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subject:"Time series analysis"
subject:"Zeitreihenanalyse"
~isPartOf:"Quantitative finance"
~type:"article"
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Search: subject_exact:"Estimation"
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Time series analysis
Zeitreihenanalyse
Estimation
74
Schätzung
73
Volatility
34
Volatilität
34
Theorie
31
Theory
31
Börsenkurs
29
Share price
29
Capital income
24
Kapitaleinkommen
24
Forecasting model
20
Prognoseverfahren
20
Portfolio selection
14
Portfolio-Management
14
ARCH model
12
ARCH-Modell
12
Estimation theory
12
Schätztheorie
12
Risikomaß
10
Risk measure
10
Aktienmarkt
9
CAPM
9
Market microstructure
9
Marktmikrostruktur
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Stock market
9
Markov chain
8
Markov-Kette
8
Option pricing theory
8
Optionspreistheorie
8
Stochastic process
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Stochastischer Prozess
8
Risiko
7
Risk
7
Securities trading
7
Wertpapierhandel
7
Anlageverhalten
6
Behavioural finance
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Article in journal
17
Aufsatz in Zeitschrift
17
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English
17
Author
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Sornette, Didier
3
Wehrli, Alexander
3
Sun, Yuying
2
Wang, Shouyang
2
Wheatley, Spencer
2
Alemany, N.
1
Anagnostou, I.
1
Aragó Manzana, Vicent
1
Chen, May-Ru
1
Chronopoulou, Alexandra
1
Fanelli, Viviana
1
Faria, Gonçalo
1
Garlaschelli, D.
1
Gerlach, Richard
1
Guo, Meihui
1
Holý, Vladimír
1
Hong, Yongmiao
1
Huang, Shih-Feng
1
Kaibuchi, Hibiki
1
Kandhai, D.
1
Kawasaki, Yoshinori
1
Li, Wai Keung
1
Liu, Fei
1
Lu, Quanying
1
Mettenheim, Hans-Jörg von
1
Naimoli, Antonio
1
Pantelous, Athanasios A.
1
Qiao, Kenan
1
Ren, Yu
1
Salvador, E.
1
Schmeck, Maren Diane
1
Shen, Keren
1
Spiliopoulos, Konstantinos
1
Squartini, T.
1
Storti, Giuseppe
1
Stupfler, G.
1
Tomanová, Petra
1
Verona, Fabio
1
Xie, Tian
1
Yao, Jianfeng
1
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Quantitative finance
Journal of econometrics
115
Economic modelling
100
Applied economics
98
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
95
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
78
Applied economics letters
75
International journal of forecasting
73
Economics letters
70
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
60
Energy economics
54
Journal of forecasting
49
Econometric reviews
41
International review of economics & finance : IREF
40
Journal of applied econometrics
35
The North American journal of economics and finance : a journal of financial economics studies
34
Journal of empirical finance
33
Journal of economic dynamics & control
30
Finance research letters
28
Macroeconomic dynamics
28
Applied financial economics
26
Computational economics
25
Journal of banking & finance
25
Journal of macroeconomics
25
International journal of finance & economics : IJFE
24
Journal of international money and finance
24
The empirical economics letters : a monthly international journal of economics
24
Empirical economics : a quarterly journal of the Institute for Advanced Studies
23
Journal of financial econometrics
22
Journal of risk and financial management : JRFM
21
International journal of economics and financial issues : IJEFI
20
International review of financial analysis
19
Econometrics : open access journal
18
International journal of economics and finance
18
Research in international business and finance
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of international financial markets, institutions & money
17
The econometrics journal
16
Econometric theory
15
International Journal of Energy Economics and Policy : IJEEP
14
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ECONIS (ZBW)
17
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1
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
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
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
4
Modeling price clustering in high-frequency prices
Holý, Vladimír
;
Tomanová, Petra
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1649-1663
Persistent link: https://www.econbiz.de/10013367939
Saved in:
5
Forecasting interval-valued crude oil prices using asymmetric interval models
Lu, Quanying
;
Sun, Yuying
;
Hong, Yongmiao
;
Wang, Shouyang
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2047-2061
Persistent link: https://www.econbiz.de/10013490921
Saved in:
6
Time-frequency forecast of the equity premium
Faria, Gonçalo
;
Verona, Fabio
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2119-2135
Persistent link: https://www.econbiz.de/10012696823
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
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard
;
Naimoli, Antonio
;
Storti, Giuseppe
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
Saved in:
10
Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren
;
Yao, Jianfeng
;
Li, Wai Keung
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
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