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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Portfolio selection"
~subject:"Statistical theory"
~subject:"Volatilität"
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Portfolio selection
Statistical theory
Volatilität
Estimation theory
39
Schätztheorie
39
Volatility
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio-Management
7
Theorie
7
Theory
7
Stochastic process
6
Stochastischer Prozess
6
Risikomaß
5
Risk measure
5
Yield curve
5
Zinsstruktur
5
Börsenkurs
3
Estimation
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Monte Carlo simulation
3
Monte-Carlo-Simulation
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Schätzung
3
Share price
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Simulation
3
Analysis of variance
2
Asymptotic expansion
2
Black-Scholes model
2
Black-Scholes-Modell
2
Capital income
2
Credit risk
2
Derivat
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Derivative
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Entropie
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Entropy
2
Experiment
2
Kapitaleinkommen
2
Kreditrisiko
2
Kullback-Leibler divergence
2
Market microstructure
2
Marktmikrostruktur
2
Measurement
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20
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Baldeaux, jan
1
Bodnar, Olha
1
Bodnar, Taras
1
Buescu, Cristin
1
Caccioli, Fabio
1
Carmona, René
1
Cezaro, Adriano de
1
Chan, Ngai Hang
1
Chen, Tzu-ying
1
Crépey, Stéphane
1
El Qalli, Yassine
1
Frahm, Gabriel
1
Guhr, Thomas
1
Han, Chuan-Hsiang
1
How, Desmond
1
Huang, Zhenzhen
1
Kondor, Imre
1
Koné, Fatoumata J.
1
Kortas, Hedi
1
Kwok, Yue-Kuen
1
Lim, Kian-Guan
1
Liu, Wei-han
1
Liu, Yan
1
Mabrouk, Anouar Ben
1
Marsili, Matteo
1
Matić, Ivan
1
McWalter, Thomas A.
1
Münnix, Michael C.
1
Ng, Chi Tim
1
Okhrin, Yarema
1
Pelsser, Antoon André Jean
1
Radoičić, Radoš
1
Schmid, Wolfgang
1
Schäfer, Rudi
1
Stefanica, Dan
1
Takahashi, Akihiko
1
Takehara, Kohta
1
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International journal of theoretical and applied finance
Journal of econometrics
162
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
52
Econometric reviews
51
Economics letters
51
Discussion paper / Tinbergen Institute
36
Econometric theory
36
Journal of empirical finance
31
Finance research letters
30
Journal of banking & finance
29
Quantitative finance
25
European journal of operational research : EJOR
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Economic modelling
18
Journal of financial econometrics
18
Série des documents de travail / Centre de Recherche en Économie et Statistique
18
CREATES research paper
17
Journal of risk
17
Computational economics
16
International journal of forecasting
16
NBER Working Paper
16
The econometrics journal
16
Econometrics : open access journal
15
Journal of risk and financial management : JRFM
15
Journal of forecasting
13
Working paper / Department of Econometrics and Business Statistics, Monash University
13
CORE discussion paper : DP
12
Europäische Hochschulschriften / 5
12
Oxford bulletin of economics and statistics
12
Risks : open access journal
12
SFB 649 discussion paper
12
Technical working paper / National Bureau of Economic Research
12
The European journal of finance
12
The North American journal of economics and finance : a journal of financial economics studies
12
Discussion paper / Center for Economic Research, Tilburg University
11
Insurance / Mathematics & economics
11
International economic review
11
Working paper
11
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ECONIS (ZBW)
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
2
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
3
Arbitrage pricing theory in ergodic markets
Frahm, Gabriel
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011903768
Saved in:
4
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
5
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
6
Liquidity risk and instabilities in portfolio optimization
Caccioli, Fabio
;
Kondor, Imre
;
Marsili, Matteo
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011524891
Saved in:
7
Shrinkage estimation of mean-variance portfolio
Liu, Yan
;
Chan, Ngai Hang
;
Ng, Chi Tim
;
Wong, Samuel Po …
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011453866
Saved in:
8
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
9
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
10
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
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