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subject:"Volatilität"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Bond market"
~subject:"Portfolio selection"
~subject:"Schätzung"
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Volatilität
Bond market
Portfolio selection
Schätzung
Estimation theory
39
Schätztheorie
39
Volatility
13
Option pricing theory
11
Optionspreistheorie
11
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Kullback-Leibler divergence
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Baldeaux, jan
1
Belomestny, Denis
1
Bodnar, Olha
1
Bodnar, Taras
1
Buescu, Cristin
1
Caccioli, Fabio
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Carmona, René
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Cezaro, Adriano de
1
Chan, Ngai Hang
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Crépey, Stéphane
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El Qalli, Yassine
1
Frahm, Gabriel
1
Guhr, Thomas
1
Han, Chuan-Hsiang
1
How, Desmond
1
Huang, Zhenzhen
1
Härdle, Wolfgang
1
Kondor, Imre
1
Koné, Fatoumata J.
1
Kortas, Hedi
1
Krymova, Ekaterina
1
Kwok, Yue-Kuen
1
Lim, Kian-Guan
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Liu, Wei-han
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Liu, Yan
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Mabrouk, Anouar Ben
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Marsili, Matteo
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Okhrin, Yarema
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Pelsser, Antoon André Jean
1
Radoičić, Radoš
1
Schmid, Wolfgang
1
Schäfer, Rudi
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International journal of theoretical and applied finance
Journal of econometrics
294
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
160
Economics letters
125
Econometric reviews
74
Economic modelling
61
Applied economics letters
59
Discussion paper series / IZA
58
Discussion paper / Tinbergen Institute
54
NBER Working Paper
53
CEMMAP working papers / Centre for Microdata Methods and Practice
52
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
Applied economics
48
NBER working paper series
48
Journal of banking & finance
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Journal of empirical finance
44
Journal of applied econometrics
42
Working paper / Department of Econometrics and Business Statistics, Monash University
40
Working paper
38
Working paper / National Bureau of Economic Research, Inc.
38
Finance research letters
36
The econometrics journal
36
Econometric theory
35
European journal of operational research : EJOR
35
International journal of forecasting
35
CESifo working papers
33
IZA Discussion Paper
33
Quantitative economics : QE ; journal of the Econometric Society
33
Discussion paper
32
Quantitative finance
30
Discussion papers / CEPR
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CREATES research paper
28
Computational economics
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Econometrics : open access journal
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Empirical economics : a quarterly journal of the Institute for Advanced Studies
27
Journal of financial econometrics
26
Journal of forecasting
26
Journal of the American Statistical Association : JASA
26
International journal of economics and financial issues : IJEFI
24
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ECONIS (ZBW)
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
2
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:
3
Arbitrage pricing theory in ergodic markets
Frahm, Gabriel
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011903768
Saved in:
4
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:
5
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:
6
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:
7
Liquidity risk and instabilities in portfolio optimization
Caccioli, Fabio
;
Kondor, Imre
;
Marsili, Matteo
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011524891
Saved in:
8
Shrinkage estimation of mean-variance portfolio
Liu, Yan
;
Chan, Ngai Hang
;
Ng, Chi Tim
;
Wong, Samuel Po …
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011453866
Saved in:
9
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:
10
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:
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