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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~subject:"Theory"
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Stochastischer Prozess
Volatility
Theory
Estimation theory
18
Schätztheorie
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
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Market microstructure
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Marktmikrostruktur
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Mathematical programming
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Mathematische Optimierung
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2
Monte-Carlo-Simulation
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Noise Trading
2
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(Tensorized) Chebyshev polynomials
1
Analysis
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Arbitrage Pricing
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Arbitrage pricing
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Asymptotic normality
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Asymptotics
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Ausreißer
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Black-Scholes model
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Anh, V. V.
1
Azencott, Robert
1
Filipović, Damir
1
Fukasawa, Masaaki
1
Gao, Kun
1
Gloter, Arnaud
1
Hafner, Christian M.
1
Härdle, Wolfgang
1
Jaschke, Stefan R.
1
Lee, Roger
1
Liu, Zhi
1
Mancini, Cecilia
1
Marie, Nicolas
1
Mattiussi, Vanessa
1
Nguyen, C. N.
1
Ren, Peng
1
Renò, Roberto
1
Söhl, Jakob
1
Tappe, Stefan
1
Timofeyev, Ilya
1
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Finance and stochastics
Journal of econometrics
494
Economics letters
414
Econometric theory
311
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
244
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
241
Série des documents de travail / Centre de Recherche en Économie et Statistique
160
Econometric reviews
157
Journal of applied econometrics
140
Journal of quantitative economics : official journal of the Indian Econometric Society
138
The review of economics and statistics
124
Discussion paper / Tinbergen Institute
108
Oxford bulletin of economics and statistics
103
Working paper / National Bureau of Economic Research, Inc.
88
Discussion paper / Center for Economic Research, Tilburg University
86
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
84
Série des documents de travail du CREST / Institut National de la Statistique et des Etudes Economiques
83
Statistical papers
79
CORE discussion paper : DP
78
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
66
The review of economic studies
61
International economic review
59
Annales d'économie et de statistique
57
Journal of forecasting
57
Metrika : international journal for theoretical and applied statistics
57
Applied economics
56
Working paper series
55
Technical working paper / National Bureau of Economic Research
54
American journal of agricultural economics
53
Discussion paper series / IZA
50
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
47
Cowles Foundation discussion paper
47
The econometrics journal
45
Europäische Hochschulschriften / 5
44
SFB 649 discussion paper
44
Journal of the Royal Statistical Society
41
Working paper
41
Economic modelling
40
CREATES research paper
39
Journal of economic dynamics & control
39
Publications de l'Institut de Statistique de l'Université de Paris : analyse factorielle des correspondances continues
39
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Asymptotic analysis for stochastic volatility : martingale expansion
Fukasawa, Masaaki
- In:
Finance and stochastics
15
(
2011
)
4
,
pp. 635-654
Persistent link: https://www.econbiz.de/10009423291
Saved in:
8
Existence of Lévy term structure models
Filipović, Damir
;
Tappe, Stefan
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 83-115
Persistent link: https://www.econbiz.de/10003592553
Saved in:
9
Efficient estimation of drift parameters in stochastic volatility models
Gloter, Arnaud
- In:
Finance and stochastics
11
(
2007
)
4
,
pp. 495-519
Persistent link: https://www.econbiz.de/10003645519
Saved in:
10
Semimartingale representation of fractional Riesz-Bessel motion
Anh, V. V.
;
Nguyen, C. N.
- In:
Finance and stochastics
5
(
2001
)
1
,
pp. 83-101
Persistent link: https://www.econbiz.de/10001553052
Saved in:
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