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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"Quantitative finance"
~subject:"Nonparametric statistics"
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Stochastischer Prozess
Volatility
Nonparametric statistics
Estimation theory
54
Schätztheorie
54
Volatilität
23
Estimation
14
Option pricing theory
14
Optionspreistheorie
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Achab, Massil
1
Azencott, Robert
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
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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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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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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Finance and stochastics
Quantitative finance
Journal of econometrics
429
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
148
CEMMAP working papers / Centre for Microdata Methods and Practice
124
Econometric theory
121
Economics letters
113
Econometric reviews
103
Journal of the American Statistical Association : JASA
81
The econometrics journal
71
Discussion paper / Tinbergen Institute
64
Discussion papers of interdisciplinary research project 373
53
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
49
Cowles Foundation discussion paper
45
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
44
Working paper / Department of Econometrics and Business Statistics, Monash University
44
Quantitative economics : QE ; journal of the Econometric Society
42
SFB 649 discussion paper
42
Economic modelling
39
CREATES research paper
38
European journal of operational research : EJOR
38
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
37
Discussion paper series / IZA
36
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
32
Série des documents de travail / Centre de Recherche en Économie et Statistique
31
Econometrics papers
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometrics : open access journal
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Cowles Foundation Discussion Paper
28
International journal of forecasting
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
NBER Working Paper
25
Working papers / TSE : WP
25
Journal of empirical finance
24
Journal of risk and financial management : JRFM
24
NBER working paper series
24
Boston College working papers in economics
23
Discussion paper / Center for Economic Research, Tilburg University
22
Insurance / Mathematics & economics
22
Journal of banking & finance
22
Working paper
22
Computational economics
21
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ECONIS (ZBW)
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1
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
2
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
3
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
4
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
5
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:
6
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
7
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
8
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
9
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
Saved in:
10
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
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