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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:"Regressionsanalyse"
~subject:"Risikomaß"
~subject:"Statistische Verteilung"
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Volatility
Regressionsanalyse
Risikomaß
Statistische Verteilung
Estimation theory
367
Schätztheorie
367
Theorie
141
Theory
141
Estimation
82
Schätzung
82
Time series analysis
82
Zeitreihenanalyse
82
Nichtparametrisches Verfahren
47
Nonparametric statistics
47
Volatilität
43
Regression analysis
38
Stochastic process
27
Stochastischer Prozess
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ARCH-Modell
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USA
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Kointegration
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16
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Härdle, Wolfgang
10
Spokojnyj, Vladimir G.
4
Yang, Lijian
3
Bunke, Olaf
2
Butucea, Cristina
2
Delecroix, Michel
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Francq, Christian
2
Golubev, G.
2
Herwartz, Helmut
2
Horváth, Lajos
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Kim, Jong-Min
2
Kim, Woocheol
2
Läuter, Henning
2
Nussbaum, Michael
2
Sperlich, Stefan
2
Tripathi, Gautam
2
Zakoïan, Jean-Michel
2
Abutaleb, Ahmed S.
1
Ahn, Seung Chan
1
Andreou, Alena
1
Aoki, Takaaki
1
Balter, Janine
1
Bampinas, Georgios
1
Bayer, Christian
1
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1
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Bos, Charles S.
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Cang, Yuquan
1
Carrasco, Marine
1
Castell, Ernestina
1
Ceffer, Attila
1
Chatterjee, Rupak
1
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1
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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
420
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
155
Economics letters
137
Econometric theory
128
CEMMAP working papers / Centre for Microdata Methods and Practice
117
Journal of the American Statistical Association : JASA
108
Econometric reviews
103
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
90
The econometrics journal
78
Discussion paper / Tinbergen Institute
73
Insurance / Mathematics & economics
64
Discussion papers of interdisciplinary research project 373
55
Cowles Foundation discussion paper
52
Discussion paper series / IZA
48
European journal of operational research : EJOR
47
Discussion paper / Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München
44
Econometrics : open access journal
44
NBER Working Paper
44
International journal of forecasting
41
Economic modelling
39
Discussion paper / Center for Economic Research, Tilburg University
38
SFB 649 discussion paper
37
Computational economics
36
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
35
Statistics in transition : an international journal of the Polish Statistical Association
34
NBER working paper series
33
Working paper / Department of Econometrics and Business Statistics, Monash University
33
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
Journal of empirical finance
32
KBI
32
Journal of risk and financial management : JRFM
31
Working papers / TSE : WP
31
Série des documents de travail / Centre de Recherche en Économie et Statistique
30
Applied economics letters
29
CREATES research paper
29
Working paper
29
Cowles Foundation Discussion Paper
28
IZA Discussion Paper
28
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ECONIS (ZBW)
104
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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
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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
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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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