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subject:"Stochastischer Prozess"
subject:"Volatility"
~accessRights:"restricted"
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~subject:"Analysis"
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Stochastischer Prozess
Volatility
Analysis
Estimation theory
7
Schätztheorie
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Volatilität
4
Time series analysis
3
Zeitreihenanalyse
3
Estimation
2
High-frequency data
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Market microstructure
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Nichtparametrisches Verfahren
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Noise Trading
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Option pricing theory
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Optionspreistheorie
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(Tensorized) Chebyshev polynomials
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Ausreißer
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Consistent scoring functions
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Dirac delta
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Financial market
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Fourier estimator
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Fourier transform methods
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Fractional Brownian motion
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Heston model
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Hill estimator
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Indirect observability
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Integrated volatility
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M-estimation
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Azencott, Robert
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Liu, Zhi
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Mancini, Cecilia
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Marie, Nicolas
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Mattiussi, Vanessa
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Finance and stochastics
Journal of econometrics
90
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Econometric reviews
18
Economics letters
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Economic modelling
15
Finance research letters
15
International journal of forecasting
15
Econometric theory
13
Journal of financial econometrics
13
Quantitative finance
12
Journal of empirical finance
11
The North American journal of economics and finance : a journal of financial economics studies
10
Computational economics
8
European journal of operational research : EJOR
8
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
7
Journal of banking & finance
7
Journal of forecasting
7
Operations research
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Insurance / Mathematics & economics
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Journal of quantitative economics
6
Journal of risk
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Operations research letters
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Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Discussion papers / CEPR
5
Energy economics
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International journal of financial engineering
5
Journal of mathematical finance
5
Journal of time series econometrics
5
Mathematics of operations research
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
International journal of production research
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
The econometrics journal
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The journal of risk model validation
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Theoretical economics letters
4
Applied economics
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Applied economics letters
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Discussion paper / Centre for Economic Policy Research
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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:
2
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:
3
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
4
Spot volatility estimation using delta sequences
Mancini, Cecilia
;
Mattiussi, Vanessa
;
Renò, Roberto
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 261-293
Persistent link: https://www.econbiz.de/10011417938
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