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subject:"United States"
subject:"Volatility"
~isPartOf:"Quantitative finance"
~subject:"ARCH model"
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United States
Volatility
ARCH model
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Estimation theory
38
Schätztheorie
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Volatilität
16
Estimation
13
Schätzung
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Time series analysis
10
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Bayer, Christian
1
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1
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1
Caccioli, Fabio
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1
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1
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Quantitative finance
Journal of econometrics
181
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
156
Economics letters
59
Econometric theory
52
The review of economics and statistics
45
Journal of empirical finance
43
Discussion paper / Tinbergen Institute
42
Working paper / National Bureau of Economic Research, Inc.
41
Econometric reviews
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CREATES research paper
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Finance research letters
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Journal of banking & finance
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
International journal of forecasting
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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25
The econometrics journal
25
Journal of financial econometrics
22
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European journal of operational research : EJOR
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International journal of theoretical and applied finance
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American journal of agricultural economics
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Journal of financial and quantitative analysis : JFQA
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Journal of risk
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NBER working paper series
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The journal of futures markets
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Journal of risk and financial management : JRFM
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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The journal of finance : the journal of the American Finance Association
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Computational economics
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The European journal of finance
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Applied economics letters
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CEMMAP working papers / Centre for Microdata Methods and Practice
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The review of financial studies
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SFB 649 discussion paper
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Technical working paper / National Bureau of Economic Research
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ECONIS (ZBW)
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1
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
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
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:
4
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:
5
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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
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:
8
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
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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