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subject:"Volatility"
~isPartOf:"Journal of banking & finance"
~subject:"Estimation"
~subject:"Germany"
~subject:"Option pricing theory"
~subject:"Volatilität"
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Volatility
Estimation
Germany
Option pricing theory
Volatilität
Estimation theory
75
Schätztheorie
75
Schätzung
27
Portfolio selection
18
Portfolio-Management
18
Theorie
14
Theory
14
Time series analysis
11
Zeitreihenanalyse
11
Forecasting model
10
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Börsenkurs
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Correlation
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Kreditrisiko
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Risk measure
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Capital income
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Nonparametric statistics
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Portfolio optimization
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Füss, Roland
2
Adams, Zeno
1
Alexakis, Panayotis
1
Alexander, Carol
1
Andersson, Magnus
1
Apergēs, Nikolaos
1
Aslanidis, Nektarios
1
Baik, Hyeoncheol
1
Bekiros, Stelios D.
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
Cai, Zongwu
1
Casas, Isabel
1
Cenedese, Gino
1
Clare, Andrew D.
1
Clements, Adam
1
Dang, Viet Anh
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DeMiguel, Victor
1
Ergün, Tolga A.
1
Escanciano, Juan Carlos
1
Escobar, Marcos
1
Faff, Robert W.
1
Fenech, Jean-Pierre
1
Feng, Guohua
1
Gao, Jiti
1
Girardi, Giulio
1
Glück, Thorsten
1
Golosnoy, Vasyl
1
Gouriéroux, Christian
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Griffin, Jim
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Hamid, Alain
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Hansen, Anne Lundgaard
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Ioannides, Michalis
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Jondeau, Eric
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Joo, Sunghoon
1
Kaeck, Andreas
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1
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Journal of banking & finance
Journal of econometrics
290
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
164
Economics letters
128
Econometric reviews
73
Discussion paper series / IZA
63
Economic modelling
63
Applied economics letters
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
59
Discussion paper / Tinbergen Institute
54
NBER Working Paper
54
CEMMAP working papers / Centre for Microdata Methods and Practice
50
NBER working paper series
50
Applied economics
48
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
45
Journal of applied econometrics
44
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40
Working paper / Department of Econometrics and Business Statistics, Monash University
40
The econometrics journal
38
Discussion paper
37
Working paper / National Bureau of Economic Research, Inc.
37
Econometric theory
36
International journal of forecasting
36
IZA Discussion Paper
35
Journal of empirical finance
35
CESifo working papers
32
Discussion papers / CEPR
31
Quantitative economics : QE ; journal of the Econometric Society
31
Econometrics : open access journal
30
CREATES research paper
27
Computational economics
27
Empirical economics : a quarterly journal of the Institute for Advanced Studies
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
27
Journal of the American Statistical Association : JASA
27
SFB 649 discussion paper
26
European journal of operational research : EJOR
25
Finance research letters
25
Journal of forecasting
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The review of economics and statistics
25
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ECONIS (ZBW)
38
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1
A bank's optimal capital ratio : a time-varying parameter model to the partial adjustment framework
Baik, Hyeoncheol
;
Han, Sumin
;
Joo, Sunghoon
;
Lee, Kangbok
- In:
Journal of banking & finance
142
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013473072
Saved in:
2
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
3
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
4
Estimating the probability of informed trading : A Bayesian approach
Griffin, Jim
;
Oberoi, Jaideep
;
Oduro, Samuel D.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012819606
Saved in:
5
Local logit regression for loan recovery rate
Sopitpongstorn, Nithi
;
Silvapulle, Paramsothy
;
Gao, Jiti
; …
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012820172
Saved in:
6
Portfolio selection with parsimonious higher comoments estimation
Lassance, Nathan
;
Vrins, Frédéric
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012820331
Saved in:
7
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
8
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
9
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
10
Least impulse response estimator for stress test exercises
Gouriéroux, Christian
;
Lu, Yang
- In:
Journal of banking & finance
103
(
2019
),
pp. 62-77
Persistent link: https://www.econbiz.de/10012163773
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