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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Share price"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Share price
Estimation theory
142
Schätztheorie
142
Time series analysis
51
Zeitreihenanalyse
51
Estimation
36
Schätzung
36
Volatilität
30
ARCH model
17
ARCH-Modell
17
Stochastic process
15
Regression analysis
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Cointegration
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Kointegration
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Option pricing theory
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Optionspreistheorie
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Capital income
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Kapitaleinkommen
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Nichtparametrisches Verfahren
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Theorie
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39
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Gatheral, Jim
2
Li, Jing
2
Abbara, Omar
1
Albanese, Claudio
1
Albani, Vinícius
1
Ammou, Samir Ben
1
Anatolyev, Stanislav
1
Baldeaux, jan
1
Baruník, Jozef
1
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Blazsek, Szabolcs
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1
Cezaro, Adriano de
1
Chan, Jennifer So Kuen
1
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1
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1
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1
Chevallier, Julien
1
Chuffart, Thomas
1
Daníelsson, Jón
1
El Qalli, Yassine
1
Enders, Walter
1
Escribano, Álvaro
1
Flachaire, Emmanuel
1
Fonseca, José da
1
Gong, Jinguo
1
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1
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Grasselli, Martino
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Hadri, Kaddour
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Hou, Weijie
1
How, Desmond
1
Härdle, Wolfgang
1
Ielpo, Florian
1
Jensen, Mark J.
1
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1
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International journal of theoretical and applied finance
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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
29
Journal of empirical finance
29
CREATES research paper
28
Econometric theory
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Journal of banking & finance
22
Finance research letters
20
Quantitative finance
19
International journal of forecasting
17
Journal of financial econometrics
17
Journal of risk and financial management : JRFM
17
SFB 649 discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
16
Journal of forecasting
16
Working paper
16
European journal of operational research : EJOR
15
The North American journal of economics and finance : a journal of financial economics studies
15
The econometrics journal
14
Cowles Foundation discussion paper
13
Econometrics : open access journal
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
13
International journal of economics and financial issues : IJEFI
13
NBER Working Paper
13
Discussion papers of interdisciplinary research project 373
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Journal of mathematical finance
12
Série des documents de travail / Centre de Recherche en Économie et Statistique
12
Cambridge working papers in economics
11
Computational economics
11
Mathematics of operations research
11
NBER working paper series
11
Working paper / National Bureau of Economic Research, Inc.
11
Finance and stochastics
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Score-driven location plus scale models : asymptotic theory and an application to forecasting Dow Jones volatility
Blazsek, Szabolcs
;
Escribano, Álvaro
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
28
(
2024
)
1
,
pp. 61-82
Persistent link: https://www.econbiz.de/10014506888
Saved in:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
Unrestricted, restricted, and regularized models for forecasting multivariate volatility
Anatolyev, Stanislav
;
Staněk, Filip
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 199-218
Persistent link: https://www.econbiz.de/10014288890
Saved in:
4
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:
5
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
6
Efficient estimation of financial risk by regressing the quantiles of parametric distributions : an application to CARR models
Chan, Jennifer So Kuen
;
Kok Haur Ng
;
Thanakorn …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012054882
Saved in:
7
A parametric stationarity test with smooth breaks
Tsong, Ching-Chuan
;
Lee, Cheng-Feng
;
Tsai, Li Ju
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054883
Saved in:
8
Flexible Fourier form for volatility breaks
Li, Jing
;
Enders, Walter
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011886596
Saved in:
9
Testing for misspecification in the short-run component of GARCH-type models
Chuffart, Thomas
;
Flachaire, Emmanuel
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
5
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011965362
Saved in:
10
Nonstationary autoregressive conditional duration models
Mishra, Anuj
;
Ramanathan, Thekke Variyam
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
21
(
2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011743716
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