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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Kapitaleinkommen"
~subject:"Option pricing theory"
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Volatility
Estimation
Kapitaleinkommen
Option pricing theory
Estimation theory
36
Schätztheorie
36
Volatilität
15
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Portfolio selection
8
Portfolio-Management
8
Börsenkurs
7
Optionspreistheorie
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Share price
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Stochastic process
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Stochastischer Prozess
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Market microstructure
5
Marktmikrostruktur
5
Risikomaß
5
Risk measure
5
Capital income
4
Derivat
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Derivative
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Modellierung
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Scientific modelling
4
Statistical distribution
4
Statistische Verteilung
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Analysis of variance
3
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3
Autokorrelation
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3
Correlation
3
Estimation error
3
Korrelation
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Monte Carlo simulation
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3
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English
22
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Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Buccheri, G.
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chung, Munki
1
Fabozzi, Frank J.
1
Favreau, Charles
1
Galakis, John
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Kim, Jang Ho
1
Kim, Woo Chang
1
Lee, Yongjae
1
Lewis, Alan L.
1
Liu, Guangying
1
Mboussa Anga, G.
1
Mingone, A.
1
Muzy, J. F.
1
Nolte, Ingmar
1
Pappas, Vasileios
1
Pirjol, Dan
1
Podobnik, Boris
1
Qiao, Kenan
1
Rambaldi, M.
1
Realdon, Marco
1
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Quantitative finance
Journal of econometrics
302
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
158
Economics letters
129
Econometric reviews
71
Economic modelling
60
Applied economics letters
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
53
Applied economics
48
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
46
Journal of empirical finance
42
Journal of applied econometrics
41
Journal of banking & finance
40
The econometrics journal
39
Econometric theory
37
International journal of forecasting
33
Finance research letters
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
31
Quantitative economics : QE ; journal of the Econometric Society
31
Econometrics : open access journal
30
Journal of forecasting
30
Computational economics
29
Empirical economics : a quarterly journal of the Institute for Advanced Studies
26
European journal of operational research : EJOR
26
Journal of risk and financial management : JRFM
26
Journal of the American Statistical Association : JASA
26
International journal of economics and financial issues : IJEFI
24
Journal of financial econometrics
24
Journal of economic dynamics & control
23
The review of economics and statistics
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Energy economics
21
Insurance / Mathematics & economics
21
The North American journal of economics and finance : a journal of financial economics studies
19
International journal of theoretical and applied finance
18
Journal of risk
18
The European journal of finance
16
Journal of financial economics
15
Journal of mathematical finance
15
Risks : open access journal
15
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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
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
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:
7
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:
8
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:
9
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:
10
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
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