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~isPartOf:"International journal of theoretical and applied finance"
~subject:"Statistical theory"
~subject:"Volatilität"
~type:"article"
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Search: subject_exact:"Schätzer"
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Statistical theory
Volatilität
Estimation theory
39
Schätztheorie
39
Volatility
13
Option pricing theory
11
Optionspreistheorie
11
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7
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
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Baldeaux, jan
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Cezaro, Adriano de
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Chen, Tzu-ying
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El Qalli, Yassine
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Münnix, Michael C.
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Toda, Masashi
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Van Appel, Jacques
1
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International journal of theoretical and applied finance
Journal of econometrics
148
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
71
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
52
Economics letters
48
Econometric reviews
47
Econometric theory
36
Journal of empirical finance
20
Economic modelling
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Quantitative finance
16
The econometrics journal
15
Econometrics : open access journal
14
International journal of forecasting
14
Finance research letters
13
Journal of banking & finance
13
Journal of financial econometrics
13
International economic review
11
Journal of forecasting
11
Oxford bulletin of economics and statistics
11
The North American journal of economics and finance : a journal of financial economics studies
11
Journal of quantitative economics : official journal of the Indian Econometric Society
10
Journal of risk and financial management : JRFM
10
American journal of agricultural economics
9
Computational economics
9
Annales d'économie et de statistique
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
The review of economics and statistics
8
Econometrics in theory and practice : Festschrift for Hans Schneeweiß ; with 33 tables
7
Journal of applied econometrics
7
Journal of mathematical finance
7
The European journal of finance
7
Applied economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
European journal of operational research : EJOR
6
Handbook of financial time series
6
International journal of financial engineering
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ECONIS (ZBW)
13
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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
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:
10
Recursive Bayesian estimation in forward price models implied by fair pricing
El Qalli, Yassine
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 301-333
Persistent link: https://www.econbiz.de/10008860389
Saved in:
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