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type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Autokorrelation"
~subject:"Marktmikrostruktur"
~subject:"Stochastischer Prozess"
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Autokorrelation
Marktmikrostruktur
Stochastischer Prozess
Estimation theory
36
Schätztheorie
36
Volatility
15
Volatilität
15
Estimation
12
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
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9
Prognoseverfahren
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Derivat
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3
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Correlation
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11
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Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Breneis, Simon
1
Cang, Yuquan
1
Capriotti, Luca
1
Chen, May-Ru
1
Cheng, Tsung-Chi
1
Chronopoulou, Alexandra
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Izzeldin, Marwan
1
Lai, Hung-neng
1
Lewis, Alan L.
1
Liu, Guangying
1
Muzy, J. F.
1
Nolte, Ingmar
1
Pappas, Vasileios
1
Pirjol, Dan
1
Rambaldi, M.
1
Realdon, Marco
1
Sornette, Didier
1
Spiliopoulos, Konstantinos
1
Wehrli, Alexander
1
Wheatley, Spencer
1
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Quantitative finance
Journal of econometrics
163
Economics letters
53
Econometric reviews
45
Econometric theory
45
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
44
Economic modelling
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
The econometrics journal
19
Journal of empirical finance
17
Econometrics : open access journal
16
European journal of operational research : EJOR
14
Applied economics letters
13
Regional science & urban economics
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Computational economics
12
Mathematics of operations research
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Journal of banking & finance
9
Journal of financial econometrics
9
Operations research
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Insurance / Mathematics & economics
8
International journal of forecasting
8
International journal of production research
8
International journal of theoretical and applied finance
8
Journal of forecasting
8
Journal of risk and financial management : JRFM
8
Journal of the American Statistical Association : JASA
8
Quantitative economics : QE ; journal of the Econometric Society
8
Finance and stochastics
7
Finance research letters
7
Journal of productivity analysis
7
Spatial economic analysis : the journal of the Regional Studies Association
7
Journal of mathematical finance
6
Journal of time series econometrics
6
Operations research letters
6
Oxford bulletin of economics and statistics
6
Risks : open access journal
6
Asia-Pacific financial markets
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ECONIS (ZBW)
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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