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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of risk"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Estimation theory
106
Schätztheorie
106
Volatilität
33
Risikomaß
31
Risk measure
31
Portfolio selection
28
Portfolio-Management
28
Schätzung
28
Option pricing theory
19
Optionspreistheorie
19
Time series analysis
17
Zeitreihenanalyse
17
Stochastic process
15
Stochastischer Prozess
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13
ARCH-Modell
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Derivat
7
Derivative
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Market microstructure
7
Marktmikrostruktur
7
Theorie
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Theory
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Article in journal
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50
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Gatheral, Jim
2
Achab, Massil
1
Albani, Vinícius
1
Ammou, Samir Ben
1
Auer, Benjamin R.
1
Bacry, E.
1
Baldeaux, jan
1
Bayer, Christian
1
Behrendt, Simon
1
Belomestny, Denis
1
Berens, Tobias
1
Breneis, Simon
1
Buccheri, G.
1
Buescu, Cristin
1
Canabarro, Askery
1
Cang, Yuquan
1
Cezaro, Adriano de
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Tzu-ying
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chung, Munki
1
Cipra, Tomáš
1
El Qalli, Yassine
1
Fabozzi, Frank J.
1
Favreau, Charles
1
Feng, Yuanhua
1
Fischer, Matthias
1
Galakis, John
1
Goldman, Elena
1
Guhr, Thomas
1
Guo, Meihui
1
Guo, Zi-Yi
1
Han, Chuan-Hsiang
1
Hendrych, Radek
1
Hizmeri, Rodrigo
1
How, Desmond
1
Huang, Shih-Feng
1
Härdle, Wolfgang
1
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International journal of theoretical and applied finance
Journal of risk
Quantitative finance
Journal of econometrics
286
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
149
Economics letters
123
Econometric reviews
70
Economic modelling
59
Applied economics letters
58
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
Applied economics
45
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Journal of applied econometrics
40
Journal of banking & finance
37
The econometrics journal
36
Econometric theory
35
International journal of forecasting
33
Journal of empirical finance
33
Quantitative economics : QE ; journal of the Econometric Society
31
Econometrics : open access journal
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
26
Journal of the American Statistical Association : JASA
26
Journal of forecasting
25
Computational economics
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
International journal of economics and financial issues : IJEFI
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Finance research letters
22
Journal of financial econometrics
22
The review of economics and statistics
22
Energy economics
21
European journal of operational research : EJOR
21
Journal of risk and financial management : JRFM
20
Insurance / Mathematics & economics
19
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of economic dynamics & control
16
The empirical economics letters : a monthly international journal of economics
14
Applied financial economics
13
The journal of real estate finance and economics
13
American journal of agricultural economics
12
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ECONIS (ZBW)
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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
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
6
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
7
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
8
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
9
High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.
;
Mboussa Anga, G.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
Saved in:
10
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
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