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subject:"Share price"
subject:"Volatilität"
~isPartOf:"Journal of mathematical finance"
~subject:"Risk measure"
~type_genre:"Aufsatz in Zeitschrift"
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Share price
Volatilität
Risk measure
Estimation theory
25
Schätztheorie
25
ARCH model
7
ARCH-Modell
7
Estimation
7
Schätzung
7
Statistical distribution
7
Statistische Verteilung
7
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Correlation
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Aufsatz in Zeitschrift
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Adewuyi, Adejumo Wahab
1
Bishwal, Jaya Prakasah Narayan
1
Cheng, Hao
1
Dai, Xianhua
1
Ensor, Katherine Bennett
1
Epaphra, Manamba
1
Esen, Halil Erturk
1
Ginley, Matthew
1
Gumbo, Victor
1
Kosta, Olga
1
Koulis, Theodoro
1
Li, Hong
1
Lim, Kian-Guan
1
Mashele, Hopolang P.
1
Mundia, Simon
1
Ngunyi, Anthony
1
Omari, Cyprian Ondieki
1
Paseka, Alexander
1
Scott, David W.
1
Siziba, Simiso
1
Sonono, Masimba E.
1
Stepanova, Natalia
1
Thavaneswaran, Aerambamoorthy
1
Wang, Yiwen
1
Yap, Nelson K. L.
1
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Journal of mathematical finance
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Economics letters
31
Journal of empirical finance
29
Journal of banking & finance
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Insurance / Mathematics & economics
25
Journal of risk
25
Econometric reviews
24
Finance research letters
22
Quantitative finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Economic modelling
20
Journal of financial econometrics
20
International journal of theoretical and applied finance
18
Econometric theory
17
International journal of forecasting
17
Journal of risk and financial management : JRFM
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
The econometrics journal
13
Econometrics : open access journal
12
European journal of operational research : EJOR
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
Risks : open access journal
10
The journal of risk model validation
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
9
Finance and stochastics
9
International review of financial analysis
9
Journal of financial economics
9
The European journal of finance
9
The journal of finance : the journal of the American Finance Association
9
Applied financial economics
8
Journal of financial and quantitative analysis : JFQA
8
Review of quantitative finance and accounting
8
The review of financial studies
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ECONIS (ZBW)
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1
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
2
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
3
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
4
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
5
Modelling stock prices with Exponential Weighted Moving Average (EWMA)
Adewuyi, Adejumo Wahab
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 99-104
Persistent link: https://www.econbiz.de/10011543134
Saved in:
6
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
7
Simulation of leveraged ETF volatility using nonparametric density estimation
Ginley, Matthew
;
Scott, David W.
;
Ensor, Katherine Bennett
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 457-479
Persistent link: https://www.econbiz.de/10011440276
Saved in:
8
Efficient density estimation and value at risk using Fejér-type kernel functions
Kosta, Olga
;
Stepanova, Natalia
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 480-504
Persistent link: https://www.econbiz.de/10011440699
Saved in:
9
Prediction of stock price movement using continuous time models
Sonono, Masimba E.
;
Mashele, Hopolang P.
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
Saved in:
10
Recursive estimation for continuous time stochastic volatility models using the Milstein approximation
Koulis, Theodoro
;
Paseka, Alexander
;
Thavaneswaran, …
- In:
Journal of mathematical finance
3
(
2013
)
3
,
pp. 357-365
Persistent link: https://www.econbiz.de/10010239543
Saved in:
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