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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Panel study"
~subject:"Statistische Verteilung"
~type_genre:"Government document"
~type_genre:"Textbook"
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Volatility
Estimation
Panel study
Statistische Verteilung
Estimation theory
36
Schätztheorie
36
Volatilität
15
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Portfolio selection
8
Portfolio-Management
8
Börsenkurs
7
Option pricing theory
7
Optionspreistheorie
7
Share price
7
Stochastic process
7
Stochastischer Prozess
7
Market microstructure
5
Marktmikrostruktur
5
Risikomaß
5
Risk measure
5
Capital income
4
Derivat
4
Derivative
4
Kapitaleinkommen
4
Modellierung
4
Scientific modelling
4
Statistical distribution
4
Analysis of variance
3
Autocorrelation
3
Autokorrelation
3
CAPM
3
Correlation
3
Estimation error
3
Korrelation
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Nichtparametrisches Verfahren
3
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Article
23
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Article in journal
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23
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English
23
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Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Buccheri, G.
1
Canabarro, Askery
1
Cang, Yuquan
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chu, Chih-Kang
1
Chung, Munki
1
Fabozzi, Frank J.
1
Favreau, Charles
1
Galakis, John
1
Gerlach, Richard H.
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Hwang, Ruey-Ching
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Kim, Jang Ho
1
Kim, Woo Chang
1
Lee, Yongjae
1
Lewis, Alan L.
1
Liu, Guangying
1
Mboussa Anga, G.
1
Mingone, A.
1
Muzy, J. F.
1
Nolte, Ingmar
1
Pappas, Vasileios
1
Peters, Gareth
1
Pirjol, Dan
1
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Quantitative finance
Journal of econometrics
429
Economics letters
206
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
192
Econometric reviews
134
Econometric theory
79
The econometrics journal
79
Applied economics letters
73
Economic modelling
66
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
63
Applied economics
53
Insurance / Mathematics & economics
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
Journal of applied econometrics
45
Journal of the American Statistical Association : JASA
45
Econometrics : open access journal
44
International journal of forecasting
42
Journal of banking & finance
40
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
39
Computational economics
35
Empirical economics : a quarterly journal of the Institute for Advanced Studies
35
Journal of empirical finance
35
Quantitative economics : QE ; journal of the Econometric Society
35
European journal of operational research : EJOR
31
Journal of forecasting
30
Journal of financial econometrics
28
Journal of risk and financial management : JRFM
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
27
Oxford bulletin of economics and statistics
27
Statistics in transition : an international journal of the Polish Statistical Association
27
Finance research letters
26
The review of economics and statistics
25
International journal of economics and financial issues : IJEFI
24
Energy economics
22
Journal of economic dynamics & control
20
Journal of risk
20
The North American journal of economics and finance : a journal of financial economics studies
19
Regional science & urban economics
17
Risks : open access journal
17
The empirical economics letters : a monthly international journal of economics
17
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ECONIS (ZBW)
23
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.
;
Mboussa Anga, G.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
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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