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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Statistical theory"
~subject:"Stochastic process"
~subject:"Volatilität"
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Statistical theory
Stochastic process
Volatilität
Estimation theory
39
Schätztheorie
39
Volatility
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio selection
7
Portfolio-Management
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15
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Gatheral, Jim
2
Albanese, Claudio
1
Albani, Vinícius
1
Ammou, Samir Ben
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Baldeaux, jan
1
Buescu, Cristin
1
Cezaro, Adriano de
1
Chen, Tzu-ying
1
El Qalli, Yassine
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Grandits, Peter
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Guhr, Thomas
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Han, Chuan-Hsiang
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How, Desmond
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Kainhofer, Reinhold
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Koné, Fatoumata J.
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Kortas, Hedi
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Lim, Kian-Guan
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Liu, Wei-han
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Mabrouk, Anouar Ben
1
Matić, Ivan
1
McWalter, Thomas A.
1
Münnix, Michael C.
1
Pelsser, Antoon André Jean
1
Radoičić, Radoš
1
Schäfer, Rudi
1
Stefanica, Dan
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Takahashi, Akihiko
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Takehara, Kohta
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Taksar, Michael I.
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Temnov, Grigory
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Terry, Eric
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Toda, Masashi
1
Van Appel, Jacques
1
Wang, Tai-Ho
1
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1
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International journal of theoretical and applied finance
Journal of econometrics
171
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
78
Econometric reviews
58
Economics letters
58
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
54
Econometric theory
46
Discussion paper / Tinbergen Institute
44
Economic modelling
27
CREATES research paper
26
Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Série des documents de travail / Centre de Recherche en Économie et Statistique
20
Cowles Foundation discussion paper
18
Econometrics : open access journal
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NBER Working Paper
18
The econometrics journal
18
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
17
Discussion papers of interdisciplinary research project 373
17
Finance research letters
17
International journal of forecasting
17
Quantitative finance
17
SFB 649 discussion paper
17
European journal of operational research : EJOR
15
Journal of banking & finance
15
Journal of financial econometrics
15
Journal of forecasting
15
Journal of risk and financial management : JRFM
14
CORE discussion paper : DP
13
Computational economics
13
Europäische Hochschulschriften / 5
13
Oxford bulletin of economics and statistics
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Working paper / Department of Econometrics and Business Statistics, Monash University
13
Discussion paper
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Mathematics of operations research
12
Technical working paper / National Bureau of Economic Research
12
The North American journal of economics and finance : a journal of financial economics studies
12
Working paper
12
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ECONIS (ZBW)
15
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1
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
2
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
3
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
4
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
5
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
6
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
7
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
Saved in:
8
The heat-kernel most-likely-path approximation
Gatheral, Jim
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
Saved in:
9
Kernel convergence estimates for diffusions with continuous coefficients
Albanese, Claudio
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 979-1004
Persistent link: https://www.econbiz.de/10009407684
Saved in:
10
Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.
;
Schäfer, Rudi
;
Guhr, Thomas
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
Saved in:
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