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isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
subject:"Volatility"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Quantitative finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
450
Schätztheorie
450
Theorie
172
Theory
172
Time series analysis
98
Zeitreihenanalyse
98
Estimation
81
Schätzung
80
Volatilität
50
Nichtparametrisches Verfahren
42
Nonparametric statistics
42
ARCH model
36
ARCH-Modell
36
Portfolio selection
32
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32
Regression analysis
31
Regressionsanalyse
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Risk measure
21
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20
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20
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Markov-Kette
20
Cointegration
17
Kointegration
17
Maximum likelihood estimation
17
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17
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16
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16
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Gouriéroux, Christian
3
Jasiak, Joann
3
Nolte, Ingmar
2
Abbara, Omar
1
Alexander, Carol
1
Anatolyev, Stanislav
1
Baruník, Jozef
1
Bayer, Christian
1
Behrendt, Simon
1
Bertholon, Henri
1
Blazsek, Szabolcs
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
Breneis, Simon
1
Bu, Ruijun
1
Canabarro, Askery
1
Cang, Yuquan
1
Cenedese, Gino
1
Chan, Jennifer So Kuen
1
Chatterjee, Rupak
1
Cheng, Jie
1
Chevallier, Julien
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chuffart, Thomas
1
Clements, Adam
1
Daníelsson, Jón
1
Enders, Walter
1
Escobar, Marcos
1
Escribano, Álvaro
1
Faff, Robert W.
1
Favreau, Charles
1
Flachaire, Emmanuel
1
Galakis, John
1
Ghysels, Eric
1
Golosnoy, Vasyl
1
Goutte, Stéphane
1
Hadri, Kaddour
1
Hamid, Alain
1
Hizmeri, Rodrigo
1
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Série des documents de travail / Centre de Recherche en Économie et Statistique
Journal of banking & finance
Quantitative finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Journal of econometrics
116
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
42
Discussion paper / Tinbergen Institute
27
Economics letters
24
Econometric reviews
22
Journal of empirical finance
20
Economic modelling
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
CREATES research paper
15
Econometric theory
14
International journal of forecasting
14
International journal of theoretical and applied finance
13
Journal of financial econometrics
13
Finance research letters
12
The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
Econometrics : open access journal
9
SFB 649 discussion paper
9
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
7
NBER Working Paper
7
Working papers
7
Applied economics
6
Computational economics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
Documento de trabajo
6
Handbook of financial time series
6
International journal of financial engineering
6
Working paper / National Bureau of Economic Research, Inc.
6
Asia-Pacific financial markets
5
CBN journal of applied statistics
5
Cambridge working papers in economics
5
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1
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:
2
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:
3
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:
4
Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
5
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:
6
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
7
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
8
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
9
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
10
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
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