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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Statistical distribution"
~type_genre:"Article in journal"
~type_genre:"Sammlung"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Statistical distribution
Estimation theory
39
Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio selection
7
Portfolio-Management
7
Theorie
7
Theory
7
Stochastic process
6
Risikomaß
5
Risk measure
5
Yield curve
5
Zinsstruktur
5
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Estimation
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Monte Carlo simulation
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Monte-Carlo-Simulation
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3
Analysis of variance
2
Asymptotic expansion
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Black-Scholes model
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Derivat
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Derivative
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Kapitaleinkommen
2
Kreditrisiko
2
Kullback-Leibler divergence
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Market microstructure
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Marktmikrostruktur
2
Measurement
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Article in journal
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English
17
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Gatheral, Jim
2
Albanese, Claudio
1
Albani, Vinícius
1
Ammou, Samir Ben
1
Baldeaux, jan
1
Belomestny, Denis
1
Buescu, Cristin
1
Cezaro, Adriano de
1
Chen, Tzu-ying
1
El Qalli, Yassine
1
Friedman, Craig
1
Grandits, Peter
1
Guhr, Thomas
1
Han, Chuan-Hsiang
1
How, Desmond
1
Huang, Jinggang
1
Härdle, Wolfgang
1
Kainhofer, Reinhold
1
Koné, Fatoumata J.
1
Kortas, Hedi
1
Krymova, Ekaterina
1
Lim, Kian-Guan
1
Liu, Wei-han
1
Mabrouk, Anouar Ben
1
Matić, Ivan
1
McWalter, Thomas A.
1
Münnix, Michael C.
1
Pelsser, Antoon André Jean
1
Radoičić, Radoš
1
Schäfer, Rudi
1
Stefanica, Dan
1
Takahashi, Akihiko
1
Takehara, Kohta
1
Taksar, Michael I.
1
Temnov, Grigory
1
Terry, Eric
1
Toda, Masashi
1
Van Appel, Jacques
1
Wang, Tai-Ho
1
Zhang, Yangyong
1
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International journal of theoretical and applied finance
Journal of econometrics
186
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
70
Economics letters
55
Insurance / Mathematics & economics
51
Econometric reviews
47
Econometric theory
47
Economic modelling
29
The econometrics journal
29
Journal of empirical finance
27
International journal of forecasting
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
25
European journal of operational research : EJOR
24
Statistics in transition : an international journal of the Polish Statistical Association
24
Econometrics : open access journal
23
Journal of the American Statistical Association : JASA
23
Finance research letters
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Journal of banking & finance
20
Journal of financial econometrics
20
Journal of risk and financial management : JRFM
20
Journal of forecasting
19
Quantitative finance
18
Journal of mathematical finance
16
Risks : open access journal
16
Computational economics
15
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
15
Applied economics
14
Applied economics letters
13
Journal of risk
13
Statistical papers
13
The North American journal of economics and finance : a journal of financial economics studies
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Operations research
12
Finance and stochastics
11
Mathematics of operations research
11
Operations research letters
10
Empirical economics : a quarterly journal of the Institute for Advanced Studies
9
Journal of productivity analysis
9
Quantitative economics : QE ; journal of the Econometric Society
9
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ECONIS (ZBW)
17
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1
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
2
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
3
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
4
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis
;
Härdle, Wolfgang
;
Krymova, Ekaterina
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
Saved in:
5
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
6
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
7
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
8
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
Saved in:
9
The heat-kernel most-likely-path approximation
Gatheral, Jim
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
Saved in:
10
Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.
;
Schäfer, Rudi
;
Guhr, Thomas
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
Saved in:
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