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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Börsenkurs"
~subject:"Statistical test"
~subject:"Statistischer Test"
~type_genre:"Systematic review"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Statistical test
Statistischer Test
Estimation theory
39
Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio selection
7
Portfolio-Management
7
Theorie
7
Theory
7
Stochastic process
6
Stochastischer Prozess
6
Risikomaß
5
Risk measure
5
Yield curve
5
Zinsstruktur
5
Estimation
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Schätzung
3
Share price
3
Simulation
3
Analysis of variance
2
Asymptotic expansion
2
Black-Scholes model
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Black-Scholes-Modell
2
Capital income
2
Credit risk
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Derivat
2
Derivative
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Entropie
2
Entropy
2
Experiment
2
Kapitaleinkommen
2
Kreditrisiko
2
Kullback-Leibler divergence
2
Market microstructure
2
Marktmikrostruktur
2
Measurement
2
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Article
14
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Article in journal
Systematic review
Aufsatz in Zeitschrift
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English
14
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Baldeaux, jan
1
Belomestny, Denis
1
Buescu, Cristin
1
Cezaro, Adriano de
1
Chen, Tzu-ying
1
El Qalli, Yassine
1
Guhr, Thomas
1
Han, Chuan-Hsiang
1
How, Desmond
1
Härdle, Wolfgang
1
Koné, Fatoumata J.
1
Kortas, Hedi
1
Krymova, Ekaterina
1
Lim, Kian-Guan
1
Liu, Wei-han
1
Mabrouk, Anouar Ben
1
Matić, Ivan
1
McWalter, Thomas A.
1
Münnix, Michael C.
1
Pelsser, Antoon André Jean
1
Radoičić, Radoš
1
Schäfer, Rudi
1
Stefanica, Dan
1
Takahashi, Akihiko
1
Takehara, Kohta
1
Taksar, Michael I.
1
Terry, Eric
1
Toda, Masashi
1
Van Appel, Jacques
1
Wang, Tai-Ho
1
Zubelli, Jorge P.
1
van Haastrecht, Alexander
1
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International journal of theoretical and applied finance
Journal of econometrics
269
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
92
Econometric reviews
76
Economics letters
71
Econometric theory
58
The econometrics journal
45
Economic modelling
33
Journal of empirical finance
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
28
Econometrics : open access journal
26
Journal of banking & finance
24
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
23
Journal of financial econometrics
23
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Quantitative finance
21
International journal of forecasting
20
Quantitative economics : QE ; journal of the Econometric Society
20
Applied economics letters
19
Finance research letters
19
Journal of forecasting
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
Journal of applied econometrics
14
Journal of risk and financial management : JRFM
14
Journal of the American Statistical Association : JASA
14
The North American journal of economics and finance : a journal of financial economics studies
14
Applied economics
13
Computational economics
13
International journal of economics and financial issues : IJEFI
13
Journal of time series econometrics
13
Journal of financial economics
12
Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
European journal of operational research : EJOR
10
Journal of mathematical finance
10
The European journal of finance
10
Finance and stochastics
9
International review of financial analysis
9
The journal of finance : the journal of the American Finance Association
9
The review of economic studies
9
The review of financial studies
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ECONIS (ZBW)
14
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1
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
2
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
3
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
4
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis
;
Härdle, Wolfgang
;
Krymova, Ekaterina
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
Saved in:
5
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
6
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
7
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
8
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
Saved in:
9
The heat-kernel most-likely-path approximation
Gatheral, Jim
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
Saved in:
10
Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.
;
Schäfer, Rudi
;
Guhr, Thomas
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
Saved in:
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