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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of the American Statistical Association : JASA"
~isPartOf:"Quantitative finance"
~subject:"Bayesian inference"
~subject:"Option pricing theory"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Option pricing theory
Estimation theory
362
Schätztheorie
362
Regression analysis
90
Regressionsanalyse
90
Nichtparametrisches Verfahren
79
Nonparametric statistics
79
Time series analysis
44
Zeitreihenanalyse
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Estimation
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Statistical inference
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Statistischer Fehler
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Maximum likelihood estimation
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Dunson, David B.
4
Fan, Jianqing
2
Tsiotas, Georgios
2
Aït-Sahalia, Yacine
1
Basu, Sanjib
1
Bayer, Christian
1
Behrendt, Simon
1
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1
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1
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1
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1
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1
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1
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1
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1
Chi, Xie
1
Choudhuri, Nidhan
1
Chronopoulou, Alexandra
1
Corkrey, Ross
1
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1
Durban, John W.
1
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1
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1
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1
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Journal of the American Statistical Association : JASA
Quantitative finance
Journal of econometrics
166
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Economics letters
39
Econometric reviews
31
Economic modelling
29
International journal of forecasting
25
Journal of empirical finance
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Econometric theory
19
Finance research letters
19
The econometrics journal
19
Econometrics : open access journal
17
European journal of operational research : EJOR
17
Computational economics
16
International journal of theoretical and applied finance
16
Journal of banking & finance
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Journal of economic dynamics & control
16
Journal of forecasting
16
Journal of risk and financial management : JRFM
15
Journal of applied econometrics
14
Journal of financial econometrics
14
Applied economics
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Quantitative economics : QE ; journal of the Econometric Society
12
The North American journal of economics and finance : a journal of financial economics studies
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Finance and stochastics
11
Journal of quantitative economics
11
Insurance / Mathematics & economics
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Journal of mathematical finance
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Risks : open access journal
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Applied economics letters
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Asia-Pacific financial markets
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International journal of economics and financial issues : IJEFI
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International journal of financial engineering
8
Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
8
Mathematical finance : an international journal of mathematics, statistics and financial theory
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
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
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:
9
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
Saved in:
10
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
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