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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of time series econometrics"
~isPartOf:"Quantitative finance"
~subject:"ARCH-Modell"
~subject:"Derivat"
~type_genre:"Bibliografie enthalten"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Derivat
Estimation theory
97
Schätztheorie
97
Time series analysis
49
Zeitreihenanalyse
49
Volatilität
19
Estimation
18
Schätzung
18
Forecasting model
15
Prognoseverfahren
15
ARCH model
12
Statistical test
12
Statistischer Test
12
Stochastic process
11
Stochastischer Prozess
11
Cointegration
9
Einheitswurzeltest
9
Kointegration
9
Structural break
9
Strukturbruch
9
Unit root test
9
Börsenkurs
8
Portfolio selection
8
Portfolio-Management
8
Share price
8
Capital income
7
Kapitaleinkommen
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Option pricing theory
7
Optionspreistheorie
7
Regression analysis
7
Regressionsanalyse
7
ARMA model
6
ARMA-Modell
6
Autocorrelation
6
Autokorrelation
6
Market microstructure
6
Marktmikrostruktur
6
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25
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Article
30
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Article in journal
Bibliografie enthalten
Aufsatz in Zeitschrift
30
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English
30
Author
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Arvanitis, Stelios
2
Asai, Manabu
2
Ardia, David
1
Bayer, Christian
1
Behrendt, Simon
1
Bluteau, Keven
1
Boubaker, Heni
1
Breneis, Simon
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
Chen, Jie
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Dēmos, Antōnēs A.
1
Favreau, Charles
1
Galakis, John
1
Glasserman, Paul
1
Hizmeri, Rodrigo
1
Hoogerheide, Lennart
1
Izzeldin, Marwan
1
Jensen, Anders Tolver
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Lange, Theis
1
Laurini, Márcio Poletti
1
Lewis, Alan L.
1
Liu, Guangying
1
Louka, Alexandros
1
McAleer, Michael
1
Milunovich, George
1
Mingone, A.
1
Neuberg, Richard
1
Nolte, Ingmar
1
Pappas, Vasileios
1
Pelagatti, Matteo
1
Pirjol, Dan
1
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Journal of time series econometrics
Quantitative finance
Journal of econometrics
145
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
58
Econometric theory
50
Economics letters
39
Econometric reviews
32
Journal of empirical finance
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
22
Journal of banking & finance
20
Economic modelling
19
International journal of forecasting
18
Finance research letters
17
Journal of financial econometrics
17
Journal of forecasting
16
International journal of theoretical and applied finance
15
Journal of risk
14
Applied economics
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
International journal of economics and financial issues : IJEFI
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Econometrics : open access journal
12
Journal of mathematical finance
12
Computational economics
11
Applied economics letters
10
The European journal of finance
9
The journal of futures markets
9
Applied financial economics
8
Finance and stochastics
8
Journal of economic dynamics & control
8
The journal of risk model validation
8
Asia-Pacific financial markets
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International Journal of Energy Economics and Policy : IJEEP
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
European journal of operational research : EJOR
6
International journal of economics and finance
6
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ECONIS (ZBW)
30
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1
Realized BEKK-CAW models
Asai, Manabu
;
So, Mike Ka-pui
- In:
Journal of time series econometrics
15
(
2023
)
1
,
pp. 49-77
Persistent link: https://www.econbiz.de/10014288366
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
Multivariate hyper-rotated GARCH-BEKK
Asai, Manabu
;
McAleer, Michael
- In:
Journal of time series econometrics
14
(
2022
)
2
,
pp. 175-198
Persistent link: https://www.econbiz.de/10013260190
Saved in:
8
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:
9
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:
10
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
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