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accessRights:"restricted"
subject:"Bootstrap approach"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Quantitative finance"
~source:"econis"
~subject:"Statistical distribution"
~subject:"Stochastic process"
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Bootstrap approach
Statistical distribution
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Estimation theory
55
Schätztheorie
55
Estimation
22
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22
Volatility
17
Volatilität
17
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Canabarro, Askery
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Cang, Yuquan
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Capriotti, Luca
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Chen, Wilson Ye
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Chi, Xie
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Chronopoulou, Alexandra
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Chu, Chih-Kang
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Journal of banking & finance
Quantitative finance
Journal of econometrics
120
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Econometric reviews
37
Insurance / Mathematics & economics
33
Economics letters
28
European journal of operational research : EJOR
19
Econometric theory
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
The econometrics journal
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Computational economics
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International journal of forecasting
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Economic modelling
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Journal of financial econometrics
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Operations research
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Finance research letters
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Scandinavian actuarial journal
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ASTIN bulletin : the journal of the International Actuarial Association
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Applied economics letters
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Computational Management Science : CMS
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
International journal of financial engineering
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Mathematics of operations research
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The journal of operational risk
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Asia-Pacific financial markets
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Astin bulletin : the journal of the International Actuarial Association
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Discussion paper / Centre for Economic Policy Research
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Essays in honor of Joon Y. Park : econometric theory
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INFORMS journal on optimization
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1
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
2
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:
3
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
Saved in:
4
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:
5
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:
6
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
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
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
9
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
10
A path-integral approximation for non-linear diffusions
Capriotti, Luca
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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