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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of financial economics"
~isPartOf:"Operations research letters"
~isPartOf:"Research paper series"
~subject:"Schätzung"
~subject:"Volatilität"
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Schätzung
Volatilität
Stochastic process
280
Stochastischer Prozess
280
Theorie
166
Theory
166
Volatility
80
Mathematical programming
70
Mathematische Optimierung
70
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38
Optionspreistheorie
38
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Todorov, Viktor
4
Chan, Joshua
3
Corsi, Fulvio
3
Tauchen, George Eugene
3
Casarin, Roberto
2
Clark, Todd E.
2
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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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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of financial economics
Operations research letters
Research paper series
International journal of theoretical and applied finance
136
Journal of econometrics
110
Quantitative finance
86
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
58
Econometric reviews
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
50
The journal of computational finance
49
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48
Finance and stochastics
47
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47
European journal of operational research : EJOR
42
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41
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Economics letters
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Risks : open access journal
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CAMA working paper series
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The North American journal of economics and finance : a journal of financial economics studies
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Review of derivatives research
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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CREATES research paper
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Journal of risk and financial management : JRFM
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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NBER working paper series
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Applied economics letters
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
86
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1
Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps
Zhang, Weinan
;
Zeng, Pingping
;
Kwok, Yue-Kuen
- In:
Operations research letters
51
(
2023
)
6
,
pp. 687-694
Persistent link: https://www.econbiz.de/10014465892
Saved in:
2
A statistical recurrent stochastic volatility model for stock markets
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Gunawan, David
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 414-428
Persistent link: https://www.econbiz.de/10014448201
Saved in:
3
Locally stationary multiplicative volatility modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
4
Using survey information for improving the density nowcasting of U.S. GDP
Çakmaklı, Cem
;
Demircan, Hamza
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 667-682
Persistent link: https://www.econbiz.de/10014448419
Saved in:
5
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
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6
Can a machine correct option pricing models?
Almeida, Caio
;
Fan, Jianqing
;
Freire, Gustavo
;
Tang, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 995-1009
Persistent link: https://www.econbiz.de/10014448492
Saved in:
7
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
8
Empirical evaluation of overspecified asset pricing models
Manresa, Elena
;
Peñaranda, Francisco
;
Sentana, Enrique
- In:
Journal of financial economics
147
(
2023
)
2
,
pp. 338-351
Persistent link: https://www.econbiz.de/10013546675
Saved in:
9
Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
Saved in:
10
Identification of structural vector autoregressions by stochastic volatility
Bertsche, Dominik
;
Braun, Robin
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 328-341
Persistent link: https://www.econbiz.de/10012804115
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