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subject:"Volatility"
~isPartOf:"Quantitative finance"
~subject:"ARCH-Modell"
~subject:"Schätzung"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Schätzung
Estimation theory
38
Schätztheorie
38
Volatilität
16
Estimation
13
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Börsenkurs
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Portfolio selection
8
Portfolio-Management
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Share price
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Stochastic process
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Stochastischer Prozess
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Option pricing theory
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Optionspreistheorie
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Market microstructure
6
Marktmikrostruktur
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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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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, Yu
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chung, Munki
1
Fabozzi, Frank J.
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
Kim, Jang Ho
1
Kim, Woo Chang
1
Kinnear, Ryan J.
1
Lam, Henry
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Lee, Yongjae
1
Lewis, Alan L.
1
Li, Fengpei
1
Lin, Jiahe
1
Liu, Guangying
1
Mboussa Anga, G.
1
Mingone, A.
1
Muzy, J. F.
1
Nevmyvaka, Yuriy
1
Nolte, Ingmar
1
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Quantitative finance
Journal of econometrics
305
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
162
Economics letters
135
Econometric reviews
81
Econometric theory
68
Economic modelling
62
Applied economics letters
61
Discussion paper / Tinbergen Institute
59
Discussion paper series / IZA
58
NBER Working Paper
55
Applied economics
52
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
CEMMAP working papers / Centre for Microdata Methods and Practice
49
NBER working paper series
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
The econometrics journal
45
Journal of applied econometrics
43
Working paper / Department of Econometrics and Business Statistics, Monash University
43
Journal of empirical finance
42
Journal of banking & finance
38
Working paper / National Bureau of Economic Research, Inc.
38
Working paper
37
International journal of forecasting
35
CESifo working papers
33
CREATES research paper
33
IZA Discussion Paper
32
Discussion paper
31
Journal of forecasting
31
Quantitative economics : QE ; journal of the Econometric Society
31
Econometrics : open access journal
30
Discussion papers / CEPR
29
Computational economics
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Journal of the American Statistical Association : JASA
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
27
International journal of economics and financial issues : IJEFI
27
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
26
SFB 649 discussion paper
26
Finance research letters
25
Journal of financial econometrics
25
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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
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:
9
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:
10
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
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