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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"Quantitative finance"
~subject:"Derivative"
~subject:"Monte-Carlo-Simulation"
~subject:"Zeitreihenanalyse"
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Deutschland
Forecasting model
Derivative
Monte-Carlo-Simulation
Zeitreihenanalyse
Estimation theory
36
Schätztheorie
36
Volatility
15
Volatilität
15
Estimation
12
Schätzung
12
Time series analysis
10
Prognoseverfahren
9
Portfolio selection
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Portfolio-Management
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Börsenkurs
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Option pricing theory
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Optionspreistheorie
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Share price
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Stochastic process
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Stochastischer Prozess
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Market microstructure
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Marktmikrostruktur
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Risikomaß
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Risk measure
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Derivat
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Modellierung
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Scientific modelling
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Tsiotas, Georgios
2
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Favreau, Charles
1
Galakis, John
1
Gerlach, Richard H.
1
Glasserman, Paul
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Kondor, Imre
1
Liu, Guangying
1
Neuberg, Richard
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Nolte, Ingmar
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Papp, Gábor
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Pappas, Vasileios
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Peters, Gareth
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Podobnik, Boris
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Qiao, Kenan
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Ren, Yu
1
Shelton, Austin
1
Sisson, Scott A.
1
Sornette, Didier
1
Spiliopoulos, Konstantinos
1
Stanley, H. Eugene
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Quantitative finance
Journal of econometrics
401
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
187
Econometric theory
175
Economics letters
169
International journal of forecasting
133
Discussion paper / Tinbergen Institute
122
Econometric reviews
105
Journal of forecasting
100
Working paper / Department of Econometrics and Business Statistics, Monash University
76
CREATES research paper
67
Applied economics letters
65
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
61
NBER Working Paper
59
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Econometrics : open access journal
56
The econometrics journal
55
Journal of the American Statistical Association : JASA
54
Applied economics
51
Computational economics
51
Economic modelling
51
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
47
Cowles Foundation discussion paper
46
NBER working paper series
45
Journal of time series econometrics
44
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
42
Working paper / National Bureau of Economic Research, Inc.
40
Journal of applied econometrics
39
EUI working paper / ECO
38
Discussion paper
37
Journal of empirical finance
36
Oxford bulletin of economics and statistics
36
Série des documents de travail / Centre de Recherche en Économie et Statistique
34
Working paper
34
SFB 649 discussion paper
32
Discussion paper / Center for Economic Research, Tilburg University
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
NBER technical working paper series
27
Report / Econometric Institute, Erasmus University Rotterdam
27
Technical working paper / National Bureau of Economic Research
27
Working paper series
27
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ECONIS (ZBW)
21
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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
Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
Saved in:
6
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
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
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:
10
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
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