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~isPartOf:"Quantitative finance"
~subject:"Nichtparametrisches Verfahren"
~subject:"Statistical theory"
~subject:"Stochastic process"
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Nichtparametrisches Verfahren
Statistical theory
Stochastic process
Time series analysis
44
Zeitreihenanalyse
44
Volatility
24
Volatilität
24
Theorie
20
Theory
20
Estimation
17
Schätzung
17
Börsenkurs
14
Forecasting model
14
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Stochastischer Prozess
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7
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6
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12
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Sornette, Didier
2
Wehrli, Alexander
2
Wheatley, Spencer
2
Bayer, Christian
1
Breneis, Simon
1
Campajola, Carlo
1
Cang, Yuquan
1
Chronopoulou, Alexandra
1
Endres, Sylvia
1
Ferreira, Fernando F.
1
Gatheral, Jim
1
Jaisson, Thibault
1
Lillo, Fabrizio
1
Liu, Guangying
1
Madan, Dilip B.
1
Perron, Pierre
1
Rosenbaum, Mathieu
1
Silva, A. Christian
1
Spiliopoulos, Konstantinos
1
Stübinger, Johannes
1
Tantari, Daniele
1
Varneskov, Rasmus Tangsgaard
1
Wang, King
1
Xiang, Jing
1
Yen, Ju-Yi
1
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Quantitative finance
Journal of econometrics
152
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
93
Discussion paper / Tinbergen Institute
68
Econometric reviews
54
Econometric theory
53
Working paper / Department of Econometrics and Business Statistics, Monash University
45
Economics letters
36
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
International journal of forecasting
30
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
28
Cowles Foundation discussion paper
25
Computational economics
24
Economic modelling
24
SFB 649 discussion paper
24
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
24
Journal of forecasting
23
Discussion papers of interdisciplinary research project 373
20
Journal of the American Statistical Association : JASA
20
The econometrics journal
20
CREATES research paper
19
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
18
Econometrics : open access journal
18
Working paper
17
Energy economics
16
CAMA working paper series
15
CoFE discussion papers
15
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Journal of risk and financial management : JRFM
15
Journal of economic dynamics & control
14
Journal of empirical finance
14
Applied economics letters
13
CEMMAP working papers / Centre for Microdata Methods and Practice
13
European journal of operational research : EJOR
13
Discussion paper series / Zentrum für Finanzen und Ökonometrie, Universität Konstanz
11
Journal of applied econometrics
11
Cambridge working papers in economics
10
Journal of banking & finance
10
LSE STICERD Research Paper
10
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ECONIS (ZBW)
12
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
9
Detailed study of a moving average trading rule
Ferreira, Fernando F.
;
Silva, A. Christian
;
Yen, Ju-Yi
- In:
Quantitative finance
18
(
2018
)
9
,
pp. 1599-1617
Persistent link: https://www.econbiz.de/10011913212
Saved in:
10
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
Saved in:
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