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isPartOf:"MNB working papers"
subject:"Volatilität"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Quantitative finance"
~subject:"Maximum-Likelihood-Schätzung"
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Volatilität
Maximum-Likelihood-Schätzung
Estimation theory
126
Schätztheorie
126
Volatility
34
Estimation
33
Schätzung
33
Time series analysis
29
Zeitreihenanalyse
29
Correlation
19
Korrelation
19
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18
ARCH-Modell
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Portfolio selection
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Option pricing theory
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Optionspreistheorie
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Hafner, Christian M.
4
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3
Preminger, Arie
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1
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1
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1
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1
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1
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1
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1
Dēmos, Antōnēs A.
1
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MNB working papers
CORE discussion papers : DP
Journal of financial econometrics
Quantitative finance
Journal of econometrics
191
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Discussion paper / Tinbergen Institute
50
Economics letters
45
Econometric reviews
40
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24
CREATES research paper
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Econometric theory
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Journal of empirical finance
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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Journal of the American Statistical Association : JASA
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European journal of operational research : EJOR
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Finance research letters
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Journal of banking & finance
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Journal of forecasting
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Journal of risk and financial management : JRFM
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Computational economics
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International journal of theoretical and applied finance
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NBER Working Paper
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The North American journal of economics and finance : a journal of financial economics studies
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Insurance / Mathematics & economics
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Working paper / Department of Econometrics and Business Statistics, Monash University
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SFB 649 discussion paper
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Statistics in transition : an international journal of the Polish Statistical Association
10
Série des documents de travail
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Applied economics letters
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CESifo working papers
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Journal of economic dynamics & control
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ECONIS (ZBW)
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
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:
4
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
5
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
6
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
7
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
8
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
9
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
10
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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