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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"Quantitative finance"
~subject:"Risk measure"
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Stochastischer Prozess
Volatility
Risk measure
Estimation theory
54
Schätztheorie
54
Volatilität
23
Estimation
14
Option pricing theory
14
Optionspreistheorie
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Azencott, Robert
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Caccioli, Fabio
1
Canabarro, Askery
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
148
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
58
Discussion paper / Tinbergen Institute
41
Economics letters
37
Insurance / Mathematics & economics
32
Econometric reviews
31
Economic modelling
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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CREATES research paper
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Econometric theory
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Journal of empirical finance
24
Journal of risk
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Journal of banking & finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Finance research letters
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SFB 649 discussion paper
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International journal of forecasting
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Journal of financial econometrics
20
European journal of operational research : EJOR
18
International journal of theoretical and applied finance
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Computational economics
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Econometrics : open access journal
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Journal of risk and financial management : JRFM
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The econometrics journal
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Cowles Foundation discussion paper
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Operations research
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Risks : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of mathematical finance
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Mathematics of operations research
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Discussion papers of interdisciplinary research project 373
11
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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
10
The journal of risk model validation
10
Applied economics
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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
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
7
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:
8
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:
9
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:
10
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
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