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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~subject:"Black-Scholes-Modell"
~subject:"Schätztheorie"
~subject:"Theory"
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Stochastischer Prozess
Volatility
Black-Scholes-Modell
Schätztheorie
Theory
Estimation theory
18
Volatilität
8
Option pricing theory
7
Optionspreistheorie
7
Stochastic process
5
Nichtparametrisches Verfahren
3
Nonparametric statistics
3
Theorie
3
Time series analysis
3
Zeitreihenanalyse
3
Estimation
2
High-frequency data
2
Market microstructure
2
Marktmikrostruktur
2
Mathematical programming
2
Mathematische Optimierung
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Noise Trading
2
Noise trading
2
Schätzung
2
Yield curve
2
Zinsstruktur
2
(Tensorized) Chebyshev polynomials
1
Analysis
1
Arbitrage Pricing
1
Arbitrage pricing
1
Asymptotic normality
1
Asymptotics
1
Ausreißer
1
Bias
1
Bias correction
1
Black-Scholes model
1
Complexity reduction
1
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18
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English
18
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Anh, V. V.
1
Azencott, Robert
1
Chen Zhou
1
Embrechts, Paul
1
Filipović, Damir
1
Fissler, Tobias
1
Fukasawa, Masaaki
1
Gao, Kun
1
Gaß, Maximilian
1
Glau, Kathrin
1
Gloter, Arnaud
1
Grandits, Peter
1
Haan, Laurens de
1
Hafner, Christian M.
1
Hlavinová, Jana
1
Härdle, Wolfgang
1
Jaschke, Stefan R.
1
Lee, Roger
1
Liu, Zhi
1
Mahlstedt, Mirco
1
Mair, Maximilian
1
Mancini, Cecilia
1
Marie, Nicolas
1
Mattiussi, Vanessa
1
Mercadier, Cécile
1
Nguyen, C. N.
1
Puccetti, Giovanni
1
Ren, Peng
1
Renò, Roberto
1
Rudloff, Birgit
1
Söhl, Jakob
1
Tappe, Stefan
1
Temnov, Grigory
1
Timofeyev, Ilya
1
Zanger, Daniel Z.
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Finance and stochastics
Journal of econometrics
1,638
Economics letters
970
Econometric theory
723
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
602
Econometric reviews
437
CEMMAP working papers / Centre for Microdata Methods and Practice
363
NBER Working Paper
336
Journal of the American Statistical Association : JASA
324
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
316
Discussion paper / Tinbergen Institute
304
NBER working paper series
295
The econometrics journal
268
Série des documents de travail / Centre de Recherche en Économie et Statistique
236
Working paper / National Bureau of Economic Research, Inc.
221
Journal of applied econometrics
219
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
215
Cowles Foundation discussion paper
213
Applied economics letters
197
Discussion paper series / IZA
195
Oxford bulletin of economics and statistics
193
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
187
Discussion paper / Center for Economic Research, Tilburg University
184
European journal of operational research : EJOR
181
Applied economics
173
Journal of quantitative economics : official journal of the Indian Econometric Society
168
Discussion paper
167
Working paper / Department of Econometrics and Business Statistics, Monash University
162
International journal of forecasting
150
The review of economics and statistics
150
Econometrics : open access journal
146
Working paper
141
CREATES research paper
137
Economic modelling
136
Discussion papers of interdisciplinary research project 373
129
Quantitative economics : QE ; journal of the Econometric Society
127
Journal of forecasting
123
Working paper series
121
CORE discussion paper : DP
119
Cowles Foundation Discussion Paper
119
IZA Discussion Paper
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ECONIS (ZBW)
18
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1
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:
2
Elicitability and identifiability of set-valued measures of systemic risk
Fissler, Tobias
;
Hlavinová, Jana
;
Rudloff, Birgit
- In:
Finance and stochastics
25
(
2021
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10012433518
Saved in:
3
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:
4
Chebyshev interpolation for parametric option pricing
Gaß, Maximilian
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 701-731
Persistent link: https://www.econbiz.de/10011945899
Saved in:
5
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
6
Adapting extreme value statistics to financial time series : dealing with bias and serial dependence
Haan, Laurens de
;
Mercadier, Cécile
;
Chen Zhou
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 321-354
Persistent link: https://www.econbiz.de/10011471063
Saved in:
7
Spot volatility estimation using delta sequences
Mancini, Cecilia
;
Mattiussi, Vanessa
;
Renò, Roberto
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 261-293
Persistent link: https://www.econbiz.de/10011417938
Saved in:
8
Asymptotics of implied volatility to arbitrary order
Gao, Kun
;
Lee, Roger
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
Saved in:
9
Confidence sets in nonparametric calibration of exponential Lévy models
Söhl, Jakob
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 617-649
Persistent link: https://www.econbiz.de/10010395982
Saved in:
10
Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
Zanger, Daniel Z.
- In:
Finance and stochastics
17
(
2013
)
3
,
pp. 503-534
Persistent link: https://www.econbiz.de/10009756026
Saved in:
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