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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Optionspreistheorie"
~subject:"Portfolio-Management"
~subject:"Statistical distribution"
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Volatility
Estimation
Optionspreistheorie
Portfolio-Management
Statistical distribution
Estimation theory
38
Schätztheorie
38
Volatilität
16
Schätzung
13
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
Börsenkurs
8
Portfolio selection
8
Share price
8
Stochastic process
8
Stochastischer Prozess
8
Option pricing theory
7
Market microstructure
6
Marktmikrostruktur
6
Capital income
5
Kapitaleinkommen
5
Risikomaß
5
Risk measure
5
Statistische Verteilung
5
Correlation
4
Derivat
4
Derivative
4
Korrelation
4
Modellierung
4
Scientific modelling
4
Analysis of variance
3
Autocorrelation
3
Autokorrelation
3
CAPM
3
Estimation error
3
Monte Carlo simulation
3
Monte-Carlo-Simulation
3
Nichtparametrisches Verfahren
3
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Article
33
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Article in journal
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33
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English
33
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Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Broby, Daniel
1
Buccheri, G.
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Capriotti, Luca
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chen, Wilson Ye
1
Chen, Yu
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chu, Chih-Kang
1
Chung, Munki
1
Fabozzi, Frank J.
1
Favreau, Charles
1
Galakis, John
1
Gerlach, Richard H.
1
Glasserman, Paul
1
Guo, Meihui
1
Han, Yongli
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Hwang, Ruey-Ching
1
Ihnatiuk, Vitalii
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Kim, Hyuksoo
1
Kim, Jang Ho
1
Kim, Saejoon
1
Kim, Woo Chang
1
Kinnear, Ryan J.
1
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Quantitative finance
Journal of econometrics
339
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
172
Economics letters
143
Econometric reviews
90
Economic modelling
65
Applied economics letters
61
Econometric theory
59
Insurance / Mathematics & economics
58
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
55
Applied economics
50
Journal of banking & finance
50
The econometrics journal
50
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
European journal of operational research : EJOR
46
Journal of empirical finance
45
International journal of forecasting
43
Journal of applied econometrics
43
Journal of the American Statistical Association : JASA
42
Finance research letters
40
Computational economics
37
Econometrics : open access journal
36
Quantitative economics : QE ; journal of the Econometric Society
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
33
Journal of financial econometrics
31
Journal of risk and financial management : JRFM
31
Journal of forecasting
30
Empirical economics : a quarterly journal of the Institute for Advanced Studies
29
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
International journal of theoretical and applied finance
24
Risks : open access journal
23
The review of economics and statistics
23
Energy economics
21
Journal of economic dynamics & control
21
The North American journal of economics and finance : a journal of financial economics studies
19
The European journal of finance
18
Journal of mathematical finance
16
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ECONIS (ZBW)
33
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1
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
Saved in:
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
Saved in:
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
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:
7
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:
8
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:
9
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:
10
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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