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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Bayesian inference"
~subject:"Börsenkurs"
~subject:"Option pricing theory"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Börsenkurs
Option pricing theory
Estimation theory
38
Schätztheorie
38
Volatilität
16
Estimation
13
Schätzung
13
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Portfolio selection
8
Portfolio-Management
8
Share price
8
Stochastic process
8
Stochastischer Prozess
8
Optionspreistheorie
7
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
Nichtparametrisches Verfahren
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23
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Article in journal
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English
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Tsiotas, Georgios
2
Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
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.
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Lam, Henry
1
Lewis, Alan L.
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Li, Fengpei
1
Lin, Jiahe
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Liu, Guangying
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Mingone, A.
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Muzy, J. F.
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Nevmyvaka, Yuriy
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Nolte, Ingmar
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Pappas, Vasileios
1
Pelagatti, Matteo
1
Pirjol, Dan
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1
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Quantitative finance
Journal of econometrics
179
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
71
Economics letters
44
Economic modelling
32
Journal of empirical finance
32
Econometric reviews
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
International journal of forecasting
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
Finance research letters
23
Journal of banking & finance
23
Econometric theory
21
Journal of forecasting
19
The econometrics journal
19
European journal of operational research : EJOR
18
Journal of applied econometrics
18
Journal of economic dynamics & control
18
Journal of risk and financial management : JRFM
18
Computational economics
17
Econometrics : open access journal
17
Journal of the American Statistical Association : JASA
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
International journal of theoretical and applied finance
16
Journal of financial econometrics
16
Applied economics
15
The North American journal of economics and finance : a journal of financial economics studies
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
14
International journal of economics and financial issues : IJEFI
13
Journal of mathematical finance
13
Quantitative economics : QE ; journal of the Econometric Society
12
Finance and stochastics
11
Insurance / Mathematics & economics
11
International review of financial analysis
11
Journal of quantitative economics
11
Applied economics letters
10
Journal of financial and quantitative analysis : JFQA
10
Risks : open access journal
10
The journal of finance : the journal of the American Finance Association
10
International journal of financial engineering
9
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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
Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
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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