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~isPartOf:"International journal of forecasting"
~isPartOf:"Quantitative finance"
~subject:"Markov-Kette"
~subject:"Theory"
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Search: subject:"Volatilität"
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Markov-Kette
Theory
Volatility
336
Volatilität
336
Forecasting model
154
Prognoseverfahren
154
Theorie
124
Option pricing theory
109
Optionspreistheorie
109
Stochastic process
102
Stochastischer Prozess
102
ARCH model
89
ARCH-Modell
89
Time series analysis
86
Zeitreihenanalyse
86
Estimation
82
Schätzung
81
Capital income
73
Kapitaleinkommen
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Börsenkurs
58
Share price
58
Stochastic volatility
40
Realized volatility
31
Estimation theory
30
Schätztheorie
30
Statistical distribution
27
Statistische Verteilung
27
Aktienmarkt
26
Portfolio selection
26
Portfolio-Management
26
Stock market
26
Volatility forecasting
26
Option trading
25
Optionsgeschäft
25
Exchange rate
24
Markov chain
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Risikomaß
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Escobar, Marcos
3
Gallo, Giampiero M.
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Gerlach, Richard
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Arroyo, Javier
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Chan, Joshua
2
Chen, Cathy W. S.
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Cheng, Yuyang
2
Cipollini, Fabrizio
2
Cross, Jamie
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Demetrescu, Matei
2
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2
Hou, Chenghan
2
Izzeldin, Marwan
2
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2
Lillo, Fabrizio
2
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2
Lucas, André
2
Luo, Jiawen
2
Opschoor, Anne
2
Perron, Pierre
2
Rice, Gregory
2
Ruiz, Esther
2
Storti, Giuseppe
2
Taylor, Nicholas
2
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2
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2
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2
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1
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1
Alexander, Carol
1
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1
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1
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1
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1
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1
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1
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International journal of forecasting
Quantitative finance
NBER working paper series
174
Working paper / National Bureau of Economic Research, Inc.
162
NBER Working Paper
157
Journal of econometrics
135
Journal of banking & finance
111
Finance research letters
103
Journal of empirical finance
90
Economic modelling
87
Economics letters
86
Energy economics
86
International journal of theoretical and applied finance
84
Discussion paper / Centre for Economic Policy Research
83
Discussion paper / Tinbergen Institute
80
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
Journal of economic dynamics & control
74
Mathematical finance : an international journal of mathematics, statistics and financial theory
72
Journal of financial economics
71
Working paper
69
International review of financial analysis
68
Applied economics
67
International review of economics & finance : IREF
66
Journal of international money and finance
65
The European journal of finance
63
Journal of forecasting
58
The North American journal of economics and finance : a journal of financial economics studies
58
The review of financial studies
57
Applied economics letters
54
Econometric reviews
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
51
The journal of futures markets
50
Computational economics
49
Applied mathematical finance
46
Journal of financial econometrics : official journal of the Society for Financial Econometrics
46
Research paper series / Swiss Finance Institute
45
Finance and stochastics
44
The journal of finance : the journal of the American Finance Association
43
Journal of risk and financial management : JRFM
41
Journal of monetary economics
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ECONIS (ZBW)
139
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139
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1
A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.
;
Kwok, Simon Sai Man
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 613-626
Persistent link: https://www.econbiz.de/10014552111
Saved in:
2
(Structural) VAR models with ignored changes in mean and volatility
Demetrescu, Matei
;
Salish, Nazarii
- In:
International journal of forecasting
40
(
2024
)
2
,
pp. 840-854
Persistent link: https://www.econbiz.de/10014547211
Saved in:
3
A False Discovery Rate approach to optimal volatility forecasting model selection
Hassanniakalager, Arman
;
Baker, Paul L.
;
Platanakis, …
- In:
International journal of forecasting
40
(
2024
)
3
,
pp. 881-902
Persistent link: https://www.econbiz.de/10014547223
Saved in:
4
Should I open to forecast? : implications from a multi-country unobserved components model with sparse factor stochastic volatility
Wu, Ping
- In:
International journal of forecasting
40
(
2024
)
3
,
pp. 903-917
Persistent link: https://www.econbiz.de/10014547224
Saved in:
5
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
6
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:
7
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
8
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:
9
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:
10
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
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