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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:"The econometrics journal"
~subject:"Bootstrap approach"
~subject:"Option pricing theory"
~subject:"Statistische Verteilung"
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Volatility
Bootstrap approach
Option pricing theory
Statistische Verteilung
Estimation theory
462
Schätztheorie
462
Theorie
123
Theory
123
Nichtparametrisches Verfahren
96
Nonparametric statistics
96
Time series analysis
84
Zeitreihenanalyse
84
Regression analysis
82
Regressionsanalyse
82
Estimation
67
Schätzung
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Statistical test
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Volatilität
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Härdle, Wolfgang
6
Spokojnyj, Vladimir G.
4
Butucea, Cristina
2
Camponovo, Lorenzo
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Fan, Jianqing
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Frederiksen, Per
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Herwartz, Helmut
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Läuter, Henning
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Webb, Matthew
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Wu, Ximing
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Abadir, Karim Maher
1
Adams, Christopher P.
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1
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1
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Bianchi, Michele Leonardo
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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
The econometrics journal
Journal of econometrics
226
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
87
Econometric reviews
60
Economics letters
60
Discussion paper / Tinbergen Institute
54
Econometric theory
50
Insurance / Mathematics & economics
49
CEMMAP working papers / Centre for Microdata Methods and Practice
45
CREATES research paper
30
Journal of the American Statistical Association : JASA
28
Statistics in transition : an international journal of the Polish Statistical Association
28
Economic modelling
27
Discussion papers of interdisciplinary research project 373
26
Journal of empirical finance
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Cowles Foundation discussion paper
25
European journal of operational research : EJOR
25
International journal of forecasting
25
Econometrics : open access journal
23
SFB 649 discussion paper
23
Discussion paper / Center for Economic Research, Tilburg University
22
Finance research letters
22
Journal of banking & finance
22
Computational economics
21
Journal of financial econometrics
21
Journal of risk and financial management : JRFM
21
Série des documents de travail / Centre de Recherche en Économie et Statistique
20
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
20
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
19
Risks : open access journal
19
Applied economics
17
International journal of theoretical and applied finance
17
Journal of forecasting
17
KBI
17
Working paper
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
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ECONIS (ZBW)
96
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1
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:
2
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:
3
Distributional robustness of K-class estimators and the PULSE
Jakobsen, Martin Emil
;
Peters, Jonas
- In:
The econometrics journal
25
(
2022
)
2
,
pp. 404-432
Persistent link: https://www.econbiz.de/10013253842
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
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:
8
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:
9
Distribution regression in duration analysis : an application to unemployment spells
Delgado, Miguel A.
;
García, Andrés
;
Sant'Anna, Pedro H. C.
- In:
The econometrics journal
25
(
2022
)
3
,
pp. 675-698
Persistent link: https://www.econbiz.de/10013399857
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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