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type_genre:"Article in journal"
~isPartOf:"Operations research"
~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
102
Schätztheorie
102
Estimation
20
Schätzung
20
Stochastic process
17
Volatility
16
Volatilität
16
Simulation
15
Portfolio selection
14
Portfolio-Management
14
Nichtparametrisches Verfahren
12
Nonparametric statistics
12
Forecasting model
11
Mathematical programming
11
Mathematische Optimierung
11
Prognoseverfahren
11
Time series analysis
10
Zeitreihenanalyse
10
Option pricing theory
9
Optionspreistheorie
9
Börsenkurs
8
Risikomaß
8
Risk measure
8
Share price
8
Statistical distribution
8
Statistische Verteilung
8
Artificial intelligence
7
Bayesian inference
7
Künstliche Intelligenz
7
Maximum likelihood estimation
7
Maximum-Likelihood-Schätzung
7
Modellierung
7
Monte Carlo simulation
7
Monte-Carlo-Simulation
7
Scientific modelling
7
Bayes-Statistik
6
Derivat
6
Derivative
6
Market microstructure
6
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17
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Article
22
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Article in journal
Aufsatz in Zeitschrift
22
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English
22
Author
All
Fu, Michael
2
Lam, Henry
2
Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Braverman, Anton
1
Breneis, Simon
1
Cang, Yuquan
1
Capriotti, Luca
1
Chen, May-Ru
1
Chen, Yu
1
Cheng, Tsung-Chi
1
Chronopoulou, Alexandra
1
Dai, J. G.
1
Dentcheva, Darinka
1
Fang, Xiao
1
Guo, Meihui
1
Heidergott, Bernd
1
Hizmeri, Rodrigo
1
Hu, Jian-Qiang
1
Huang, Shih-Feng
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Karger, David R.
1
Kim, Kyoung-Kuk
1
Kim, Sojung
1
Kinnear, Ryan J.
1
Lai, Hung-neng
1
Lewis, Alan L.
1
Li, Fengpei
1
Lin, Jiahe
1
Lin, Yang
1
Liu, Guangying
1
Marcus, Steven I.
1
Muzy, J. F.
1
Nevmyvaka, Yuriy
1
Nolte, Ingmar
1
Oh, Sewoong
1
Pappas, Vasileios
1
Pelagatti, Matteo
1
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Operations research
Quantitative finance
Journal of econometrics
163
Economics letters
53
Econometric reviews
49
Econometric theory
47
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
47
The econometrics journal
20
Economic modelling
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Econometrics : open access journal
17
Journal of empirical finance
17
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
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of banking & finance
9
Journal of financial econometrics
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)
22
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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
High-order steady-state diffusion approximations
Braverman, Anton
;
Dai, J. G.
;
Fang, Xiao
- In:
Operations research
72
(
2024
)
2
,
pp. 604-616
Persistent link: https://www.econbiz.de/10014520812
Saved in:
6
Stability and sample-based approximations of composite stochastic optimization problems
Dentcheva, Darinka
;
Lin, Yang
;
Penev, Spiridon
- In:
Operations research
71
(
2023
)
5
,
pp. 1871-1888
Persistent link: https://www.econbiz.de/10014393285
Saved in:
7
Enhanced balancing of bias-variance tradeoff in stochastic estimation : a minimax perspective
Lam, Henry
;
Zhang, Xinyu
;
Zhang, Xuhui
- In:
Operations research
71
(
2023
)
6
,
pp. 2352-2373
Persistent link: https://www.econbiz.de/10014445044
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
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:
10
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
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