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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Bayesian inference"
~subject:"Option pricing theory"
~subject:"Risikomaß"
~type_genre:"Government document"
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Search: subject_exact:"Estimation theory"
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Volatility
Bayesian inference
Option pricing theory
Risikomaß
Estimation theory
36
Schätztheorie
36
Volatilität
15
Estimation
12
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Portfolio selection
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Optionspreistheorie
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Derivat
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3
Correlation
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Estimation error
3
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Tsiotas, Georgios
2
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
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1
Chi, Xie
1
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1
Favreau, Charles
1
Galakis, John
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
Kane, Hayden
1
Kawasaki, Yoshinori
1
Kim, Hyuksoo
1
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1
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1
Lewis, Alan L.
1
Liu, Guangying
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
Journal of econometrics
175
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
75
Economics letters
41
Insurance / Mathematics & economics
33
Econometric reviews
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
30
Economic modelling
29
International journal of forecasting
28
Journal of empirical finance
26
Journal of risk
25
Finance research letters
24
Journal of banking & finance
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Computational economics
21
European journal of operational research : EJOR
21
The econometrics journal
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Econometric theory
20
International journal of theoretical and applied finance
20
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19
Journal of financial econometrics
19
Journal of economic dynamics & control
18
Journal of the American Statistical Association : JASA
18
Journal of forecasting
17
Journal of risk and financial management : JRFM
17
Risks : open access journal
16
Applied economics
14
Journal of applied econometrics
14
The North American journal of economics and finance : a journal of financial economics studies
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Finance and stochastics
12
Journal of mathematical finance
12
Quantitative economics : QE ; journal of the Econometric Society
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of quantitative economics
11
The journal of risk model validation
11
Applied economics letters
10
Operations research
10
International journal of economics and financial issues : IJEFI
9
Asia-Pacific financial markets
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ECONIS (ZBW)
21
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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
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:
5
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:
6
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:
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
Saved in:
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