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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Computational economics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Quantitative finance"
~isPartOf:"The econometrics journal"
~subject:"Bootstrap approach"
~subject:"Option pricing theory"
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Search: subject_exact:"Estimation theory"
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Volatility
Bootstrap approach
Option pricing theory
Estimation theory
569
Schätztheorie
569
Theorie
125
Theory
125
Time series analysis
115
Zeitreihenanalyse
115
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109
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109
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102
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102
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86
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Härdle, Wolfgang
6
Spokojnyj, Vladimir G.
4
Camponovo, Lorenzo
2
Frederiksen, Per
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Herwartz, Helmut
2
Lütkepohl, Helmut
2
Omay, Tolga
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1
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1
Aloy, Marcel
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Chi, Xie
1
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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
Computational economics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Quantitative finance
The econometrics journal
Journal of econometrics
182
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
69
Econometric reviews
44
Economics letters
39
Discussion paper / Tinbergen Institute
37
CEMMAP working papers / Centre for Microdata Methods and Practice
33
Econometric theory
27
CREATES research paper
26
Economic modelling
25
Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
SFB 649 discussion paper
19
Cowles Foundation discussion paper
17
Finance research letters
17
Journal of banking & finance
17
International journal of forecasting
16
International journal of theoretical and applied finance
16
Discussion papers of interdisciplinary research project 373
15
Econometrics : open access journal
15
European journal of operational research : EJOR
15
Journal of financial econometrics
15
Journal of risk and financial management : JRFM
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
14
Queen's Economics Department working paper
14
Journal of forecasting
12
Journal of the American Statistical Association : JASA
12
Working paper / Department of Econometrics and Business Statistics, Monash University
12
Applied economics
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Finance and stochastics
11
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
11
The North American journal of economics and finance : a journal of financial economics studies
11
Working paper
11
Journal of risk
10
KBI
10
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ECONIS (ZBW)
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1
An alternative bootstrap for proxy vector autoregressions
Bruns, Martin
;
Lütkepohl, Helmut
- In:
Computational economics
62
(
2023
)
4
,
pp. 1857-1882
Persistent link: https://www.econbiz.de/10014442568
Saved in:
2
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher
- In:
The econometrics journal
26
(
2023
)
1
,
pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Saved in:
3
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:
4
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:
5
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:
6
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:
7
The convergence analysis of the numerical calculation to price the time-fractional black-scholes model
Mesgarani, H.
;
Bakhshandeh, M.
;
Aghdam, Y. Esmaeelzade
; …
- In:
Computational economics
62
(
2023
)
4
,
pp. 1845-1856
Persistent link: https://www.econbiz.de/10014437608
Saved in:
8
Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing
Omay, Tolga
;
Iren, Perihan
- In:
Computational economics
61
(
2023
)
1
,
pp. 233-265
Persistent link: https://www.econbiz.de/10014228424
Saved in:
9
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:
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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