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subject:"Stochastic process"
subject:"Volatility"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Operations research"
~source:"econis"
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Search: subject_exact:"Estimation theory"
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Stochastic process
Volatility
Estimation theory
115
Schätztheorie
115
Estimation
26
Schätzung
26
Simulation
15
Stochastischer Prozess
15
Time series analysis
15
Zeitreihenanalyse
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Portfolio selection
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Volatilität
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Mathematical programming
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8
Maximum-Likelihood-Schätzung
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Fu, Michael
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Sancetta, Alessio
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1
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1
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1
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1
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1
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Journal of financial econometrics
Operations research
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
29
Economic modelling
27
CREATES research paper
26
Econometric theory
24
Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
International journal of forecasting
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Finance research letters
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Quantitative finance
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International journal of theoretical and applied finance
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Journal of banking & finance
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SFB 649 discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
European journal of operational research : EJOR
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Cowles Foundation discussion paper
13
Econometrics : open access journal
13
The North American journal of economics and finance : a journal of financial economics studies
12
Discussion papers of interdisciplinary research project 373
11
Mathematics of operations research
11
Computational 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
Finance and stochastics
10
Journal of mathematical finance
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
Insurance / Mathematics & economics
9
NBER Working Paper
9
Working paper
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
8
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1
Empirical asset pricing with functional factors
Nadler, Philip
;
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
Saved in:
2
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
3
High-order steady-state diffusion approximations
Braverman, Anton
;
Dai, J. G.
;
Fang, Xiao
- In:
Operations research
72
(
2024
)
2
,
pp. 604-616
Persistent link: https://www.econbiz.de/10014520812
Saved in:
4
Volatility of volatility estimation : central limit theorems for the fourier transform estimator and empirical study of the daily time series stylized facts
Toscano, Giacomo
;
Livieri, Giulia
;
Mancino, Maria Elvira
; …
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 252-296
Persistent link: https://www.econbiz.de/10014526318
Saved in:
5
Dynamic covariance matrix estimation and portfolio analysis with high-frequency data
Jiang, Binyan
;
Liu, Cheng
;
Tang, Cheng Yong
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 461-491
Persistent link: https://www.econbiz.de/10014526333
Saved in:
6
Estimating risk in illiquid markets : a model of market friction with stochastic volatility
Buccheri, Giuseppe
;
Grassi, Stefano
;
Vocalelli, Giorgio
- In:
Journal of financial econometrics
22
(
2024
)
2
,
pp. 531-574
Persistent link: https://www.econbiz.de/10014526336
Saved in:
7
Enhanced balancing of bias-variance tradeoff in stochastic estimation : a minimax perspective
Lam, Henry
;
Zhang, Xinyu
;
Zhang, Xuhui
- In:
Operations research
71
(
2023
)
6
,
pp. 2352-2373
Persistent link: https://www.econbiz.de/10014445044
Saved in:
8
Stability and sample-based approximations of composite stochastic optimization problems
Dentcheva, Darinka
;
Lin, Yang
;
Penev, Spiridon
- In:
Operations research
71
(
2023
)
5
,
pp. 1871-1888
Persistent link: https://www.econbiz.de/10014393285
Saved in:
9
An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei
;
Ko, Yi-Chen
;
Wang, Jr-Yan
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
Saved in:
10
A comparative study of likelihood approximations for univariate diffusions
Hurn, Stan
;
Lindsay, Kenneth A.
;
Xu, Lina
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 852-879
Persistent link: https://www.econbiz.de/10014314834
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