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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of banking & finance"
~subject:"Optionspreistheorie"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Optionspreistheorie
Estimation theory
93
Schätztheorie
93
Estimation
30
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29
Volatilität
21
Portfolio selection
18
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Alexander, Carol
1
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Finance and stochastics
Journal of banking & finance
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
50
Discussion paper / Tinbergen Institute
37
Economics letters
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Econometric reviews
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Economic modelling
27
CREATES research paper
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Econometric theory
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Journal of empirical finance
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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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International journal of theoretical and applied finance
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SFB 649 discussion paper
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European journal of operational research : EJOR
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International journal of forecasting
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Journal of financial econometrics
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The econometrics journal
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Cowles Foundation discussion paper
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Discussion papers of interdisciplinary research project 373
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Journal of forecasting
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The North American journal of economics and finance : a journal of financial economics studies
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Risks : open access journal
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ECONIS (ZBW)
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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
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
3
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
4
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
5
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
6
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
7
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:
8
Chebyshev interpolation for parametric option pricing
Gaß, Maximilian
;
Glau, Kathrin
;
Mahlstedt, Mirco
; …
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 701-731
Persistent link: https://www.econbiz.de/10011945899
Saved in:
9
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:
10
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
Journal of banking & finance
72
(
2016
),
pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
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