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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:"Risikomaß"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Volatility
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
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Volatilität
43
Regression analysis
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Stochastic process
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Härdle, Wolfgang
4
Spokojnyj, Vladimir G.
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2
Francq, Christian
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Herwartz, Helmut
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Horváth, Lajos
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Kim, Jong-Min
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Zakoïan, Jean-Michel
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1
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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
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
73
Insurance / Mathematics & economics
52
Economics letters
48
Discussion paper / Tinbergen Institute
45
Econometric reviews
42
Econometric theory
39
Journal of empirical finance
27
The econometrics journal
27
Journal of risk
25
International journal of forecasting
24
Statistics in transition : an international journal of the Polish Statistical Association
24
CEMMAP working papers / Centre for Microdata Methods and Practice
23
Journal of banking & finance
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Econometrics : open access journal
21
Finance research letters
21
Journal of financial econometrics
21
Discussion paper / Center for Economic Research, Tilburg University
20
European journal of operational research : EJOR
20
Journal of the American Statistical Association : JASA
20
Série des documents de travail / Centre de Recherche en Économie et Statistique
20
CREATES research paper
19
Economic modelling
19
International journal of theoretical and applied finance
19
SFB 649 discussion paper
19
Computational economics
18
Journal of risk and financial management : JRFM
18
Journal of forecasting
16
Risks : open access journal
16
Discussion papers of interdisciplinary research project 373
15
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of mathematical finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Working papers
13
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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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