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subject:"Share price"
subject:"Volatilität"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Portfolio selection"
~type_genre:"Article in journal"
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Share price
Volatilität
Portfolio selection
Estimation theory
39
Schätztheorie
39
Volatility
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio-Management
7
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Baldeaux, jan
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International journal of theoretical and applied finance
Journal of econometrics
142
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Journal of empirical finance
38
Journal of banking & finance
36
Economics letters
32
Finance research letters
31
Quantitative finance
26
Econometric reviews
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
European journal of operational research : EJOR
22
Economic modelling
21
Journal of financial econometrics
19
Journal of risk
18
Journal of risk and financial management : JRFM
17
Econometric theory
16
International journal of forecasting
16
Journal of forecasting
15
The North American journal of economics and finance : a journal of financial economics studies
15
International journal of economics and financial issues : IJEFI
14
Computational economics
13
Journal of financial economics
13
International review of financial analysis
12
The European journal of finance
12
The econometrics journal
12
Insurance / Mathematics & economics
11
Journal of financial and quantitative analysis : JFQA
11
Journal of mathematical finance
11
The journal of finance : the journal of the American Finance Association
11
Applied economics
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Econometrics : open access journal
10
Financial markets and portfolio management
10
Risks : open access journal
10
The review of financial studies
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Review of quantitative finance and accounting
9
Applied financial economics
8
Finance and stochastics
8
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ECONIS (ZBW)
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1
Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
Saved in:
2
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
3
Arbitrage pricing theory in ergodic markets
Frahm, Gabriel
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011903768
Saved in:
4
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
5
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
6
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis
;
Härdle, Wolfgang
;
Krymova, Ekaterina
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
Saved in:
7
Liquidity risk and instabilities in portfolio optimization
Caccioli, Fabio
;
Kondor, Imre
;
Marsili, Matteo
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011524891
Saved in:
8
Shrinkage estimation of mean-variance portfolio
Liu, Yan
;
Chan, Ngai Hang
;
Ng, Chi Tim
;
Wong, Samuel Po …
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011453866
Saved in:
9
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
10
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
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