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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Portfolio-Management"
~type_genre:"Bibliografie enthalten"
~type_genre:"Übersichtsarbeit"
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Search: subject_exact:"Estimation theory"
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Volatility
Portfolio-Management
Estimation theory
39
Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio selection
7
Theorie
7
Theory
7
Stochastic process
6
Stochastischer Prozess
6
Risikomaß
5
Risk measure
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Yield curve
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Zinsstruktur
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Börsenkurs
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Estimation
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Monte Carlo simulation
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Simulation
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Analysis of variance
2
Asymptotic expansion
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Black-Scholes model
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Black-Scholes-Modell
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Capital income
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Derivat
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Derivative
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Kapitaleinkommen
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Kreditrisiko
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Kullback-Leibler divergence
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2
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Article in journal
Bibliografie enthalten
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20
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Baldeaux, jan
1
Bodnar, Olha
1
Bodnar, Taras
1
Buescu, Cristin
1
Caccioli, Fabio
1
Carmona, René
1
Cezaro, Adriano de
1
Chan, Ngai Hang
1
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1
Crépey, Stéphane
1
El Qalli, Yassine
1
Frahm, Gabriel
1
Guhr, Thomas
1
Han, Chuan-Hsiang
1
How, Desmond
1
Huang, Zhenzhen
1
Kondor, Imre
1
Koné, Fatoumata J.
1
Kortas, Hedi
1
Kwok, Yue-Kuen
1
Lim, Kian-Guan
1
Liu, Wei-han
1
Liu, Yan
1
Mabrouk, Anouar Ben
1
Marsili, Matteo
1
Matić, Ivan
1
McWalter, Thomas A.
1
Münnix, Michael C.
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Ng, Chi Tim
1
Okhrin, Yarema
1
Pelsser, Antoon André Jean
1
Radoičić, Radoš
1
Schmid, Wolfgang
1
Schäfer, Rudi
1
Stefanica, Dan
1
Takahashi, Akihiko
1
Takehara, Kohta
1
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International journal of theoretical and applied finance
Journal of econometrics
130
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
56
Journal of empirical finance
31
Journal of banking & finance
29
Economics letters
27
Finance research letters
27
Econometric reviews
24
Quantitative finance
23
European journal of operational research : EJOR
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Economic modelling
18
Journal of financial econometrics
18
Journal of risk
17
International journal of forecasting
16
Journal of risk and financial management : JRFM
15
Econometric theory
14
Computational economics
12
Journal of forecasting
12
The North American journal of economics and finance : a journal of financial economics studies
12
The econometrics journal
12
Econometrics : open access journal
10
Financial markets and portfolio management
10
Insurance / Mathematics & economics
10
Risks : open access journal
10
The European journal of finance
10
International journal of economics and financial issues : IJEFI
9
Applied economics
8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
Journal of financial economics
8
Journal of mathematical finance
8
International review of financial analysis
7
Applied economics letters
6
Asia-Pacific financial markets
6
Computational Management Science : CMS
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
Applied financial economics
5
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ECONIS (ZBW)
20
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
2
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
3
Arbitrage pricing theory in ergodic markets
Frahm, Gabriel
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011903768
Saved in:
4
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
5
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
6
Liquidity risk and instabilities in portfolio optimization
Caccioli, Fabio
;
Kondor, Imre
;
Marsili, Matteo
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011524891
Saved in:
7
Shrinkage estimation of mean-variance portfolio
Liu, Yan
;
Chan, Ngai Hang
;
Ng, Chi Tim
;
Wong, Samuel Po …
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011453866
Saved in:
8
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
9
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
10
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
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