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subject:"Kapitaleinkommen"
~isPartOf:"Quantitative finance"
~subject:"Volatilität"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Bibliography included"
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Kapitaleinkommen
Volatilität
Estimation
79
Schätzung
78
Volatility
35
Theorie
33
Theory
33
Börsenkurs
31
Share price
31
Capital income
26
Forecasting model
21
Prognoseverfahren
21
Time series analysis
17
Zeitreihenanalyse
17
Portfolio selection
16
Portfolio-Management
16
Estimation theory
13
Schätztheorie
13
ARCH model
12
ARCH-Modell
12
Market microstructure
11
Marktmikrostruktur
11
Risikomaß
11
Risk measure
11
Aktienmarkt
10
CAPM
10
Stock market
10
Risiko
9
Risk
9
Markov chain
8
Markov-Kette
8
Option pricing theory
8
Optionspreistheorie
8
Securities trading
8
Statistical distribution
8
Statistische Verteilung
8
Stochastic process
8
Stochastischer Prozess
8
Wertpapierhandel
8
Correlation
7
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Undetermined
43
Free
8
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Article
51
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Aufsatz in Zeitschrift
Bibliography included
Article in journal
51
Language
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English
51
Author
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Sornette, Didier
4
Wehrli, Alexander
3
Gerlach, Richard
2
González-Urteaga, Ana
2
Grobys, Klaus
2
Rubio, Gonzalo
2
Wheatley, Spencer
2
Ahn, Kwangwon
1
Alemany, N.
1
Alexander, Carol
1
Aragó Manzana, Vicent
1
Asensio, Ivan Oscar
1
Beer, Simone
1
Bianchi, Michele Leonardo
1
Buccheri, G.
1
Canabarro, Askery
1
Chen, Qian
1
Chi, Xie
1
Chorniy, Vladimir
1
Chow, K. Victor
1
Chronopoulou, Alexandra
1
Ciacci, Alberto
1
Cucuringu, Mihai
1
Dakos, Michael
1
Distaso, Walter
1
Dungey, Mardi H.
1
Echenim, Mnacho
1
Fanelli, Viviana
1
Faria, Gonçalo
1
Fieberg, Christian
1
Fink, Holger Maria
1
Fiévet, Lucas
1
Galakis, John
1
Giner, Javier
1
Gobet, Emmanuel
1
Hacini, Mehdi-Vincent
1
Holloway, Jet
1
Holý, Vladimír
1
Hsieh, Fushing
1
Huptas, Roman
1
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Quantitative finance
Finance research letters
230
Applied economics
193
International review of economics & finance : IREF
188
International review of financial analysis
188
Journal of banking & finance
181
Energy economics
167
Economic modelling
161
Journal of empirical finance
157
The North American journal of economics and finance : a journal of financial economics studies
147
Applied economics letters
141
Applied financial economics
140
Journal of financial economics
140
Journal of econometrics
122
Journal of international financial markets, institutions & money
116
Research in international business and finance
113
Journal of international money and finance
107
The European journal of finance
95
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
91
Economics letters
89
Pacific-Basin finance journal
87
International journal of finance & economics : IJFE
76
Journal of risk and financial management : JRFM
74
Review of quantitative finance and accounting
73
The journal of futures markets
70
Management science : journal of the Institute for Operations Research and the Management Sciences
64
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
64
International journal of economics and finance
63
International journal of forecasting
59
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
59
Cogent economics & finance
56
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
53
Journal of financial markets
52
International journal of economics and financial issues : IJEFI
51
Journal of financial econometrics : official journal of the Society for Financial Econometrics
51
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
50
Journal of forecasting
47
Journal of economic dynamics & control
43
The journal of finance : the journal of the American Finance Association
43
International Journal of Energy Economics and Policy : IJEEP
40
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ECONIS (ZBW)
51
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1
Cross-section without factors : a string model for expected returns
Distaso, Walter
;
Mele, Antonio
;
Vilkov, Grigory
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 693-718
Persistent link: https://www.econbiz.de/10015050788
Saved in:
2
Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets
Lu, Yutong
;
Reinert, Gesine
;
Cucuringu, Mihai
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 779-809
Persistent link: https://www.econbiz.de/10015050797
Saved in:
3
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
4
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
5
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
6
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:
7
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
8
Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik
;
Hacini, Mehdi-Vincent
;
Somefun, Koye
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10014551942
Saved in:
9
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:
10
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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