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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Estimation"
~subject:"Portfolio-Management"
~subject:"Statistical distribution"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Portfolio-Management
Statistical distribution
Estimation theory
65
Schätztheorie
65
Volatilität
22
Schätzung
21
Forecasting model
13
Portfolio selection
13
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13
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13
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Aas, Kjersti
1
Achab, Massil
1
Ataullah, Ali
1
Bacry, E.
1
Bayer, Christian
1
Becker, Franziska
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
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1
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1
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Quantitative finance
The European journal of finance
Journal of econometrics
338
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
171
Economics letters
143
Econometric reviews
90
Economic modelling
64
Applied economics letters
61
Econometric theory
59
Insurance / Mathematics & economics
57
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
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49
Journal of banking & finance
49
The econometrics journal
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
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45
European journal of operational research : EJOR
43
International journal of forecasting
43
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31
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30
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30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
Journal of risk and financial management : JRFM
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Statistics in transition : an international journal of the Polish Statistical Association
27
Journal of risk
25
International journal of economics and financial issues : IJEFI
24
The review of economics and statistics
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International journal of theoretical and applied finance
22
Energy economics
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The North American journal of economics and finance : a journal of financial economics studies
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Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei
;
Ihnatiuk, Vitalii
;
Chen, Yu
;
Lin, Jiahe
; …
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
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2
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
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3
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:
4
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:
5
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:
6
Improving financial volatility nowcasts
Kruse-Becher, Robinson
;
Liu, Yuze
- In:
The European journal of finance
30
(
2024
)
2
,
pp. 101-126
Persistent link: https://www.econbiz.de/10014547345
Saved in:
7
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:
8
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:
9
Reactive global minimum variance portfolios with k-BAHC covariance cleaning
Bongiorno, Christian
;
Challet, Damien
- In:
The European journal of finance
28
(
2022
)
13/15
,
pp. 1344-1360
Persistent link: https://www.econbiz.de/10013532213
Saved in:
10
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
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