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~isPartOf:"Quantitative finance"
~subject:"Correlation"
~subject:"Nichtparametrisches Verfahren"
~subject:"Statistical theory"
~subject:"Stochastic process"
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Correlation
Nichtparametrisches Verfahren
Statistical theory
Stochastic process
Time series analysis
48
Zeitreihenanalyse
48
Volatility
26
Volatilität
26
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22
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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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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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Quantitative finance
Journal of econometrics
174
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
106
Discussion paper / Tinbergen Institute
81
Econometric reviews
61
Econometric theory
58
Economics letters
52
Working paper / Department of Econometrics and Business Statistics, Monash University
48
International journal of forecasting
39
Economic modelling
35
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
Journal of forecasting
31
Computational economics
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
28
SFB 649 discussion paper
28
Cowles Foundation discussion paper
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
26
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25
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23
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Discussion papers of interdisciplinary research project 373
20
Applied economics letters
18
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
18
Applied economics
17
CAMA working paper series
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
17
Journal of economic dynamics & control
17
European journal of operational research : EJOR
16
Journal of risk and financial management : JRFM
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CoFE discussion papers
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
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:
2
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
3
Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP)
Madan, Dilip B.
;
Wang, King
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1391-1404
Persistent link: https://www.econbiz.de/10013367909
Saved in:
4
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
5
Random matrix models for datasets with fixed time horizons
Zitelli, G. L.
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 769-781
Persistent link: https://www.econbiz.de/10012262618
Saved in:
6
Dynamic principal component CAW models for high-dimensional realized covariance matrices
Gribisch, Bastian
;
Stollenwerk, Michael
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 799-821
Persistent link: https://www.econbiz.de/10012262622
Saved in:
7
Unveiling the relation between herding and liquidity with trader lead-lag networks
Campajola, Carlo
;
Lillo, Fabrizio
;
Tantari, Daniele
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1765-1778
Persistent link: https://www.econbiz.de/10012313511
Saved in:
8
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
9
Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren
;
Yao, Jianfeng
;
Li, Wai Keung
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
Saved in:
10
The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer
;
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1165-1178
Persistent link: https://www.econbiz.de/10012194752
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