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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Portfolio-Management"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Portfolio-Management
Estimation theory
38
Schätztheorie
38
Volatilität
16
Schätzung
13
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Börsenkurs
8
Portfolio selection
8
Share price
8
Stochastic process
8
Stochastischer Prozess
8
Option pricing theory
7
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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30
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Article in journal
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30
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English
30
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Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Broby, Daniel
1
Buccheri, G.
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Yu
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chung, Munki
1
Fabozzi, Frank J.
1
Favreau, Charles
1
Galakis, John
1
Glasserman, Paul
1
Guo, Meihui
1
Han, Yongli
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
Kim, Hyuksoo
1
Kim, Jang Ho
1
Kim, Saejoon
1
Kim, Woo Chang
1
Kinnear, Ryan J.
1
Kondor, Imre
1
Lam, Henry
1
Lee, Yongjae
1
Lewis, Alan L.
1
Li, Fengpei
1
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Quantitative finance
Journal of econometrics
298
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
158
Economics letters
125
Econometric reviews
74
Economic modelling
62
Applied economics letters
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
Journal of banking & finance
47
Applied economics
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Journal of empirical finance
43
Journal of applied econometrics
42
Finance research letters
36
The econometrics journal
36
Econometric theory
35
European journal of operational research : EJOR
35
International journal of forecasting
35
Quantitative economics : QE ; journal of the Econometric Society
33
Computational economics
29
Econometrics : open access journal
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
27
Journal of financial econometrics
26
Journal of forecasting
26
Journal of the American Statistical Association : JASA
26
Insurance / Mathematics & economics
24
International journal of economics and financial issues : IJEFI
24
Journal of risk and financial management : JRFM
24
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
The review of economics and statistics
22
Energy economics
21
International journal of theoretical and applied finance
21
Journal of risk
20
The North American journal of economics and finance : a journal of financial economics studies
19
The European journal of finance
17
Journal of economic dynamics & control
16
Risks : open access journal
16
Applied financial economics
14
Journal of financial economics
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ECONIS (ZBW)
30
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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
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
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
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:
10
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
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