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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Börsenkurs"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Börsenkurs
Time series analysis
Estimation theory
38
Schätztheorie
38
Volatilität
16
Estimation
13
Schätzung
13
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Portfolio selection
8
Portfolio-Management
8
Share price
8
Stochastic process
8
Stochastischer Prozess
8
Option pricing theory
7
Optionspreistheorie
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Market microstructure
6
Marktmikrostruktur
6
Capital income
5
Kapitaleinkommen
5
Risikomaß
5
Risk measure
5
Statistical distribution
5
Statistische Verteilung
5
Correlation
4
Derivat
4
Derivative
4
Korrelation
4
Modellierung
4
Scientific modelling
4
Analysis of variance
3
Autocorrelation
3
Autokorrelation
3
CAPM
3
Estimation error
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
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Article in journal
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English
21
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Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Canabarro, Askery
1
Cang, Yuquan
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Yu
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Favreau, Charles
1
Galakis, John
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Kinnear, Ryan J.
1
Lam, Henry
1
Lewis, Alan L.
1
Li, Fengpei
1
Lin, Jiahe
1
Liu, Guangying
1
Mingone, A.
1
Muzy, J. F.
1
Nevmyvaka, Yuriy
1
Nolte, Ingmar
1
Pappas, Vasileios
1
Pelagatti, Matteo
1
Pirjol, Dan
1
Podobnik, Boris
1
Qiao, Kenan
1
Rambaldi, M.
1
Realdon, Marco
1
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Quantitative finance
Journal of econometrics
372
Econometric theory
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
164
Economics letters
154
Econometric reviews
97
International journal of forecasting
70
Journal of forecasting
64
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Applied economics letters
55
Econometrics : open access journal
51
Economic modelling
46
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
44
Journal of empirical finance
43
The econometrics journal
43
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
41
Journal of time series econometrics
40
Applied economics
38
Journal of the American Statistical Association : JASA
37
Computational economics
36
Journal of applied econometrics
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
33
Finance research letters
26
Journal of banking & finance
25
Journal of risk and financial management : JRFM
23
Oxford bulletin of economics and statistics
23
Journal of financial econometrics
20
The North American journal of economics and finance : a journal of financial economics studies
18
International journal of economics and financial issues : IJEFI
17
The review of economics and statistics
16
International journal of theoretical and applied finance
15
Journal of economic dynamics & control
15
Journal of macroeconomics
15
The review of economic studies
15
Quantitative economics : QE ; journal of the Econometric Society
14
Empirical economics : a quarterly journal of the Institute for Advanced Studies
12
Journal of quantitative economics
12
Energy economics
11
International journal of economics and finance
11
Journal of mathematical finance
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ECONIS (ZBW)
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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
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:
8
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:
9
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:
10
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
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