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isPartOf:"International journal of theoretical and applied finance"
subject:"Volatility"
~subject:"Risk measure"
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Volatility
Risk measure
Estimation theory
39
Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
11
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7
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Gatheral, Jim
2
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1
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1
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1
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International journal of theoretical and applied finance
Journal of econometrics
126
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
53
Discussion paper / Tinbergen Institute
31
Economics letters
26
Econometric reviews
24
Insurance / Mathematics & economics
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
Journal of risk
24
Journal of empirical finance
22
Finance research letters
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Journal of banking & finance
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Quantitative finance
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of forecasting
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Journal of risk and financial management : JRFM
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12
The North American journal of economics and finance : a journal of financial economics studies
12
The journal of risk model validation
12
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11
European journal of operational research : EJOR
10
Risks : open access journal
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Finance and stochastics
9
International journal of economics and financial issues : IJEFI
9
Journal of mathematical finance
9
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8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
The European journal of finance
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GRIPS discussion papers
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ECONIS (ZBW)
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
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
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:
4
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:
5
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:
6
Liquidity risk and instabilities in portfolio optimization
Caccioli, Fabio
;
Kondor, Imre
;
Marsili, Matteo
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011524891
Saved in:
7
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
Saved in:
8
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
9
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
10
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
Saved in:
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