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subject:"United States"
type_genre:"Article in journal"
~isPartOf:"The journal of futures markets"
~subject:"Stochastic process"
~type_genre:"Thesis"
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United States
Stochastic process
Estimation
188
Schätzung
188
USA
82
Volatility
60
Volatilität
60
Theorie
39
Theory
39
Börsenkurs
37
Share price
37
Commodity derivative
34
Rohstoffderivat
34
Index futures
33
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Option pricing theory
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Optionspreistheorie
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Großbritannien
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Option trading
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Optionsgeschäft
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Statistical distribution
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Statistische Verteilung
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Stochastischer Prozess
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87
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Article in journal
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87
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English
87
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Wang, George H. K.
4
Sarno, Lucio
3
Ederington, Louis H.
2
Lim, Kian-Guan
2
Miffre, Joëlle
2
Shrestha, Keshab
2
Yau, Jot
2
Aboura, Sofiane
1
Adkins, Lee Chester
1
Ané, Thierry
1
Arisoy, Yakup Eser
1
Ayadi, Mohamed A.
1
Bali, Turan G.
1
Ben-Ameur, Hatem
1
Benet, Bruce A.
1
Bierwag, Gerald O.
1
Bollen, Nicolas P. B.
1
Boyd, M. E.
1
Byun, Suk Joon
1
Cao, Charles Q.
1
Chao, Wan-Ling
1
Chatrath, Arjun
1
Chen, Haiwei
1
Chen, Sheng-syan
1
Cho, Jang Hyung
1
Christiansen, Charlotte
1
Christie-David, Rohan
1
Corrado, Charles Joseph
1
Câmara, António
1
Daigler, Robert T.
1
Daouk, Hazem
1
Das, Debojyoti
1
De Ville de Goyet, Cédric
1
DeBoyrie, Maria Eugenia
1
Denault, Michel
1
Dhaene, Geert
1
Dhanda, Kanwalroop K.
1
Dias, José Carlos
1
Dixon, Bruce L.
1
Do, Binh
1
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The journal of futures markets
Applied economics
269
The review of economics and statistics
169
The American economic review
151
Applied economics letters
150
The journal of finance : the journal of the American Finance Association
146
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
119
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
117
Journal of applied econometrics
106
Applied financial economics
102
Journal of econometrics
95
The review of financial studies
93
Economics letters
84
Economic modelling
82
Journal of money, credit and banking : JMCB
82
Journal of international money and finance
77
Journal of political economy
76
American economic journal : a journal of the American Economic Association
75
Journal of financial and quantitative analysis : JFQA
74
Journal of banking & finance
68
Journal of monetary economics
68
Southern economic journal
64
Journal of labor economics
61
The quarterly journal of economics
56
Journal of macroeconomics
55
Economic inquiry : journal of the Western Economic Association International
53
Journal of financial economics
53
American journal of agricultural economics
50
Journal of economic dynamics & control
50
The North American journal of economics and finance : a journal of financial economics studies
50
International review of economics & finance : IREF
49
Journal of human resources : JHR
49
Journal of public economics
49
Energy economics
48
Journal of urban economics
48
The journal of economics
45
Review of quantitative finance and accounting
43
The journal of business : B
43
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
42
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ECONIS (ZBW)
87
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1
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
2
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
3
Asymmetry in the permanent price impact of block purchases and sales : theory and empirical evidence
Frino, Alex
;
Mollica, Vito
;
Romano, Maria Grazia
;
Zhou, …
- In:
The journal of futures markets
37
(
2017
)
4
,
pp. 359-373
Persistent link: https://www.econbiz.de/10011950679
Saved in:
4
Informed trading in the options market and stock return predictability
Han, Joongho
;
Kim, Da-Hea
;
Byun, Suk Joon
- In:
The journal of futures markets
37
(
2017
)
11
,
pp. 1053-1093
Persistent link: https://www.econbiz.de/10011950947
Saved in:
5
The skewness implied in the Heston model and its application
Zhang, Jin E.
;
Zhen, Fang
;
Sun, Xiaoxia
;
Zhao, Huimin
- In:
The journal of futures markets
37
(
2017
)
3
,
pp. 211-237
Persistent link: https://www.econbiz.de/10011669807
Saved in:
6
Forecasting stock return volatility : a comparison of GARCH, implied volatility, and realized volatility models
Kambouroudis, Dimos S.
;
McMillan, David G.
;
Tsakou, Katerina
- In:
The journal of futures markets
36
(
2016
)
12
,
pp. 1127-1163
Persistent link: https://www.econbiz.de/10011665507
Saved in:
7
Option pricing under skewness and kurtois using a Cornish-Fisher expansion
Aboura, Sofiane
;
Maillard, Didier
- In:
The journal of futures markets
36
(
2016
)
12
,
pp. 1194-1209
Persistent link: https://www.econbiz.de/10011665615
Saved in:
8
An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung
;
Lee, Yung-Hsin
;
Chao, Wan-Ling
- In:
The journal of futures markets
35
(
2015
)
12
,
pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
Saved in:
9
A convenience yield approximation model for mean-reverting commodities
Dockner, Engelbert J.
;
Eksi, Zehra
;
Rammerstorfer, …
- In:
The journal of futures markets
35
(
2015
)
7
,
pp. 625-654
Persistent link: https://www.econbiz.de/10011405460
Saved in:
10
Implied risk neutral densities from option prices : hypergeometric, spline, lognormal, and edgeworth functions
Santos, André
;
Guerra, João
- In:
The journal of futures markets
35
(
2015
)
7
,
pp. 655-678
Persistent link: https://www.econbiz.de/10011405462
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