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subject:"Volatilität"
type_genre:"Working Paper"
~person:"Audrino, Francesco"
~person:"Brandt, Michael W."
~subject:"Monte Carlo simulation"
~subject:"Theory"
~subject:"USA"
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Search: subject_exact:"Estimation theory"
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Audrino, Francesco
Brandt, Michael W.
Härdle, Wolfgang
59
Pesaran, M. Hashem
34
Franses, Philip Hans
30
Phillips, Peter C. B.
26
Swanson, Norman R.
26
Gouriéroux, Christian
25
Maravall Herrero, Agustín
24
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22
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21
Robert, Christian P.
20
Heckman, James J.
18
Kleibergen, Frank
18
Koopman, Siem Jan
18
McAleer, Michael
18
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18
Spokojnyj, Vladimir G.
17
Diebold, Francis X.
16
Teräsvirta, Timo
16
Zakoïan, Jean-Michel
16
Giles, David E. A.
15
Lucas, André
15
Schorfheide, Frank
15
Sheather, Simon J.
15
Angrist, Joshua D.
14
Lechner, Michael
14
Newey, Whitney K.
14
Dijk, Dick van
13
Francq, Christian
13
Giles, Judith A.
13
Kapetanios, George
13
Kiviet, J. F.
13
Andrews, Donald W. K.
12
Arnold, Bernhard
12
Brännäs, Kurt
12
Dijk, Herman K. van
12
Dufour, Jean-Marie
12
Feng, Yuanhua
12
Guégan, Dominique
12
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12
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4
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4
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3
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ECONIS (ZBW)
17
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1
Forecasting implied volatility surfaces
Audrino, Francesco
;
Colangelo, Dominik
-
2008
Persistent link: https://www.econbiz.de/10003903349
Saved in:
2
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
-
2008
Persistent link: https://www.econbiz.de/10003903350
Saved in:
3
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
-
2008
Persistent link: https://www.econbiz.de/10003676667
Saved in:
4
Realized correlation tick-by-tick
Corsi, Fulvio
;
Audrino, Francesco
-
2007
Persistent link: https://www.econbiz.de/10003419771
Saved in:
5
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
(
contributor
);
Trojani, Fabio
(
contributor
)
-
2007
Persistent link: https://www.econbiz.de/10003674257
Saved in:
6
Forecasting implied volatility surfaces
Audrino, Francesco
;
Colangelo, Dominik
-
2007
Persistent link: https://www.econbiz.de/10003597924
Saved in:
7
Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco
;
Trojani, Fabio
-
2007
Persistent link: https://www.econbiz.de/10003514617
Saved in:
8
A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.
;
Diebold, Francis X.
-
2003
Persistent link: https://www.econbiz.de/10001756564
Saved in:
9
A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.
(
contributor
); …
-
2002
Persistent link: https://www.econbiz.de/10003349886
Saved in:
10
Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.
;
Santa-Clara, Pedro
-
2001
Persistent link: https://www.econbiz.de/10001606888
Saved in:
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