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subject:"Deutschland"
subject:"Forecasting model"
~isPartOf:"Quantitative finance"
~subject:"Risikomaß"
~subject:"Stochastic process"
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Deutschland
Forecasting model
Risikomaß
Stochastic process
Estimation theory
36
Schätztheorie
36
Volatility
15
Volatilität
15
Estimation
12
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Tsiotas, Georgios
2
Bayer, Christian
1
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1
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Quantitative finance
Journal of econometrics
144
International journal of forecasting
115
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
80
Journal of forecasting
73
Discussion paper / Tinbergen Institute
43
Insurance / Mathematics & economics
43
Economics letters
42
Econometric reviews
28
Econometric theory
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
26
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CREATES research paper
24
European journal of operational research : EJOR
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Working paper / Department of Econometrics and Business Statistics, Monash University
23
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22
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22
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
21
Journal of the American Statistical Association : JASA
20
SFB 649 discussion paper
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The econometrics journal
20
Europäische Hochschulschriften / 5
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Risks : open access journal
19
Finance research letters
18
Journal of financial econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Cowles Foundation discussion paper
16
Discussion papers of interdisciplinary research project 373
16
Working paper
16
Econometrics : open access journal
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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NBER working paper series
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Operations research
14
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
14
Working papers series in theoretical and applied economics
14
Applied economics
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ECONIS (ZBW)
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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
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:
5
Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
Saved in:
6
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
7
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:
8
Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo
;
Kim, Saejoon
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
Saved in:
9
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
10
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
Saved in:
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