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isPartOf:"International journal of theoretical and applied finance"
subject:"Volatilität"
~isPartOf:"Finance and stochastics"
~subject:"Mathematische Optimierung"
~subject:"Risk"
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Search: subject_exact:"Estimation theory"
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Volatilität
Mathematische Optimierung
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Estimation theory
57
Schätztheorie
57
Volatility
21
Option pricing theory
18
Optionspreistheorie
18
Stochastic process
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Auer, Benjamin R.
1
Azencott, Robert
1
Baldeaux, jan
1
Buescu, Cristin
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Cezaro, Adriano de
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Chen, Tzu-ying
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El Qalli, Yassine
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Han, Chuan-Hsiang
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How, Desmond
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Lee, Roger
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Lim, Kian-Guan
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Pelsser, Antoon André Jean
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International journal of theoretical and applied finance
Finance and stochastics
Journal of econometrics
125
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
50
European journal of operational research : EJOR
31
Discussion paper / Tinbergen Institute
29
Economics letters
28
Econometric reviews
25
Journal of empirical finance
21
Economic modelling
20
Insurance / Mathematics & economics
20
International journal of forecasting
20
Mathematics of operations research
20
Operations research letters
20
Journal of banking & finance
19
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
16
Finance research letters
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Quantitative finance
16
CREATES research paper
15
Econometric theory
15
Operations research
15
The econometrics journal
14
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
13
Journal of financial econometrics
13
NBER Working Paper
13
Journal of risk
12
SFB 649 discussion paper
12
The North American journal of economics and finance : a journal of financial economics studies
12
Computational economics
11
Journal of forecasting
11
Journal of risk and financial management : JRFM
11
NBER working paper series
11
Série des documents de travail / Centre de Recherche en Économie et Statistique
11
Working paper / National Bureau of Economic Research, Inc.
11
CEMMAP working papers / Centre for Microdata Methods and Practice
10
Econometrics : open access journal
10
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
10
Working papers
10
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ECONIS (ZBW)
27
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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
Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
Saved in:
3
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:
4
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:
5
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:
6
Arbitrage pricing theory in ergodic markets
Frahm, Gabriel
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011903768
Saved in:
7
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:
8
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:
9
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:
10
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:
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