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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Quantitative finance"
~subject:"Regressionsanalyse"
~subject:"Statistischer Test"
~type_genre:"Conference paper"
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Search: subject_exact:"Estimation theory"
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Volatility
Regressionsanalyse
Statistischer Test
Estimation theory
109
Schätztheorie
109
Volatilität
31
Time series analysis
30
Zeitreihenanalyse
30
Estimation
27
Schätzung
27
Forecasting model
16
Prognoseverfahren
16
Market microstructure
15
Marktmikrostruktur
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Risikomaß
14
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Stochastischer Prozess
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Börsenkurs
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Capital income
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Kapitaleinkommen
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ARCH model
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ARCH-Modell
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Portfolio selection
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Portfolio-Management
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Correlation
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Korrelation
10
Option pricing theory
10
Optionspreistheorie
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Theorie
9
Theory
9
Analysis of variance
8
Regression analysis
8
Varianzanalyse
8
CAPM
7
Modellierung
7
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7
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7
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Article
43
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Article in journal
Conference paper
Aufsatz in Zeitschrift
43
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English
43
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Ahn, Seung Chan
1
Andreou, Alena
1
Balter, Janine
1
Bayer, Christian
1
Behrendt, Simon
1
Bormann, Carsten
1
Bos, Charles S.
1
Breneis, Simon
1
Caldeira, João F.
1
Canabarro, Askery
1
Cang, Yuquan
1
Carrasco, Marine
1
Chatterjee, Rupak
1
Chen, Yi-ting
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chu, Chih-Kang
1
Fan, Jianqing
1
Fan, Yingying
1
Favreau, Charles
1
Francq, Christian
1
Frederiksen, Per
1
Gadarowski, Christopher
1
Galakis, John
1
Ghysels, Eric
1
Giordani, Paolo
1
Hassler, Uwe
1
Herwartz, Helmut
1
Hizmeri, Rodrigo
1
Horváth, Lajos
1
Hsieh, Chih-sheng
1
Hwang, Ruey-Ching
1
Härdle, Wolfgang
1
Ikeda, Shin S.
1
Izzeldin, Marwan
1
Janus, Paweł
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Quantitative finance
Journal of econometrics
480
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
162
Economics letters
151
Econometric theory
145
Econometric reviews
128
Journal of the American Statistical Association : JASA
101
The econometrics journal
96
Econometrics : open access journal
50
Economic modelling
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
39
European journal of operational research : EJOR
37
International journal of forecasting
37
Quantitative economics : QE ; journal of the Econometric Society
36
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
34
Applied economics letters
33
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
32
Computational economics
30
Journal of empirical finance
29
Journal of risk and financial management : JRFM
27
Journal of forecasting
26
Insurance / Mathematics & economics
25
Empirical economics : a quarterly journal of the Institute for Advanced Studies
23
Journal of applied econometrics
23
Journal of financial econometrics
23
Applied economics
21
Journal of banking & finance
20
Finance research letters
18
Journal of quantitative economics
18
Journal of time series econometrics
18
Journal of econometric methods
17
Oxford bulletin of economics and statistics
16
Risks : open access journal
16
Statistical papers
15
Statistics in transition : an international journal of the Polish Statistical Association
15
The North American journal of economics and finance : a journal of financial economics studies
14
International journal of theoretical and applied finance
13
Cambridge working papers in economics
12
International journal of economics and financial issues : IJEFI
12
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ECONIS (ZBW)
43
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1
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:
2
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:
3
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:
4
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
Saved in:
5
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
6
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
7
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
8
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
Saved in:
9
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
10
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
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