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type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Autokorrelation"
~subject:"CAPM"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Autokorrelation
CAPM
Marktmikrostruktur
Stochastischer Prozess
Estimation theory
39
Schätztheorie
39
Volatility
16
Volatilität
16
Estimation
13
Schätzung
13
Forecasting model
10
Prognoseverfahren
10
Time series analysis
10
Zeitreihenanalyse
10
Portfolio selection
9
Portfolio-Management
9
Börsenkurs
8
Share price
8
Stochastic process
8
Option pricing theory
7
Optionspreistheorie
7
Market microstructure
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
Estimation error
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
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15
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Article in journal
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15
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English
15
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Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Breneis, Simon
1
Cang, Yuquan
1
Capriotti, Luca
1
Chen, May-Ru
1
Chen, Yu
1
Cheng, Tsung-Chi
1
Chronopoulou, Alexandra
1
Chung, Munki
1
Fabozzi, Frank J.
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Kim, Jang Ho
1
Kim, Woo Chang
1
Kinnear, Ryan J.
1
Lai, Hung-neng
1
Lam, Henry
1
Lee, Yongjae
1
Lewis, Alan L.
1
Li, Fengpei
1
Lin, Jiahe
1
Liu, Guangying
1
Muzy, J. F.
1
Nevmyvaka, Yuriy
1
Nolte, Ingmar
1
Pappas, Vasileios
1
Pelagatti, Matteo
1
Pirjol, Dan
1
Qiu, Yue
1
Rambaldi, M.
1
Realdon, Marco
1
Ren, Yu
1
Sbrana, Giacomo
1
Schneider, Anderson
1
Sornette, Didier
1
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Quantitative finance
Journal of econometrics
182
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Economics letters
57
Econometric reviews
50
Econometric theory
49
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Journal of empirical finance
22
The econometrics journal
21
Economic modelling
20
Econometrics : open access journal
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
European journal of operational research : EJOR
15
Journal of financial econometrics
15
Journal of banking & finance
14
Journal of financial economics
14
The journal of finance : the journal of the American Finance Association
14
Applied economics letters
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
13
Regional science & urban economics
13
Computational economics
12
Finance research letters
12
Mathematics of operations research
12
Journal of risk and financial management : JRFM
11
Operations research
10
Quantitative economics : QE ; journal of the Econometric Society
10
Insurance / Mathematics & economics
9
International journal of theoretical and applied finance
9
Journal of forecasting
9
International journal of forecasting
8
International journal of production research
8
Journal of economic dynamics & control
8
Journal of the American Statistical Association : JASA
8
Risks : open access journal
8
Finance and stochastics
7
Journal of mathematical finance
7
Journal of productivity analysis
7
Oxford bulletin of economics and statistics
7
Research in international business and finance
7
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ECONIS (ZBW)
15
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1
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15
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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
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:
6
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:
7
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:
8
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:
9
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:
10
A path-integral approximation for non-linear diffusions
Capriotti, Luca
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
Saved in:
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