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accessRights:"restricted"
subject:"Zeitreihenanalyse"
~isPartOf:"Decisions in economics and finance : DEF ; a journal of applied mathematics"
~isPartOf:"Journal of mathematical finance"
~subject:"Derivative"
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Search: subject_exact:"Estimation theory"
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Zeitreihenanalyse
Derivative
Estimation theory
24
Schätztheorie
24
Time series analysis
10
Volatility
10
Volatilität
10
Estimation
9
Schätzung
8
ARCH model
7
ARCH-Modell
7
Statistical distribution
7
Statistische Verteilung
7
GARCH
4
Option pricing theory
4
Optionspreistheorie
4
Risikomaß
4
Risk measure
4
Stochastic process
3
Stochastischer Prozess
3
Autocorrelation Function
2
Capital income
2
Change-Point
2
Correlation
2
Density Estimation
2
Derivat
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Forecasting model
2
Kapitaleinkommen
2
Korrelation
2
Manhattan Distance
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Model Order
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Prognoseverfahren
2
Simulation
2
Value-at-Risk
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(Powers of) volatility estimation
1
ARCH
1
Asymptotic Minimaxity
1
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English
12
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Mancino, Maria Elvira
2
Adewuyi, Adejumo Wahab
1
Albano, Giuseppina
1
Alòs, Elisa
1
Cacace, Filippo
1
Epaphra, Manamba
1
Esen, Halil Erturk
1
Germani, Alfredo
1
Irungu, Irene W.
1
Jacod, Jean
1
Livieri, Giulia
1
Marmi, Stefano
1
Mundia, Simon
1
Mwita, Peter N.
1
Ngunyi, Anthony
1
Omari, Cyprian Ondieki
1
Papi, Marco
1
Perna, Cira
1
Rocca, Michele la
1
Severino, Federico
1
Waititu, Antony G.
1
Wang, Tai-Ho
1
Zhao, Dianli
1
Zhou, Hanghang
1
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Decisions in economics and finance : DEF ; a journal of applied mathematics
Journal of mathematical finance
Journal of econometrics
160
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
Econometric reviews
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
50
Economics letters
45
International journal of forecasting
38
Journal of time series econometrics
37
Econometric theory
36
Computational economics
24
The econometrics journal
18
Applied economics letters
16
Economic modelling
16
Journal of financial econometrics
13
Applied economics
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Finance research letters
11
Journal of forecasting
11
Quantitative finance
11
Essays in honor of Joon Y. Park : econometric theory
9
Journal of empirical finance
9
Journal of quantitative economics
9
Energy economics
8
The North American journal of economics and finance : a journal of financial economics studies
8
Journal of risk
7
Discussion paper / Centre for Economic Policy Research
5
Discussion papers / CEPR
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
Insurance / Mathematics & economics
5
International journal of economics and finance
5
Journal of banking & finance
5
Research in international business and finance
5
European journal of operational research : EJOR
4
International journal of production economics
4
International journal of production research
4
Journal of economic dynamics & control
4
Journal of international financial markets, institutions & money
4
Scandinavian actuarial journal
4
Theoretical economics letters
4
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ECONIS (ZBW)
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1
Small sample properties of ML estimator in Vasicek and CIR models : a simulation experiment
Albano, Giuseppina
;
Rocca, Michele la
;
Perna, Cira
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 5-19
Persistent link: https://www.econbiz.de/10012065150
Saved in:
2
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa
;
Mancino, Maria Elvira
;
Wang, Tai-Ho
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Saved in:
3
Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
Saved in:
4
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
5
On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Cacace, Filippo
;
Germani, Alfredo
;
Papi, Marco
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 503-525
Persistent link: https://www.econbiz.de/10012127257
Saved in:
6
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
7
Limit theory of model order change-point estimator for GARCH models
Irungu, Irene W.
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 426-445
Persistent link: https://www.econbiz.de/10011875287
Saved in:
8
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
9
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
10
Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
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