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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Finance research letters"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Portfolio-Management"
~subject:"Statistical distribution"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Portfolio-Management
Statistical distribution
Estimation theory
103
Schätztheorie
103
Schätzung
31
Volatilität
28
Portfolio selection
24
Time series analysis
22
Zeitreihenanalyse
22
Forecasting model
20
Prognoseverfahren
20
Capital income
19
Kapitaleinkommen
19
ARCH model
14
ARCH-Modell
14
Börsenkurs
13
Risikomaß
13
Risk measure
13
Share price
13
Correlation
12
Korrelation
12
Statistische Verteilung
12
Stochastic process
12
Stochastischer Prozess
12
Option pricing theory
11
Optionspreistheorie
11
Analysis of variance
9
CAPM
9
Varianzanalyse
9
Bayes-Statistik
7
Bayesian inference
7
Market microstructure
7
Marktmikrostruktur
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Regression analysis
7
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7
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70
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Article in journal
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70
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English
70
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Ardia, David
2
Auer, Benjamin R.
2
Chiu, Wan-Yi
2
Madan, Dilip B.
2
Schuhmacher, Frank
2
Wu, Xinyu
2
Achab, Massil
1
Adesina, Tola
1
Arnerić, Josip
1
Bacry, E.
1
Bayer, Christian
1
Beechey, Meredith Jane
1
Behrendt, Simon
1
Bluteau, Keven
1
Bodnar, Taras
1
Bonaparte, Yosef
1
Bonato, Matteo
1
Bongiorno, Christian
1
Boynton, Wentworth
1
Breneis, Simon
1
Broby, Daniel
1
Buccheri, G.
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Challet, Damien
1
Chatrath, Arjun
1
Chatterjee, Rupak
1
Chen, Fang
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chen, Yu
1
Cheng, Siang
1
Chi, Xie
1
Christie-David, Rohan
1
Chronopoulou, Alexandra
1
Chu, Chih-Kang
1
Chung, Munki
1
De Luca, Giovanni
1
Dutta, Sumanjay
1
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Finance research letters
Quantitative finance
Journal of econometrics
338
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
171
Economics letters
143
Econometric reviews
90
Economic modelling
64
Applied economics letters
61
Econometric theory
59
Insurance / Mathematics & economics
57
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
Applied economics
49
Journal of banking & finance
49
The econometrics journal
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
Journal of empirical finance
45
European journal of operational research : EJOR
43
International journal of forecasting
43
Journal of applied econometrics
43
Journal of the American Statistical Association : JASA
42
Econometrics : open access journal
36
Computational economics
35
Quantitative economics : QE ; journal of the Econometric Society
35
Journal of financial econometrics
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
Journal of forecasting
30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
Journal of risk and financial management : JRFM
29
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Statistics in transition : an international journal of the Polish Statistical Association
27
Journal of risk
25
International journal of economics and financial issues : IJEFI
24
The review of economics and statistics
23
International journal of theoretical and applied finance
22
Energy economics
21
Risks : open access journal
20
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of economic dynamics & control
18
The European journal of finance
18
Journal of mathematical finance
16
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ECONIS (ZBW)
70
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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
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
Saved in:
3
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:
4
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:
5
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:
6
Shrinkage and thresholding approaches for expected utility portfolios : an analysis in terms of predictive ability
Dutta, Sumanjay
;
Jain, Shashi
- In:
Finance research letters
64
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531731
Saved in:
7
Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min
- In:
Finance research letters
63
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
Saved in:
8
Estimation for generalized linear cointegration regression models through composite quantile regression approach
Liu, Bingqi
;
Pang, Tianxiao
;
Cheng, Siang
- In:
Finance research letters
65
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014563764
Saved in:
9
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:
10
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
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