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isPartOf:"International journal of theoretical and applied finance"
subject:"Volatilität"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Finance and stochastics"
~subject:"Mathematische Optimierung"
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Volatilität
Mathematische Optimierung
Estimation theory
142
Schätztheorie
142
Theorie
93
Theory
93
Nichtparametrisches Verfahren
29
Nonparametric statistics
29
Volatility
27
Stochastic process
23
Stochastischer Prozess
23
Time series analysis
21
Zeitreihenanalyse
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Option pricing theory
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Optionspreistheorie
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Regression analysis
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Estimation
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Härdle, Wolfgang
4
Spokojnyj, Vladimir G.
3
Gatheral, Jim
2
Jaschke, Stefan R.
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Azencott, Robert
1
Baldeaux, jan
1
Buescu, Cristin
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Cezaro, Adriano de
1
Chen, Tzu-ying
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Dankenbring, Henning
1
El Qalli, Yassine
1
Fukasawa, Masaaki
1
Gao, Kun
1
Gloter, Arnaud
1
Grammig, Joachim
1
Grandits, Peter
1
Grunspan, Cyril
1
Guhr, Thomas
1
Hafner, Christian M.
1
Han, Chuan-Hsiang
1
Herwartz, Helmut
1
How, Desmond
1
Koné, Fatoumata J.
1
Kortas, Hedi
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Lee, Roger
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Liu, Wei-han
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Mabrouk, Anouar Ben
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Marie, Nicolas
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Matić, Ivan
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Mattiussi, Vanessa
1
McWalter, Thomas A.
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Mercurio, Danilo
1
Münnix, Michael C.
1
Nielsen, Jens Perch
1
Pelsser, Antoon André Jean
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International journal of theoretical and applied finance
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Finance and stochastics
Journal of econometrics
122
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
44
European journal of operational research : EJOR
30
Discussion paper / Tinbergen Institute
29
Economics letters
27
Econometric reviews
24
Economic modelling
20
Journal of empirical finance
20
Operations research letters
19
Mathematics of operations research
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
CREATES research paper
15
Quantitative finance
15
Econometric theory
14
Finance research letters
14
International journal of forecasting
14
Journal of banking & finance
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of financial econometrics
13
The econometrics journal
13
Journal of risk and financial management : JRFM
11
Operations research
11
The North American journal of economics and finance : a journal of financial economics studies
11
CEMMAP working papers / Centre for Microdata Methods and Practice
10
Computational economics
10
Econometrics : open access journal
10
Journal of forecasting
10
SFB 649 discussion paper
10
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
10
NBER Working Paper
9
Working papers
9
International journal of economics and financial issues : IJEFI
8
Working paper / National Bureau of Economic Research, Inc.
8
Computers & operations research : and their applications to problems of world concern ; an international journal
7
Discussion paper / Center for Economic Research, Tilburg University
7
INFORMS journal on computing : JOC
7
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ECONIS (ZBW)
31
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1
Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
2
Effective asymptotics analysis for finance
Grunspan, Cyril
;
Van der Hoeven, Joris
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-23
Persistent link: https://www.econbiz.de/10012270910
Saved in:
3
Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert
;
Ren, Peng
;
Timofeyev, Ilya
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
Saved in:
4
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
5
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
6
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
7
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
8
Spot volatility estimation using delta sequences
Mancini, Cecilia
;
Mattiussi, Vanessa
;
Renò, Roberto
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 261-293
Persistent link: https://www.econbiz.de/10011417938
Saved in:
9
Asymptotics of implied volatility to arbitrary order
Gao, Kun
;
Lee, Roger
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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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