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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Computational economics"
~isPartOf:"Finance and stochastics"
~subject:"Black-Scholes-Modell"
~subject:"State space model"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Black-Scholes-Modell
State space model
Estimation theory
125
Schätztheorie
125
Time series analysis
34
Zeitreihenanalyse
34
Monte Carlo simulation
23
Monte-Carlo-Simulation
23
Estimation
21
Regression analysis
20
Regressionsanalyse
20
Schätzung
20
Nichtparametrisches Verfahren
16
Nonparametric statistics
16
Stochastic process
14
Volatilität
14
Simulation
13
Option pricing theory
12
Optionspreistheorie
12
Zustandsraummodell
10
Bayes-Statistik
9
Bayesian inference
9
Forecasting model
9
Prognoseverfahren
9
Statistical distribution
9
Statistische Verteilung
9
Bootstrap approach
8
Bootstrap-Verfahren
8
Maximum likelihood estimation
8
Maximum-Likelihood-Schätzung
8
Panel
8
Panel study
8
Risikomaß
7
Risk measure
7
Statistical test
7
Statistischer Test
7
ARCH model
6
ARCH-Modell
6
Markov chain
6
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English
29
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Boubaker, Heni
4
Aghdam, Y. Esmaeelzade
1
Akira Toda, Alexis
1
Aloy, Marcel
1
Andreasen, Martin Møller
1
Azencott, Robert
1
Bakhshandeh, M.
1
Bartolucci, Francesco
1
Cagnone, Silvia
1
Choudhry, Taufiq
1
De Rossi, Giuliano
1
Dempsey, Michael
1
Filipović, Damir
1
Fukasawa, Masaaki
1
Gao, Kun
1
Gloter, Arnaud
1
Gómez-Aguilar, J. F.
1
Hafner, Christian M.
1
Herbst, Edward P.
1
Härdle, Wolfgang
1
Ivashchenko, Sergey
1
Juneja, Januj Amar
1
Khorunzhina, Natalia
1
Kollmann, Robert
1
Lee, Roger
1
Liu, Zhi
1
Mancini, Cecilia
1
Marie, Nicolas
1
Mattiussi, Vanessa
1
Mesgarani, H.
1
Mozumder, Sharif
1
Péguin-Feissolle, Anne
1
Ren, Peng
1
Renò, Roberto
1
Richard, Jean-François
1
Santos, Antonio A. F.
1
Solberger, Martin
1
Spånberg, Erik
1
Söhl, Jakob
1
Tappe, Stefan
1
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Computational economics
Finance and stochastics
Journal of econometrics
152
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
52
Discussion paper / Tinbergen Institute
45
Economics letters
40
Econometric reviews
33
CREATES research paper
29
Economic modelling
28
Econometric theory
25
Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
International journal of forecasting
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Econometrics : open access journal
18
Journal of forecasting
18
Finance research letters
17
International journal of theoretical and applied finance
17
Journal of banking & finance
17
Journal of risk and financial management : JRFM
16
Quantitative finance
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SFB 649 discussion paper
16
The econometrics journal
16
Journal of financial econometrics
15
Cowles Foundation discussion paper
14
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
14
NBER Working Paper
12
The North American journal of economics and finance : a journal of financial economics studies
12
Discussion papers of interdisciplinary research project 373
11
Journal of the American Statistical Association : JASA
11
Mathematics of operations research
11
NBER working paper series
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Working paper
11
Working paper / National Bureau of Economic Research, Inc.
11
Applied economics
10
Applied economics letters
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
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1
The convergence analysis of the numerical calculation to price the time-fractional black-scholes model
Mesgarani, H.
;
Bakhshandeh, M.
;
Aghdam, Y. Esmaeelzade
; …
- In:
Computational economics
62
(
2023
)
4
,
pp. 1845-1856
Persistent link: https://www.econbiz.de/10014437608
Saved in:
2
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
3
A computational analysis of the tradeoff in the estimation of different state space specifications of continuous time affine term structure models
Juneja, Januj Amar
- In:
Computational economics
60
(
2022
)
1
,
pp. 173-220
Persistent link: https://www.econbiz.de/10013262506
Saved in:
4
Data-based automatic discretization of nonparametric distributions
Akira Toda, Alexis
- In:
Computational economics
57
(
2021
)
4
,
pp. 1217-1235
Persistent link: https://www.econbiz.de/10012543278
Saved in:
5
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
6
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F.
- In:
Computational economics
57
(
2021
)
2
,
pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
Saved in:
7
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
8
Estimating a dynamic factor model in EViews using the Kalman filter and smoother
Solberger, Martin
;
Spånberg, Erik
- In:
Computational economics
55
(
2020
)
3
,
pp. 875-900
Persistent link: https://www.econbiz.de/10012223681
Saved in:
9
Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert
;
Ren, Peng
;
Timofeyev, Ilya
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
Saved in:
10
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia
;
Richard, Jean-François
- In:
Computational economics
53
(
2019
)
3
,
pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
Saved in:
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