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subject:"Germany"
subject:"Zins"
~isPartOf:"CREATES research paper"
~isPartOf:"Finance and stochastics"
~subject:"Volatilität"
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Germany
Zins
Volatilität
Estimation theory
155
Schätztheorie
155
Time series analysis
62
Zeitreihenanalyse
62
Volatility
23
Nichtparametrisches Verfahren
22
Nonparametric statistics
22
Theorie
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21
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20
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Maximum likelihood estimation
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Option pricing theory
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Optionspreistheorie
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6
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Teräsvirta, Timo
4
Silvennoinen, Annastiina
3
Kristensen, Dennis
2
Amado, Cristina
1
Andersen, Torben
1
Azencott, Robert
1
Barndorff-Nielsen, Ole E.
1
Casas, Isabel
1
Cavaliere, Giuseppe
1
Creel, Michael D.
1
Demetrescum, Matei
1
Ergemen, Yunus Emre
1
Floor Brix, Anne
1
Fukasawa, Masaaki
1
Gao, Kun
1
Gijbels, Irène
1
Gloter, Arnaud
1
Hafner, Christian M.
1
Hall, Anthony D.
1
Hanck, Christoph
1
Hounyo, Ulrich
1
Härdle, Wolfgang
1
Jakobsen, Johan Stax
1
Kanaya, Shin
1
Kang, Jian
1
Kruse, Robinson
1
Lee, Roger
1
Liu, Zhi
1
Lunde, Asger
1
Mancini, Cecilia
1
Marie, Nicolas
1
Mattiussi, Vanessa
1
Nielsen, Morten Ørregaard
1
Ren, Peng
1
Renò, Roberto
1
Rossi, Eduardo
1
Santucci de Magistris, Paolo
1
Taylor, Robert
1
Timofeyev, Ilya
1
Todorov, Viktor
1
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CREATES research paper
Finance and stochastics
Journal of econometrics
119
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
60
Discussion paper / Tinbergen Institute
30
Economics letters
28
Econometric reviews
23
Journal of empirical finance
22
Economic modelling
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Econometric theory
17
International journal of forecasting
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
15
Europäische Hochschulschriften / 5
15
Quantitative finance
15
Discussion paper
14
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
13
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of banking & finance
13
Journal of financial econometrics
13
SFB 649 discussion paper
13
NBER Working Paper
12
The North American journal of economics and finance : a journal of financial economics studies
11
The econometrics journal
11
Applied economics
10
Discussion paper series / IZA
10
Discussion papers of interdisciplinary research project 373
10
Econometrics : open access journal
10
Journal of forecasting
10
Journal of risk and financial management : JRFM
10
NBER working paper series
10
Working paper / National Bureau of Economic Research, Inc.
10
International journal of economics and financial issues : IJEFI
9
Schriften zur angewandten Ökonometrie
9
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
9
Applied financial economics
8
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
8
Journal of mathematical finance
8
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ECONIS (ZBW)
23
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1
A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian
;
Jakobsen, Johan Stax
;
Silvennoinen, Annastiina
-
2022
Persistent link: https://www.econbiz.de/10012816369
Saved in:
2
Parametric estimation of long memory in factor models
Ergemen, Yunus Emre
-
2022
Persistent link: https://www.econbiz.de/10013367389
Saved in:
3
Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.
;
Silvennoinen, Annastiina
; …
-
2021
Persistent link: https://www.econbiz.de/10012815962
Saved in:
4
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:
5
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:
6
Fixed-b inference in the presence of time-varying volatility
Demetrescum, Matei
;
Hanck, Christoph
;
Kruse, Robinson
-
2016
Persistent link: https://www.econbiz.de/10011409125
Saved in:
7
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Silvennoinen, Annastiina
;
Teräsvirta, Timo
-
2015
Persistent link: https://www.econbiz.de/10011373232
Saved in:
8
Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich
;
Veliyev, Bezirgen
-
2015
Persistent link: https://www.econbiz.de/10010529455
Saved in:
9
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA Models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
-
2014
Persistent link: https://www.econbiz.de/10010394614
Saved in:
10
ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
-
2014
Persistent link: https://www.econbiz.de/10010401691
Saved in:
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