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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of risk"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Market microstructure"
~subject:"Monte Carlo simulation"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Market microstructure
Monte Carlo simulation
Estimation theory
69
Schätztheorie
69
Risikomaß
26
Risk measure
26
Schätzung
26
Portfolio selection
21
Portfolio-Management
21
Volatilität
21
Time series analysis
16
Zeitreihenanalyse
16
ARCH model
14
ARCH-Modell
14
Forecasting model
13
Prognoseverfahren
13
Statistical distribution
12
Statistische Verteilung
12
Börsenkurs
10
Capital income
10
Kapitaleinkommen
10
Share price
10
Stochastic process
10
Stochastischer Prozess
10
Option pricing theory
8
Optionspreistheorie
8
Risiko
8
Risk
8
Risikomanagement
7
Risk management
7
Correlation
6
Korrelation
6
Marktmikrostruktur
6
Autocorrelation
5
Autokorrelation
5
Derivat
5
Derivative
5
Monte-Carlo-Simulation
5
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Article
42
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Article in journal
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42
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English
42
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Achab, Massil
1
Auer, Benjamin R.
1
Bacry, E.
1
Bayer, Christian
1
Baysal, Rafet Evren
1
Behrendt, Simon
1
Berens, Tobias
1
Breneis, Simon
1
Buccheri, G.
1
Canabarro, Askery
1
Cang, Yuquan
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chen, Yu
1
Cheng, Tsung-Chi
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chung, Munki
1
Cipra, Tomáš
1
Fabozzi, Frank J.
1
Favreau, Charles
1
Feng, Yuanhua
1
Fischer, Matthias
1
Galakis, John
1
Gerlach, Richard H.
1
Goldman, Elena
1
Guo, Meihui
1
Guo, Zi-Yi
1
Hendrych, Radek
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Jiang, Yindeng
1
Jiang, Zhi-Qiang
1
Kabaila, Paul
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
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Journal of risk
Quantitative finance
Journal of econometrics
318
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
165
Economics letters
141
Econometric reviews
87
Economic modelling
70
Applied economics letters
68
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
59
Applied economics
55
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
Journal of applied econometrics
43
Econometric theory
42
The econometrics journal
42
Computational economics
41
Journal of banking & finance
38
International journal of forecasting
37
Quantitative economics : QE ; journal of the Econometric Society
36
Econometrics : open access journal
35
Journal of empirical finance
34
Journal of the American Statistical Association : JASA
33
European journal of operational research : EJOR
29
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
Empirical economics : a quarterly journal of the Institute for Advanced Studies
28
Journal of forecasting
28
Finance research letters
26
Journal of financial econometrics
24
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
23
Insurance / Mathematics & economics
23
International journal of economics and financial issues : IJEFI
23
Journal of risk and financial management : JRFM
23
The review of economics and statistics
23
Journal of economic dynamics & control
22
Energy economics
21
The North American journal of economics and finance : a journal of financial economics studies
20
International journal of theoretical and applied finance
18
Risks : open access journal
16
Journal of quantitative economics
15
The empirical economics letters : a monthly international journal of economics
15
Journal of productivity analysis
14
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ECONIS (ZBW)
42
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
8
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
9
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:
10
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
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