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~subject:"Volatilität"
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82
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56
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50
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48
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46
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40
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35
Liang, Chao
33
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33
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31
Koopman, Siem Jan
31
Andersen, Torben
29
Wei, Yu
29
Salisu, Afees A.
27
Caporin, Massimiliano
26
Christoffersen, Peter F.
26
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Asai, Manabu
25
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25
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24
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24
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24
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23
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22
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22
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21
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21
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19
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Journal of econometrics
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Finance research letters
124
International journal of forecasting
124
Energy economics
122
Journal of forecasting
116
International review of financial analysis
76
Economic modelling
74
Journal of empirical finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International review of economics & finance : IREF
63
The North American journal of economics and finance : a journal of financial economics studies
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Discussion paper / Tinbergen Institute
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Journal of banking & finance
55
Applied economics
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Economics letters
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Quantitative finance
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Department of Economics working paper series
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Econometric reviews
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The journal of futures markets
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Applied economics letters
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Journal of financial econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The European journal of finance
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Applied financial economics
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Working paper
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CREATES research paper
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International journal of finance & economics : IJFE
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Journal of risk and financial management : JRFM
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Computational economics
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Journal of international financial markets, institutions & money
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Research in international business and finance
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Pacific-Basin finance journal
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Journal of financial economics
24
Risks : open access journal
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Journal of applied econometrics
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NBER working paper series
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ECONIS (ZBW)
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EconStor
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USB Cologne (EcoSocSci)
4
RePEc
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1
Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus
;
Koopman, Siem Jan
-
2004
are based on importance
sampling
techniques. It is shown that such Monte Carlo techniques can be employed successfully for …
Persistent link: https://www.econbiz.de/10011342558
Saved in:
2
Predicting instability
Razzak, Weshah A.
- In:
Applied economics
45
(
2013
)
22/24
,
pp. 3305-3315
Persistent link: https://www.econbiz.de/10010345431
Saved in:
3
Evaluating monthly volatility forecasts using proxies at different frequencies
Ñíguez, Trino-Manuel
- In:
Finance research letters
17
(
2016
),
pp. 41-47
Persistent link: https://www.econbiz.de/10011596208
Saved in:
4
Finite sample results of range-based integrated volatility estimation
Rossi, Eduardo
;
Spazzini, Filippo
-
2009
Persistent link: https://www.econbiz.de/10003899120
Saved in:
5
Numerical analysis of volatility change point estimators for discretely sampled stochastic differential equations
Iacus, Stefano Maria
;
Yoshida, Nakahiro
- In:
Economic notes : economic review of Banca Monte dei …
39
(
2010
)
1/2
,
pp. 107-127
Persistent link: https://www.econbiz.de/10008826253
Saved in:
6
Numerically accelerated importance
sampling
for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
Saved in:
7
A Lagrangian multiplier test for market microstructure noise with applications to
sampling
interval determination for realized volatilities
Shin, Dong-wan
;
Hwang, Eunju
- In:
Economics letters
129
(
2015
),
pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
Saved in:
8
Closed form pricing formulas for discretely sampled generalized variance swaps
Zheng, Wendong
;
Kwok, Yue-Kuen
- In:
Mathematical finance : an international journal of …
24
(
2014
)
4
,
pp. 855-881
Persistent link: https://www.econbiz.de/10011308159
Saved in:
9
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus
;
Podolskij, Mark
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
2
,
pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
Saved in:
10
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
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