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subject:"Großbritannien"
subject:"Kanada"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Quantitative finance"
~subject:"Volatilität"
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Großbritannien
Kanada
Volatilität
Estimation theory
124
Schätztheorie
124
Theorie
83
Theory
83
Nichtparametrisches Verfahren
28
Nonparametric statistics
28
Time series analysis
27
Zeitreihenanalyse
27
Estimation
25
Schätzung
25
Volatility
22
Regression analysis
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Option pricing theory
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Optionspreistheorie
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Härdle, Wolfgang
3
Spokojnyj, Vladimir G.
3
Yang, Lijian
2
Bayer, Christian
1
Behrendt, Simon
1
Breitung, Jörg
1
Breneis, Simon
1
Canabarro, Askery
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Candelon, Bertrand
1
Cang, Yuquan
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Chatterjee, Rupak
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Dankenbring, Henning
1
Favreau, Charles
1
Galakis, John
1
Grammig, Joachim
1
Han, Yongli
1
Herwartz, Helmut
1
Hizmeri, Rodrigo
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
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1
Kane, Hayden
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1
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Mathew, Thomas
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1
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Pirjol, Dan
1
Podobnik, Boris
1
Qiao, Kenan
1
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Quantitative finance
Journal of econometrics
122
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Economics letters
30
Discussion paper / Tinbergen Institute
29
Econometric reviews
23
Journal of empirical finance
20
Economic modelling
19
Econometric theory
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Journal of banking & finance
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Oxford bulletin of economics and statistics
16
CREATES research paper
15
International journal of forecasting
15
The econometrics journal
14
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Finance research letters
13
International journal of theoretical and applied finance
13
Journal of applied econometrics
13
Journal of financial econometrics
13
The North American journal of economics and finance : a journal of financial economics studies
12
Applied economics
11
Journal of forecasting
11
NBER Working Paper
11
Working paper
11
Working paper / National Bureau of Economic Research, Inc.
11
Discussion paper
10
Econometrics : open access journal
10
Journal of risk and financial management : JRFM
10
NBER working paper series
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Applied economics letters
9
Discussion paper / A
9
International journal of economics and financial issues : IJEFI
9
SFB 649 discussion paper
9
Finance and stochastics
8
Working papers
8
CEMMAP working papers / Centre for Microdata Methods and Practice
7
Discussion papers in 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
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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
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:
7
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
Saved in:
8
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:
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
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
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