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accessRights:"restricted"
subject:"Zeitreihenanalyse"
~isPartOf:"Quantitative finance"
~subject:"Optionspreistheorie"
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Zeitreihenanalyse
Optionspreistheorie
Estimation theory
30
Schätztheorie
30
Volatility
11
Volatilität
11
Estimation
10
Schätzung
10
Forecasting model
7
Option pricing theory
7
Portfolio selection
7
Portfolio-Management
7
Prognoseverfahren
7
Time series analysis
7
Börsenkurs
6
Share price
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Stochastic process
6
Stochastischer Prozess
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Derivat
4
Derivative
4
Market microstructure
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Marktmikrostruktur
4
Risikomaß
4
Risk measure
4
Statistical distribution
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Statistische Verteilung
4
CAPM
3
Capital income
3
Correlation
3
Estimation error
3
Kapitaleinkommen
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Modellierung
3
Monte Carlo simulation
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Monte-Carlo-Simulation
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Probability theory
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English
13
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Behrendt, Simon
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chronopoulou, Alexandra
1
Favreau, Charles
1
Guo, Meihui
1
Huang, Shih-Feng
1
Kane, Hayden
1
Lewis, Alan L.
1
Liu, Guangying
1
Mingone, A.
1
Pirjol, Dan
1
Qiao, Kenan
1
Realdon, Marco
1
Ren, Yu
1
Shelton, Austin
1
Sornette, Didier
1
Spiliopoulos, Konstantinos
1
Sun, Yuying
1
Tudor, Sebastian F.
1
Tydniouk, Igor
1
Wang, Shouyang
1
Wehrli, Alexander
1
Wheatley, Spencer
1
Xiang, Jing
1
Xie, Tian
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Quantitative finance
Journal of econometrics
165
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
58
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
Econometric theory
37
Journal of time series econometrics
37
Computational economics
29
Economic modelling
18
The econometrics journal
17
Applied economics letters
16
Applied economics
13
Finance research letters
13
Journal of financial econometrics
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of empirical finance
11
Journal of forecasting
11
Essays in honor of Joon Y. Park : econometric theory
9
Energy economics
8
European journal of operational research : EJOR
8
Journal of quantitative economics
8
The North American journal of economics and finance : a journal of financial economics studies
8
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Journal of risk
7
Insurance / Mathematics & economics
6
International journal of financial engineering
6
International journal of theoretical and applied finance
6
Journal of mathematical finance
6
Discussion paper / Centre for Economic Policy Research
5
Discussion papers / CEPR
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
Finance and stochastics
5
International journal of economics and finance
5
Journal of banking & finance
5
Research in international business and finance
5
International journal of computational economics and econometrics : IJCEE
4
International journal of production economics
4
International journal of production research
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ECONIS (ZBW)
13
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Uncertainty shocks of Trump election in an interval model of stock market
Sun, Yuying
;
Qiao, Kenan
;
Wang, Shouyang
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 865-879
Persistent link: https://www.econbiz.de/10012500201
Saved in:
9
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:
10
A path-integral approximation for non-linear diffusions
Capriotti, Luca
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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