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type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"Quantitative finance"
~subject:"Autokorrelation"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Estimation theory"
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Autokorrelation
Marktmikrostruktur
Stochastischer Prozess
Estimation theory
32
Schätztheorie
32
Volatility
12
Volatilität
12
Estimation
10
Schätzung
10
Forecasting model
8
Portfolio selection
8
Portfolio-Management
8
Prognoseverfahren
8
Option pricing theory
7
Optionspreistheorie
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Share price
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Statistical distribution
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Statistische Verteilung
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Capital income
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Correlation
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Derivat
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Derivative
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Market microstructure
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Estimation error
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Modellierung
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Article in journal
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10
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Achab, Massil
1
Bacry, E.
1
Cang, Yuquan
1
Capriotti, Luca
1
Chen, May-Ru
1
Cheng, Tsung-Chi
1
Chronopoulou, Alexandra
1
Guo, Meihui
1
Huang, Shih-Feng
1
Lai, Hung-neng
1
Lewis, Alan L.
1
Liu, Guangying
1
Muzy, J. F.
1
Pelagatti, Matteo
1
Pirjol, Dan
1
Rambaldi, M.
1
Realdon, Marco
1
Sbrana, Giacomo
1
Sornette, Didier
1
Spiliopoulos, Konstantinos
1
Wehrli, Alexander
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Quantitative finance
Journal of econometrics
113
Econometric reviews
41
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Economics letters
25
Econometric theory
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Economic modelling
12
Computational economics
9
Journal of financial econometrics
9
Journal of empirical finance
8
European journal of operational research : EJOR
7
Operations research
7
Applied economics letters
6
Finance research letters
6
International journal of forecasting
6
International journal of production research
6
Journal of forecasting
6
Journal of time series econometrics
6
Mathematics of operations research
6
Operations research letters
6
Regional science & urban economics
6
The econometrics journal
6
Insurance / Mathematics & economics
5
Journal of banking & finance
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
Journal of quantitative economics
4
Journal of risk
4
Journal of the Operational Research Society
4
Spatial economic analysis : the journal of the Regional Studies Association
4
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
Finance and stochastics
3
International journal of financial engineering
3
Journal of applied econometrics
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
The North American journal of economics and finance : a journal of financial economics studies
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Annals of finance
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Annals of financial economics
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ECONIS (ZBW)
10
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1
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:
2
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:
3
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
Saved in:
4
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
5
Improvements in estimating the probability of informed trading models
Cheng, Tsung-Chi
;
Lai, Hung-neng
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 771-796
Persistent link: https://www.econbiz.de/10012500188
Saved in:
6
A path-integral approximation for non-linear diffusions
Capriotti, Luca
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
Saved in:
7
Stock market trend prediction using a functional time series approach
Huang, Shih-Feng
;
Guo, Meihui
;
Chen, May-Ru
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10012194855
Saved in:
8
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
9
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Achab, Massil
;
Bacry, E.
;
Muzy, J. F.
;
Rambaldi, M.
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 199-212
Persistent link: https://www.econbiz.de/10011905857
Saved in:
10
Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra
;
Spiliopoulos, Konstantinos
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
Saved in:
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