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type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Autokorrelation"
~subject:"Forecasting model"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Autokorrelation
Forecasting model
Marktmikrostruktur
Stochastischer Prozess
Estimation theory
39
Schätztheorie
39
Volatility
16
Volatilität
16
Estimation
13
Schätzung
13
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
CAPM
3
Estimation error
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
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21
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Article in journal
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21
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English
21
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Tsiotas, Georgios
2
Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Breneis, Simon
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Yu
1
Cheng, Tsung-Chi
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Galakis, John
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kinnear, Ryan J.
1
Kondor, Imre
1
Koumou, Gilles Boevi
1
Lai, Hung-neng
1
Lam, Henry
1
Lewis, Alan L.
1
Li, Fengpei
1
Lin, Jiahe
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Liu, Guangying
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Muzy, J. F.
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Nevmyvaka, Yuriy
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Nolte, Ingmar
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Papp, Gábor
1
Pappas, Vasileios
1
Pelagatti, Matteo
1
Pirjol, Dan
1
Podobnik, Boris
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Rambaldi, M.
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Quantitative finance
Journal of econometrics
229
International journal of forecasting
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
88
Journal of forecasting
75
Economics letters
71
Econometric reviews
57
Econometric theory
55
The econometrics journal
30
Journal of empirical finance
27
Economic modelling
26
European journal of operational research : EJOR
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Econometrics : open access journal
21
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
21
Insurance / Mathematics & economics
20
Journal of the American Statistical Association : JASA
20
Computational economics
19
Finance research letters
19
Applied economics letters
18
Journal of banking & finance
17
Journal of financial econometrics
15
Empirical economics : a quarterly journal of the Institute for Advanced Studies
14
Risks : open access journal
14
Journal of risk and financial management : JRFM
13
Regional science & urban economics
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Journal of time series econometrics
12
Mathematics of operations research
12
Journal of applied econometrics
11
Oxford bulletin of economics and statistics
11
Applied economics
10
Journal of quantitative economics
10
Operations research
10
The North American journal of economics and finance : a journal of financial economics studies
10
Astin bulletin : the journal of the International Actuarial Association
9
International journal of production research
9
Journal of mathematical finance
9
Finance and stochastics
8
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ECONIS (ZBW)
21
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21
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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
Weight bound constraints in mean-variance models : a robust control theory foundation via machine learning
Koumou, Gilles Boevi
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 719-733
Persistent link: https://www.econbiz.de/10015050790
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
Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
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
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
Saved in:
10
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
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