastischer Prozess"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Maximum-Likelihood-Schätzung
Portfolio-Management
Stochastischer Prozess
Estimation theory
108
Schätztheorie
108
Time series analysis
31
Zeitreihenanalyse
31
Monte Carlo simulation
22
Monte-Carlo-Simulation
22
Regression analysis
20
Regressionsanalyse
20
Estimation
19
Schätzung
18
Simulation
14
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
State space model
10
Zustandsraummodell
10
Bayes-Statistik
9
Bayesian inference
9
Stochastic process
9
Bootstrap approach
8
Bootstrap-Verfahren
8
Forecasting model
8
Maximum likelihood estimation
8
Panel
8
Panel study
8
Prognoseverfahren
8
Statistical distribution
8
Statistische Verteilung
8
ARCH model
6
ARCH-Modell
6
Option pricing theory
6
Optionspreistheorie
6
Portfolio selection
6
Risikomaß
6
Risk measure
6
Statistical test
6
Statistischer Test
6
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18
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1
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Article
22
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Article in journal
Aufsatz in Zeitschrift
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English
22
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Boubaker, Heni
2
Akira Toda, Alexis
1
Aloy, Marcel
1
Andreasen, Martin Møller
1
Bartolucci, Francesco
1
Cagnone, Silvia
1
Cervellera, Gian P.
1
Choudhry, Taufiq
1
De Rossi, Giuliano
1
Dempsey, Michael
1
Deng, Xue
1
Dias, Fabio S.
1
Gao, Kang
1
Gulliksson, Mårten
1
Herbst, Edward P.
1
Jebabli, Ikram
1
Khorunzhina, Natalia
1
Kibria, B. M. Golam
1
Kouaissah, Noureddine
1
Li, Yong
1
Liang, Ying
1
Mazur, Stepan
1
Mozumder, Sharif
1
Månsson, Kristofer
1
Ortobelli Lozza, Sergio
1
Peters, Gareth
1
Péguin-Feissolle, Anne
1
Richard, Jean-François
1
Santos, Antonio A. F.
1
Su, Kuangxi
1
Sun, Edward W.
1
Truchis, Gilles de
1
Tucci, Marco Paolo
1
Wang, Bo
1
Wang, Shaoping
1
Wang, Weiguo
1
Wang, Yu-Jen
1
Wei Gao
1
Xie, Wenzhao
1
Yao, Yinhong
1
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Computational economics
Journal of econometrics
223
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
Economics letters
57
Econometric reviews
50
European journal of operational research : EJOR
38
Journal of empirical finance
34
Finance research letters
33
Journal of banking & finance
32
Econometric theory
31
Economic modelling
31
Insurance / Mathematics & economics
26
Quantitative finance
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
The econometrics journal
23
Econometrics : open access journal
22
International journal of forecasting
22
International journal of theoretical and applied finance
22
Journal of risk and financial management : JRFM
22
Journal of the American Statistical Association : JASA
21
Journal of financial econometrics
20
Journal of forecasting
19
Operations research
19
Journal of risk
17
The North American journal of economics and finance : a journal of financial economics studies
15
Quantitative economics : QE ; journal of the Econometric Society
14
Risks : open access journal
14
Applied economics
13
Applied economics letters
13
Journal of mathematical finance
12
The European journal of finance
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of economic dynamics & control
11
Mathematics of operations research
11
Statistics in transition : an international journal of the Polish Statistical Association
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Finance and stochastics
10
Financial markets and portfolio management
10
Journal of applied econometrics
10
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ECONIS (ZBW)
22
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1
Portfolio selection based on emd denoising with correlation coefficient test criterion
Su, Kuangxi
;
Yao, Yinhong
;
Zheng, Chengli
;
Xie, Wenzhao
- In:
Computational economics
63
(
2024
)
1
,
pp. 391-421
Persistent link: https://www.econbiz.de/10014472254
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 portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
4
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:
5
Portfolio selection using multivariate semiparametric estimators and a copula PCA-based approach
Kouaissah, Noureddine
;
Ortobelli Lozza, Sergio
; …
- In:
Computational economics
60
(
2022
)
3
,
pp. 833-859
Persistent link: https://www.econbiz.de/10013380843
Saved in:
6
Data-based automatic discretization of nonparametric distributions
Akira Toda, Alexis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1217-1235
Persistent link: https://www.econbiz.de/10012543278
Saved in:
7
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:
8
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:
9
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
10
A non-parametric test and predictive model for signed path dependence
Dias, Fabio S.
;
Peters, Gareth
- In:
Computational economics
56
(
2020
)
2
,
pp. 461-498
Persistent link: https://www.econbiz.de/10012272043
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