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~isPartOf:"Applied mathematical finance"
~isPartOf:"CREATES research paper"
~subject:"Estimation theory"
~subject:"Statistische Verteilung"
~subject:"Volatilität"
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Estimation theory
Statistische Verteilung
Volatilität
Stochastic process
179
Stochastischer Prozess
179
Option pricing theory
89
Optionspreistheorie
89
Volatility
83
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stochastic volatility
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Barndorff-Nielsen, Ole E.
4
Pakkanen, Mikko S.
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Podolskij, Mark
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Sircar, Kaushik Ronnie
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Bennedsen, Mikkel
3
Escobar, Marcos
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Lunde, Asger
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Santucci de Magistris, Paolo
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Veliyev, Bezirgen
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Applied mathematical finance
CREATES research paper
International journal of theoretical and applied finance
147
Journal of econometrics
139
Quantitative finance
94
Discussion paper / Tinbergen Institute
70
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
62
Insurance / Mathematics & economics
58
European journal of operational research : EJOR
56
Computational economics
54
Econometric reviews
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The journal of computational finance
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Finance and stochastics
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Journal of economic dynamics & control
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45
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Finance research letters
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Economics letters
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International journal of financial engineering
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
37
Journal of empirical finance
34
Annals of finance
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Economic modelling
32
The journal of futures markets
31
Research paper series / Swiss Finance Institute
30
Energy economics
29
The North American journal of economics and finance : a journal of financial economics studies
28
Journal of risk and financial management : JRFM
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
26
Review of derivatives research
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CAMA working paper series
24
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
23
Applied economics
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Econometrics : open access journal
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ECONIS (ZBW)
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Estimation of continuous-time linear DSGE models from discrete-time measurements
Christensen, Bent Jesper
;
Neri, Luca
;
Parra-Alvarez, …
-
2023
Persistent link: https://www.econbiz.de/10014280884
Saved in:
2
Inference on the dimension of the nonstationary subspace in functional time series
Nielsen, Morten Ørregaard
;
Seo, Wonk-ki
;
Seong, Dakyung
-
2022
Persistent link: https://www.econbiz.de/10012816384
Saved in:
3
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
4
On the skew and curvature of the implied and local volatilities
Alòs, Elisa
;
García Lorite, David
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
1
,
pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
Saved in:
5
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
6
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
7
Accelerated share repurchases under stochastic volatility
Krishnan, Nikhil
;
Sircar, Kaushik Ronnie
- In:
Applied mathematical finance
29
(
2022
)
5
,
pp. 331-365
Persistent link: https://www.econbiz.de/10014323481
Saved in:
8
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
9
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
10
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
-
2018
Persistent link: https://www.econbiz.de/10011913657
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