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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~person:"Gerlach, Richard H."
~person:"Pappas, Vasileios"
~person:"Pirjol, Dan"
~subject:"Estimation"
~subject:"Option pricing theory"
~subject:"Schätztheorie"
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Gerlach, Richard H.
Pappas, Vasileios
Pirjol, Dan
Ren, Yu
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Quantitative finance
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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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
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2
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
Saved in:
3
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
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