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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of banking & finance"
~subject:"Nichtparametrisches Verfahren"
~subject:"Option pricing theory"
~subject:"Risikomaß"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Volatility
Nichtparametrisches Verfahren
Option pricing theory
Risikomaß
Statistische Verteilung
Estimation theory
74
Schätztheorie
74
Estimation
28
Schätzung
27
Portfolio selection
18
Portfolio-Management
18
Theorie
14
Theory
14
Volatilität
13
Time series analysis
10
Zeitreihenanalyse
10
ARCH model
9
ARCH-Modell
9
Börsenkurs
9
Correlation
9
Forecasting model
9
Korrelation
9
Prognoseverfahren
9
Share price
9
Credit risk
8
Kreditrisiko
8
Risk measure
8
Capital income
7
Kapitaleinkommen
7
Nonparametric statistics
7
Statistical distribution
7
USA
7
United States
7
Portfolio optimization
6
Risikomanagement
6
Risk management
6
Yield curve
6
Zinsstruktur
6
CAPM
5
Optionspreistheorie
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Article
29
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Article in journal
Aufsatz in Zeitschrift
29
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English
29
Author
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Rösch, Daniel
2
Alexander, Carol
1
Andersson, Magnus
1
Aslanidis, Nektarios
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
Cai, Zongwu
1
Casas, Isabel
1
Cenedese, Gino
1
Claußen, Arndt
1
Clements, Adam
1
Ergün, Tolga A.
1
Escanciano, Juan Carlos
1
Escobar, Marcos
1
Faff, Robert W.
1
Girardi, Giulio
1
Golosnoy, Vasyl
1
Hamid, Alain
1
Han, Chulwoo
1
Hartmann-Wendels, Thomas
1
Huang, Jinbo
1
Humphrey, Jacquelyn E.
1
Jondeau, Eric
1
Kaeck, Andreas
1
Kanniainen, Juho
1
Kim, Joocheol
1
Kim, Joseph H. T.
1
Kircher, Felix
1
Lahaye, Jérôme
1
Li, Yifan
1
Li, Yong
1
Lin, Binghuan
1
Lomakka, Magnus
1
Lönnbark, Carl
1
Miller, Patrick
1
Nolte, Ingmar
1
Okhrin, Yarema
1
Paolella, Marc S.
1
Paulusch, Joachim
1
Pei, Pei
1
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Journal of banking & finance
Journal of econometrics
452
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
162
Econometric theory
135
Economics letters
122
Econometric reviews
113
Journal of the American Statistical Association : JASA
90
The econometrics journal
79
Insurance / Mathematics & economics
60
European journal of operational research : EJOR
46
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
45
Quantitative economics : QE ; journal of the Econometric Society
39
International journal of forecasting
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
Econometrics : open access journal
33
Economic modelling
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
31
Journal of risk and financial management : JRFM
30
Computational economics
29
Journal of empirical finance
28
Finance research letters
26
Journal of risk
25
Statistics in transition : an international journal of the Polish Statistical Association
25
Applied economics
23
Journal of financial econometrics
23
Quantitative finance
23
Applied economics letters
22
International journal of theoretical and applied finance
21
Journal of applied econometrics
21
Risks : open access journal
21
Energy economics
18
Journal of forecasting
18
Empirical economics : a quarterly journal of the Institute for Advanced Studies
16
Operations research
16
Journal of productivity analysis
15
Journal of mathematical finance
14
Finance and stochastics
13
The North American journal of economics and finance : a journal of financial economics studies
13
The journal of risk model validation
13
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ECONIS (ZBW)
29
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1
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
2
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
Saved in:
3
A general approach to smooth and convex portfolio optimization using lower partial moments
Yao, Haixiang
;
Huang, Jinbo
;
Li, Yong
;
Humphrey, …
- In:
Journal of banking & finance
129
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012822108
Saved in:
4
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
5
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
6
A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Kircher, Felix
;
Rösch, Daniel
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013256632
Saved in:
7
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
8
A nonparametric approach to portfolio shrinkage
Han, Chulwoo
- In:
Journal of banking & finance
120
(
2020
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012521350
Saved in:
9
Hedging parameter risk
Claußen, Arndt
;
Rösch, Daniel
;
Schmelzle, Martin
- In:
Journal of banking & finance
100
(
2019
),
pp. 111-121
Persistent link: https://www.econbiz.de/10012162464
Saved in:
10
Unbiased estimation of risk
Pitera, Marcin
;
Schmidt, Thorsten
- In:
Journal of banking & finance
91
(
2018
),
pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
Saved in:
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