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subject:"Großbritannien"
~isPartOf:"Quantitative finance"
~subject:"United States"
~subject:"Volatilität"
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Großbritannien
United States
Volatilität
Estimation theory
36
Schätztheorie
36
Volatility
15
Estimation
12
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Portfolio selection
8
Portfolio-Management
8
Börsenkurs
7
Option pricing theory
7
Optionspreistheorie
7
Share price
7
Stochastic process
7
Stochastischer Prozess
7
Market microstructure
5
Marktmikrostruktur
5
Risikomaß
5
Risk measure
5
Capital income
4
Derivat
4
Derivative
4
Kapitaleinkommen
4
Modellierung
4
Scientific modelling
4
Statistical distribution
4
Statistische Verteilung
4
Analysis of variance
3
Autocorrelation
3
Autokorrelation
3
CAPM
3
Correlation
3
Estimation error
3
Korrelation
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Nichtparametrisches Verfahren
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English
16
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Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Canabarro, Askery
1
Cang, Yuquan
1
Chatterjee, Rupak
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Favreau, Charles
1
Galakis, John
1
Han, Yongli
1
Hizmeri, Rodrigo
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Lewis, Alan L.
1
Liu, Guangying
1
Mathew, Thomas
1
Mingone, A.
1
Nolte, Ingmar
1
Pappas, Vasileios
1
Pirjol, Dan
1
Podobnik, Boris
1
Qiao, Kenan
1
Realdon, Marco
1
Shelton, Austin
1
Sornette, Didier
1
Spiliopoulos, Konstantinos
1
Stanley, H. Eugene
1
Stupfler, G.
1
Sun, Yuying
1
Tudor, Sebastian F.
1
Tydniouk, Igor
1
Vrontos, Ioannis D.
1
Vrontos, Spyridon D.
1
Wang, Gang-Jin
1
Wang, Shouyang
1
Wehrli, Alexander
1
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Quantitative finance
Journal of econometrics
148
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
136
Economics letters
45
The review of economics and statistics
45
Working paper / National Bureau of Economic Research, Inc.
41
Journal of applied econometrics
35
Discussion paper / Tinbergen Institute
31
Econometric reviews
29
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
26
CREATES research paper
25
International journal of forecasting
25
Journal of empirical finance
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Applied economics
21
Econometric theory
21
Journal of banking & finance
21
Oxford bulletin of economics and statistics
21
American journal of agricultural economics
20
NBER working paper series
20
The journal of futures markets
20
Economic modelling
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Journal of forecasting
18
Journal of financial and quantitative analysis : JFQA
16
The econometrics journal
16
The journal of finance : the journal of the American Finance Association
16
CEMMAP working papers / Centre for Microdata Methods and Practice
15
Discussion paper
15
Discussion paper / Centre for Economic Policy Research
15
The review of financial studies
15
Discussion paper series / IZA
14
Finance research letters
14
International journal of theoretical and applied finance
14
NBER Working Paper
14
Journal of financial econometrics
13
Technical working paper / National Bureau of Economic Research
13
Applied economics letters
12
Journal of macroeconomics
12
Working paper
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ECONIS (ZBW)
16
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1
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:
2
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
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
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:
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
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
7
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
8
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
Saved in:
9
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:
10
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:
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