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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Quantitative finance"
~isPartOf:"Statistical papers"
~subject:"Statistische Verteilung"
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Volatility
Statistische Verteilung
Estimation theory
297
Schätztheorie
297
Theorie
171
Theory
171
Time series analysis
55
Zeitreihenanalyse
55
Estimation
40
Schätzung
40
Volatilität
39
Regression analysis
38
Regressionsanalyse
38
Nichtparametrisches Verfahren
37
Nonparametric statistics
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Stochastic process
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Stochastischer Prozess
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Statistical distribution
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Börsenkurs
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Share price
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Germany
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Portfolio selection
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Portfolio-Management
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Probability theory
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Option pricing theory
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Härdle, Wolfgang
4
Spokojnyj, Vladimir G.
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Butucea, Cristina
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Herwartz, Helmut
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Läuter, Henning
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Abberger, Klaus
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Andreou, Alena
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Bayer, Christian
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1
Caldeira, João F.
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Canabarro, Askery
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Cang, Yuquan
1
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Carrasco, Marine
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Chatterjee, Rupak
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Chi, Xie
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Quantitative finance
Statistical papers
Journal of econometrics
166
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Economics letters
46
Discussion paper / Tinbergen Institute
44
Insurance / Mathematics & economics
44
Econometric reviews
41
Econometric theory
38
The econometrics journal
26
Journal of empirical finance
25
Statistics in transition : an international journal of the Polish Statistical Association
24
International journal of forecasting
23
CEMMAP working papers / Centre for Microdata Methods and Practice
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Discussion paper / Center for Economic Research, Tilburg University
20
CREATES research paper
19
Econometrics : open access journal
19
Economic modelling
19
Journal of financial econometrics
19
Journal of the American Statistical Association : JASA
19
Journal of banking & finance
18
Finance research letters
17
Journal of risk and financial management : JRFM
17
Discussion papers of interdisciplinary research project 373
15
European journal of operational research : EJOR
15
International journal of theoretical and applied finance
15
Journal of forecasting
15
SFB 649 discussion paper
15
Série des documents de travail / Centre de Recherche en Économie et Statistique
15
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
15
Applied economics
13
Computational economics
13
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
Risks : open access journal
13
Journal of risk
12
NBER Working Paper
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ECONIS (ZBW)
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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
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:
6
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:
7
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
Saved in:
8
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:
9
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
Saved in:
10
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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