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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"ARCH-Modell"
~subject:"Derivat"
~type_genre:"Bibliografie enthalten"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH-Modell
Derivat
Estimation theory
36
Schätztheorie
36
Volatilität
15
Estimation
12
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Portfolio selection
8
Portfolio-Management
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Börsenkurs
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Option pricing theory
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Optionspreistheorie
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Share price
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Stochastic process
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Stochastischer Prozess
7
Market microstructure
5
Marktmikrostruktur
5
Risikomaß
5
Risk measure
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Capital income
4
Derivative
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Kapitaleinkommen
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Modellierung
4
Scientific modelling
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Statistical distribution
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Statistische Verteilung
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Analysis of variance
3
Autocorrelation
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Autokorrelation
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CAPM
3
Correlation
3
Estimation error
3
Korrelation
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Monte Carlo simulation
3
Monte-Carlo-Simulation
3
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18
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Article in journal
Bibliografie enthalten
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18
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English
18
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Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Favreau, Charles
1
Galakis, John
1
Glasserman, Paul
1
Hizmeri, Rodrigo
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Lewis, Alan L.
1
Liu, Guangying
1
Mingone, A.
1
Neuberg, Richard
1
Nolte, Ingmar
1
Pappas, Vasileios
1
Pirjol, Dan
1
Podobnik, Boris
1
Qiao, Kenan
1
Realdon, Marco
1
Shelton, Austin
1
Sornette, Didier
1
Spiliopoulos, Konstantinos
1
Stanley, H. Eugene
1
Stoikov, Sasha
1
Stupfler, G.
1
Sun, Yuying
1
Tudor, Sebastian F.
1
Tydniouk, Igor
1
Vrontos, Ioannis D.
1
Vrontos, Spyridon D.
1
Wang, Gang-Jin
1
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Quantitative finance
Journal of econometrics
145
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
58
Econometric theory
50
Economics letters
39
Econometric reviews
31
Journal of empirical finance
30
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
22
Journal of banking & finance
20
Economic modelling
19
International journal of forecasting
18
Finance research letters
17
Journal of financial econometrics
17
Journal of forecasting
16
International journal of theoretical and applied finance
15
Journal of risk
14
Applied economics
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
International journal of economics and financial issues : IJEFI
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Econometrics : open access journal
12
Journal of mathematical finance
12
Computational economics
11
Journal of time series econometrics
11
Applied economics letters
10
The journal of futures markets
9
Applied financial economics
8
Finance and stochastics
8
Journal of economic dynamics & control
8
The European journal of finance
8
Asia-Pacific financial markets
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International Journal of Energy Economics and Policy : IJEEP
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
European journal of operational research : EJOR
6
International journal of economics and finance
6
International journal of financial engineering
6
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ECONIS (ZBW)
18
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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
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:
6
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
Saved in:
7
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
8
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
Saved in:
9
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
10
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
Saved in:
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