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type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Autokorrelation"
~subject:"Marktmikrostruktur"
~subject:"Nichtparametrisches Verfahren"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Autokorrelation
Marktmikrostruktur
Nichtparametrisches Verfahren
Stochastischer Prozess
Estimation theory
38
Schätztheorie
38
Volatility
16
Volatilität
16
Estimation
13
Schätzung
13
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Börsenkurs
8
Portfolio selection
8
Portfolio-Management
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
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3
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14
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Article in journal
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14
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English
14
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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
Galakis, John
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Kinnear, Ryan J.
1
Lai, Hung-neng
1
Lam, Henry
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
Rambaldi, M.
1
Realdon, Marco
1
Sbrana, Giacomo
1
Schneider, Anderson
1
Sornette, Didier
1
Spiliopoulos, Konstantinos
1
Vrontos, Ioannis D.
1
Vrontos, Spyridon D.
1
Wehrli, Alexander
1
Wheatley, Spencer
1
Xiang, Jing
1
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Quantitative finance
Journal of econometrics
450
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
145
Econometric theory
141
Economics letters
132
Econometric reviews
125
Journal of the American Statistical Association : JASA
82
The econometrics journal
78
Quantitative economics : QE ; journal of the Econometric Society
43
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
42
European journal of operational research : EJOR
37
Econometrics : open access journal
33
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
33
Economic modelling
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Applied economics letters
25
Journal of empirical finance
23
Computational economics
22
Insurance / Mathematics & economics
21
Journal of applied econometrics
20
International journal of forecasting
19
Journal of productivity analysis
19
Journal of risk and financial management : JRFM
19
Operations research
18
Regional science & urban economics
17
Journal of banking & finance
16
Energy economics
14
Journal of econometric methods
12
Applied economics
11
Cambridge working papers in economics
11
Empirical economics : a quarterly journal of the Institute for Advanced Studies
11
Journal of financial econometrics
11
Journal of forecasting
11
Mathematics of operations research
11
Risks : open access journal
10
International journal of theoretical and applied finance
9
Operations research letters
9
Spatial economic analysis : the journal of the Regional Studies Association
9
The review of economic studies
9
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ECONIS (ZBW)
14
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14
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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
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:
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
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
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
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