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~isPartOf:"Quantitative finance"
~source:"econis"
~subject:"Estimation"
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Estimation
Volatility
280
Volatilität
280
Stochastic process
132
Stochastischer Prozess
132
Option pricing theory
108
Optionspreistheorie
108
Theorie
101
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101
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McAleer, Michael
4
Asai, Manabu
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2
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1
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1
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Discussion paper series / IZA
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Energy economics
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Applied economics
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Finance research letters
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Economic modelling
121
International review of economics & finance : IREF
118
International review of financial analysis
105
Journal of econometrics
104
Working paper / National Bureau of Economic Research, Inc.
99
The North American journal of economics and finance : a journal of financial economics studies
97
NBER working paper series
94
NBER Working Paper
89
Journal of banking & finance
86
Applied economics letters
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63
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63
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62
The journal of futures markets
61
Journal of risk and financial management : JRFM
53
International journal of finance & economics : IJFE
48
International journal of forecasting
48
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
47
IZA Discussion Paper
46
The European journal of finance
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
42
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
39
Journal of financial economics
38
International Journal of Energy Economics and Policy : IJEEP
37
Pacific-Basin finance journal
35
Journal of economic dynamics & control
34
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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1
Improving the asymmetric stochastic
volatility
model with ex-post
volatility
: the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
Empirical analysis of rough and classical stochastic
volatility
models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
3
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
4
A new Bayesian model for contagion and interdependence
Poon, Aubrey
;
Zhu, Dan
- In:
Econometric reviews
41
(
2022
)
7
,
pp. 806-826
Persistent link: https://www.econbiz.de/10013364908
Saved in:
5
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:
6
Extremal quantiles and stock price crashes
Andreou, Panayiotis C.
;
Anyfantaki, Sofia
;
Maasoumi, …
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
Saved in:
7
Unbiasing and robustifying implied
volatility
calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
Saved in:
8
Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670
Saved in:
9
Dynamic factor, leverage and realized covariances in multivariate stochastic
volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
10
Fractional stochastic
volatility
correction to CEV implied
volatility
Kim, Hyun-Gyoon
;
Kwon, Se-Jin
;
Kim, Jeong-Hoon
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 565-574
Persistent link: https://www.econbiz.de/10012483839
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