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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Applied economics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Quantitative finance"
~subject:"Capital income"
~subject:"Korrelation"
~subject:"Statistische Verteilung"
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Volatility
Capital income
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Statistische Verteilung
Estimation theory
367
Schätztheorie
367
Theorie
141
Theory
141
Estimation
82
Schätzung
82
Time series analysis
82
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82
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Härdle, Wolfgang
4
Spokojnyj, Vladimir G.
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Kim, Jong-Min
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Chen, Yi-ting
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Herwartz, Helmut
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Applied economics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Quantitative finance
Journal of econometrics
220
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
103
Economics letters
76
Discussion paper / Tinbergen Institute
52
Econometric theory
50
Econometric reviews
49
Insurance / Mathematics & economics
47
Journal of empirical finance
42
Journal of the American Statistical Association : JASA
34
The econometrics journal
33
Finance research letters
32
CEMMAP working papers / Centre for Microdata Methods and Practice
29
Cambridge working papers in economics
27
Econometrics : open access journal
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Journal of financial econometrics
27
International journal of forecasting
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Journal of banking & finance
25
Journal of forecasting
25
NBER Working Paper
25
Statistics in transition : an international journal of the Polish Statistical Association
25
SFB 649 discussion paper
23
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
23
CREATES research paper
22
Computational economics
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Journal of risk and financial management : JRFM
22
Applied economics letters
21
Discussion paper / Center for Economic Research, Tilburg University
21
Economic modelling
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Working paper
20
European journal of operational research : EJOR
18
Journal of mathematical finance
18
Discussion papers of interdisciplinary research project 373
17
Journal of risk
17
Risks : open access journal
17
Working paper / Department of Econometrics and Business Statistics, Monash University
17
Working paper / National Bureau of Economic Research, Inc.
17
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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
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
6
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:
7
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:
8
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
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9
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:
10
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
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