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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"
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Search: subject_exact:"Estimation theory"
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Volatility
Nichtparametrisches Verfahren
Option pricing theory
Risikomaß
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
Statistische Verteilung
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
28
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Article in journal
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28
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English
28
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
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
Perote, Javier
1
Pitera, Marcin
1
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Journal of banking & finance
Journal of econometrics
420
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
148
Econometric theory
116
Economics letters
105
Econometric reviews
97
Journal of the American Statistical Association : JASA
79
The econometrics journal
70
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
42
European journal of operational research : EJOR
37
Quantitative economics : QE ; journal of the Econometric Society
37
Insurance / Mathematics & economics
33
Journal of financial econometrics : official journal of the Society for Financial Econometrics
31
Economic modelling
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
30
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
28
International journal of forecasting
28
Econometrics : open access journal
26
Journal of risk
25
Journal of risk and financial management : JRFM
25
Computational economics
24
Journal of empirical finance
24
Finance research letters
22
Quantitative finance
21
International journal of theoretical and applied finance
20
Journal of financial econometrics
20
Journal of applied econometrics
19
Applied economics
18
Applied economics letters
18
Energy economics
18
Journal of forecasting
15
Risks : open access journal
15
Journal of productivity analysis
14
Operations research
14
Empirical economics : a quarterly journal of the Institute for Advanced Studies
13
Finance and stochastics
12
The North American journal of economics and finance : a journal of financial economics studies
12
Journal of economic dynamics & control
11
Journal of mathematical finance
11
International journal of economics and financial issues : IJEFI
10
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ECONIS (ZBW)
28
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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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