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type_genre:"Article in journal"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Quantitative finance"
~subject:"Autokorrelation"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Autokorrelation
Marktmikrostruktur
Stochastischer Prozess
Estimation theory
113
Schätztheorie
113
Volatility
36
Volatilität
36
Estimation
35
Schätzung
35
Time series analysis
34
Zeitreihenanalyse
34
Capital income
24
Kapitaleinkommen
24
Forecasting model
21
Prognoseverfahren
21
Börsenkurs
19
Portfolio selection
19
Portfolio-Management
19
Share price
19
Stochastic process
18
Theorie
17
Theory
17
ARCH model
15
ARCH-Modell
15
Statistical distribution
13
Statistische Verteilung
13
Autocorrelation
12
Correlation
11
Korrelation
11
Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Option pricing theory
10
Optionspreistheorie
10
CAPM
9
Yield curve
9
Zinsstruktur
9
Modellierung
8
Risikomaß
8
Risk measure
8
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8
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6
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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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Kristensen, Dennis
2
Rahbek, Anders
2
Achab, Massil
1
Agosto, Arianna
1
Amihud, Yakov
1
Asai, Manabu
1
Astill, Sam
1
Bacry, E.
1
Bayer, Christian
1
Bohn Nielsen, Heino
1
Breneis, Simon
1
Cang, Yuquan
1
Capriotti, Luca
1
Cavaliere, Giuseppe
1
Chan, Chia-ying
1
Chen, May-Ru
1
Chen, Yu
1
Cheng, Tsung-Chi
1
Chronopoulou, Alexandra
1
Creel, Michael D.
1
Dalla, Violetta
1
Daníelsson, Jón
1
Granger, C. W. J.
1
Guo, Meihui
1
Harvey, David I.
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Hurvich, Clifford M.
1
Hyung, Namwon
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Jayetileke, Harshanie L.
1
Kang, Kyu Ho
1
King, Maxwell L.
1
Kinnear, Ryan J.
1
Kinnunen, Jyri
1
Lai, Hung-neng
1
Lam, Henry
1
Lee, Cheol Woo
1
Lee, Kyungsub
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Journal of empirical finance
Quantitative finance
Journal of econometrics
163
Economics letters
53
Econometric reviews
49
Econometric theory
45
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
44
Economic modelling
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
The econometrics journal
19
Econometrics : open access journal
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
European journal of operational research : EJOR
14
Applied economics letters
13
Regional science & urban economics
13
Computational economics
12
Mathematics of operations research
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of banking & finance
9
Journal of financial econometrics
9
Operations research
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Insurance / Mathematics & economics
8
International journal of forecasting
8
International journal of production research
8
International journal of theoretical and applied finance
8
Journal of forecasting
8
Journal of risk and financial management : JRFM
8
Journal of the American Statistical Association : JASA
8
Quantitative economics : QE ; journal of the Econometric Society
8
Finance and stochastics
7
Finance research letters
7
Journal of productivity analysis
7
Spatial economic analysis : the journal of the Regional Studies Association
7
Journal of mathematical finance
6
Journal of time series econometrics
6
Operations research letters
6
Oxford bulletin of economics and statistics
6
Risks : open access journal
6
Asia-Pacific financial markets
5
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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
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
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
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:
5
Estimating and testing skewness in a stochastic volatility model
Lee, Cheol Woo
;
Kang, Kyu Ho
- In:
Journal of empirical finance
72
(
2023
),
pp. 445-467
Persistent link: https://www.econbiz.de/10014476881
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
Predictive regression with p-lags and order-q autoregressive predictors
Jayetileke, Harshanie L.
;
Wang, You-Gan
;
Zhu, Min
- In:
Journal of empirical finance
62
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012693434
Saved in:
8
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
9
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
10
Improvements in estimating the probability of informed trading models
Cheng, Tsung-Chi
;
Lai, Hung-neng
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 771-796
Persistent link: https://www.econbiz.de/10012500188
Saved in:
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