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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of mathematical finance"
~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
63
Schätztheorie
63
Volatilität
23
Schätzung
20
Time series analysis
15
Zeitreihenanalyse
15
Stochastic process
14
Stochastischer Prozess
14
Forecasting model
13
Prognoseverfahren
13
Statistische Verteilung
12
Börsenkurs
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Share price
11
Capital income
10
Kapitaleinkommen
10
ARCH model
9
ARCH-Modell
9
Option pricing theory
9
Optionspreistheorie
9
Portfolio selection
9
Risikomaß
9
Risk measure
9
Correlation
7
Korrelation
7
Market microstructure
6
Marktmikrostruktur
6
Derivat
5
Derivative
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Monte Carlo simulation
5
Monte-Carlo-Simulation
5
Nichtparametrisches Verfahren
5
Nonparametric statistics
5
Yield curve
5
Zinsstruktur
5
CAPM
4
GARCH
4
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Article in journal
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48
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English
48
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Achab, Massil
1
Adewuyi, Adejumo Wahab
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Bishwal, Jaya Prakasah Narayan
1
Breneis, Simon
1
Broby, Daniel
1
Buccheri, G.
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chen, Yu
1
Cheng, Hao
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chu, Chih-Kang
1
Chung, Munki
1
Ensor, Katherine Bennett
1
Epaphra, Manamba
1
Esen, Halil Erturk
1
Fabozzi, Frank J.
1
Favreau, Charles
1
Galakis, John
1
Gerlach, Richard H.
1
Ginley, Matthew
1
Glasserman, Paul
1
Gumbo, Victor
1
Guo, Meihui
1
Han, Yongli
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Hwang, Ruey-Ching
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
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Journal of mathematical finance
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
Finance research letters
38
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
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48
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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
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:
7
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:
8
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
9
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:
10
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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