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isPartOf:"Journal of econometrics"
~isPartOf:"Finance and stochastics"
~subject:"Estimation theory"
~subject:"Option pricing theory"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Volatility"
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Estimation theory
Option pricing theory
Statistische Verteilung
Volatility
396
Volatilität
396
Theorie
167
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167
Stochastic process
151
Stochastischer Prozess
151
Schätztheorie
124
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Todorov, Viktor
13
Tauchen, George Eugene
9
Andersen, Torben
7
Bollerslev, Tim
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Li, Jia
6
Xiu, Dacheng
6
Aït-Sahalia, Yacine
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Kim, Donggyu
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Francq, Christian
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Gallant, A. Ronald
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2
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Bandi, Federico M.
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Journal of econometrics
Finance and stochastics
International journal of theoretical and applied finance
166
Quantitative finance
118
Journal of banking & finance
89
The journal of futures markets
84
Applied mathematical finance
76
The journal of computational finance
66
Finance research letters
65
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
62
Mathematical finance : an international journal of mathematics, statistics and financial theory
62
The North American journal of economics and finance : a journal of financial economics studies
53
International journal of financial engineering
50
Review of derivatives research
50
Discussion paper / Tinbergen Institute
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Computational economics
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Journal of mathematical finance
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Risks : open access journal
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The European journal of finance
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International review of economics & finance : IREF
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International journal of forecasting
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International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CREATES research paper
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Review of quantitative finance and accounting
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ECONIS (ZBW)
204
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1
Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle
Guyon, Julien
- In:
Finance and stochastics
28
(
2024
)
1
,
pp. 27-79
Persistent link: https://www.econbiz.de/10014447575
Saved in:
2
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
3
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
4
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
5
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
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6
Asymptotic F test in regressions with observations collected at high frequency over long span
Pellatt, Daniel F.
;
Sun, Yixiao
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1281-1309
Persistent link: https://www.econbiz.de/10014471377
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7
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1483-1499
Persistent link: https://www.econbiz.de/10014471404
Saved in:
8
Score-driven models for realized volatility
Harvey, Andrew C.
;
Palumbo, Dario
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014471522
Saved in:
9
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
10
The characteristic function of Gaussian stochastic volatility models : an analytic expression
Abi Jaber, Eduardo
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 733-769
Persistent link: https://www.econbiz.de/10013440250
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