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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"
~subject:"Germany"
~subject:"Schätzung"
~subject:"Statistische Verteilung"
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Search: subject_exact:"Estimation theory"
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Volatility
Germany
Schätzung
Statistische Verteilung
Estimation theory
194
Schätztheorie
194
Theorie
92
Theory
92
Time series analysis
47
Zeitreihenanalyse
47
Estimation
39
Nichtparametrisches Verfahren
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Härdle, Wolfgang
5
Spokojnyj, Vladimir G.
4
Yang, Lijian
4
Audrino, Francesco
2
Breitung, Jörg
2
Butucea, Cristina
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Chen, Yi-ting
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1
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1
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1
Bos, Charles S.
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1
Bu, Ruijun
1
Buccheri, G.
1
Caldeira, João F.
1
Canabarro, Askery
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Candelon, Bertrand
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Chung, Munki
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1
Dankenbring, Henning
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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
Journal of econometrics
328
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
168
Economics letters
143
Econometric reviews
85
Discussion paper / Tinbergen Institute
69
CEMMAP working papers / Centre for Microdata Methods and Practice
68
Discussion paper series / IZA
68
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
62
Applied economics letters
61
Economic modelling
60
Econometric theory
59
NBER Working Paper
58
NBER working paper series
52
Insurance / Mathematics & economics
50
Applied economics
49
The econometrics journal
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
47
International journal of forecasting
43
Journal of applied econometrics
43
Working paper / Department of Econometrics and Business Statistics, Monash University
43
Journal of the American Statistical Association : JASA
42
Journal of banking & finance
40
Working paper
40
IZA Discussion Paper
39
Working paper / National Bureau of Economic Research, Inc.
38
Discussion paper
37
Econometrics : open access journal
36
Journal of empirical finance
36
CESifo working papers
33
Quantitative economics : QE ; journal of the Econometric Society
33
Discussion paper / Center for Economic Research, Tilburg University
31
European journal of operational research : EJOR
31
CREATES research paper
30
Discussion papers / CEPR
30
Computational economics
29
Journal of forecasting
29
Empirical economics : a quarterly journal of the Institute for Advanced Studies
28
Journal of financial econometrics
28
SFB 649 discussion paper
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
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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
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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8
High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.
;
Mboussa Anga, G.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
Saved in:
9
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:
10
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
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