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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Share price"
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Stochastischer Prozess
Volatility
Share price
Estimation theory
57
Schätztheorie
57
Volatilität
21
Option pricing theory
18
Optionspreistheorie
18
Stochastic process
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Gatheral, Jim
2
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2
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1
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Finance and stochastics
International journal of theoretical and applied finance
Journal of econometrics
153
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Economics letters
40
Discussion paper / Tinbergen Institute
39
Economic modelling
30
Econometric reviews
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Journal of empirical finance
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CREATES research paper
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Econometric theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Finance research letters
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Quantitative finance
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International journal of forecasting
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Journal of financial econometrics
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SFB 649 discussion paper
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Journal of forecasting
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European journal of operational research : EJOR
15
The North American journal of economics and finance : a journal of financial economics studies
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The econometrics journal
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Cowles Foundation discussion paper
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Econometrics : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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International journal of economics and financial issues : IJEFI
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NBER Working Paper
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Discussion papers of interdisciplinary research project 373
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Cambridge working papers in economics
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1
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
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:
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
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:
6
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:
7
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:
8
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
Saved in:
9
Asymptotics of implied volatility to arbitrary order
Gao, Kun
;
Lee, Roger
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
Saved in:
10
Confidence sets in nonparametric calibration of exponential Lévy models
Söhl, Jakob
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 617-649
Persistent link: https://www.econbiz.de/10010395982
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