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~isPartOf:"Journal of econometrics"
~subject:"Estimation"
~subject:"Log volatility models"
~subject:"Stochastischer Prozess"
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Estimation
Log volatility models
Stochastischer Prozess
Swap
6
Volatility
5
Volatilität
5
Variance swaps
4
Schätzung
3
Option pricing theory
2
Optionspreistheorie
2
Stochastic process
2
Theorie
2
Theory
2
Yield curve
2
Zinsstruktur
2
ARCH model
1
ARCH-Modell
1
Analysis of variance
1
Börsenkurs
1
CAPM
1
Capital income
1
Correlation
1
Correlation swaps
1
Derivat
1
Derivative
1
Downward volatility jumps
1
Equity risk premium
1
Estimation theory
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Forecasting model
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Geldmarkt
1
HJM approach
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Japan
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Kapitaleinkommen
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Korrelation
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Likelihood approximation
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Money market
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Multi-factor volatility model
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Amengual, Dante
2
Aït-Sahalia, Yacine
2
Hollstein, Fabian
1
Karamann, Mustafa
1
Mancini, Loriano
1
Manresa, Elena
1
Wese Simen, Chardin
1
Xiu, Dacheng
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Journal of econometrics
International journal of theoretical and applied finance
14
Research paper series / Swiss Finance Institute
7
Applied mathematical finance
5
European journal of operational research : EJOR
5
International journal of financial engineering
5
International review of financial analysis
5
Journal of international financial markets, institutions & money
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Review of derivatives research
5
The North American journal of economics and finance : a journal of financial economics studies
5
Finance and stochastics
4
Swiss Finance Institute Research Paper
4
The journal of computational finance
4
The journal of fixed income
4
Computational economics
3
Insurance / Mathematics & economics
3
Journal of banking & finance
3
Journal of economic dynamics & control
3
Journal of financial economics
3
The European journal of finance
3
The journal of futures markets
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Annals of financial economics
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Applied economics letters
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Applied financial economics
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BIS working papers
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Discussion paper / Tinbergen Institute
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Economic modelling
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Finance research letters
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Investment management and financial innovations
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Journal of economics and finance
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Journal of financial and quantitative analysis : JFQA
2
Journal of mathematical finance
2
Operations research letters
2
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
2
Staff reports / Federal Reserve Bank of New York
2
The North American journal of economics and finance : a journal of theory and practice
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
The journal of finance : the journal of the American Finance Association
2
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1
The term structure of equity and variance risk premia
Aït-Sahalia, Yacine
;
Karamann, Mustafa
;
Mancini, Loriano
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
Saved in:
2
Variance risk : a bird's eye view
Hollstein, Fabian
;
Wese Simen, Chardin
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 517-535
Persistent link: https://www.econbiz.de/10012439498
Saved in:
3
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
4
Market-based estimation of stochastic volatility models
Aït-Sahalia, Yacine
;
Amengual, Dante
;
Manresa, Elena
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 418-435
Persistent link: https://www.econbiz.de/10011499700
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