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~isPartOf:"Applied mathematical finance"
~isPartOf:"CREATES research paper"
~subject:"Estimation theory"
~subject:"Volatilität"
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Search: subject_exact:"Bernoulli process"
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Estimation theory
Volatilität
Stochastic process
179
Stochastischer Prozess
179
Option pricing theory
89
Optionspreistheorie
89
Volatility
83
Theorie
68
Theory
68
Derivat
25
Derivative
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20
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stochastic volatility
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Barndorff-Nielsen, Ole E.
4
Pakkanen, Mikko S.
4
Podolskij, Mark
4
Sircar, Kaushik Ronnie
4
Bennedsen, Mikkel
3
Escobar, Marcos
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Lunde, Asger
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2
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Santucci de Magistris, Paolo
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Yamazaki, Akira
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1
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Applied mathematical finance
CREATES research paper
International journal of theoretical and applied finance
137
Journal of econometrics
127
Quantitative finance
85
Discussion paper / Tinbergen Institute
66
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
The journal of computational finance
52
Econometric reviews
51
Computational economics
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
Finance and stochastics
49
Journal of economic dynamics & control
47
European journal of operational research : EJOR
46
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41
Working paper
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Economics letters
38
Finance research letters
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Journal of banking & finance
37
International journal of financial engineering
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
35
Annals of finance
31
Journal of empirical finance
31
Risks : open access journal
31
Economic modelling
30
Energy economics
29
Research paper series / Swiss Finance Institute
29
The journal of futures markets
29
Journal of risk and financial management : JRFM
27
The North American journal of economics and finance : a journal of financial economics studies
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
25
CAMA working paper series
24
Review of derivatives research
24
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
22
Applied economics
21
Econometrics : open access journal
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NBER working paper series
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ECONIS (ZBW)
95
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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
KrigHedge : Gaussian process surrogates for Delta hedging
Ludkovski, Mike
;
Saporito, Yuri
- In:
Applied mathematical finance
28
(
2021
)
4
,
pp. 330-360
Persistent link: https://www.econbiz.de/10013411700
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