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subject:"Volatility"
~isPartOf:"Quantitative finance"
~subject:"Market microstructure"
~subject:"Marktmikrostruktur"
~subject:"Maximum likelihood estimation"
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Volatility
Market microstructure
Marktmikrostruktur
Maximum likelihood estimation
Estimation theory
39
Schätztheorie
39
Volatilität
16
Estimation
13
Schätzung
13
Forecasting model
10
Prognoseverfahren
10
Time series analysis
10
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Optionspreistheorie
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Risikomaß
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Risk measure
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Statistische Verteilung
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Derivat
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Autokorrelation
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CAPM
3
Estimation error
3
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Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
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1
Canabarro, Askery
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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
198
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
67
Discussion paper / Tinbergen Institute
50
Economics letters
47
Econometric reviews
41
CREATES research paper
25
Econometric theory
24
Economic modelling
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
Journal of empirical finance
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
The econometrics journal
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Econometrics : open access journal
18
International journal of forecasting
17
Journal of the American Statistical Association : JASA
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Journal of banking & finance
16
Finance research letters
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Journal of financial econometrics
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14
European journal of operational research : EJOR
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International journal of theoretical and applied finance
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
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NBER Working Paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
14
The North American journal of economics and finance : a journal of financial economics studies
13
CEMMAP working papers / Centre for Microdata Methods and Practice
11
Insurance / Mathematics & economics
11
SFB 649 discussion paper
11
Working paper
11
Working paper / Department of Econometrics and Business Statistics, Monash University
11
Applied economics
10
Applied economics letters
10
Statistics in transition : an international journal of the Polish Statistical Association
10
Série des documents de travail
10
CESifo working papers
9
International journal of economics and financial issues : IJEFI
9
Journal of economic dynamics & control
9
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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
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:
3
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:
4
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:
5
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:
6
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:
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
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
Saved in:
10
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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