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subject:"Volatilität"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"EU countries"
~subject:"Market microstructure"
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Volatilität
EU countries
Market microstructure
Estimation
74
Schätzung
73
Volatility
34
Theorie
31
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31
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29
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Sornette, Didier
3
Wehrli, Alexander
3
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2
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2
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1
Ahn, Kwangwon
1
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1
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1
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Quantitative finance
Applied economics
201
Economic modelling
192
Energy economics
161
International review of economics & finance : IREF
141
Finance research letters
136
Applied economics letters
129
International review of financial analysis
117
The North American journal of economics and finance : a journal of financial economics studies
110
Journal of banking & finance
107
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107
Journal of international money and finance
107
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
95
Journal of empirical finance
91
Journal of international financial markets, institutions & money
85
Applied financial economics
83
Economics letters
83
Research in international business and finance
78
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63
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62
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61
Empirica : journal of european economics
52
International journal of forecasting
52
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
47
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
46
Journal of financial economics
44
European economic review : EER
43
Journal of economic dynamics & control
42
International Journal of Energy Economics and Policy : IJEEP
41
International journal of economics and finance
40
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38
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37
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36
Journal of macroeconomics
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International journal of economics and financial issues : IJEFI
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Pacific-Basin finance journal
35
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
33
Empirical economics : a quarterly journal of the Institute for Advanced Studies
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ECONIS (ZBW)
38
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1
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
2
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
3
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
4
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:
5
Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets
Rømer, Sigurd Emil
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1805-1838
Persistent link: https://www.econbiz.de/10013367949
Saved in:
6
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:
7
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
Saved in:
8
Extracting implied volatilities from bank bonds
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1177-1197
Persistent link: https://www.econbiz.de/10014321670
Saved in:
9
Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe
;
Ciacci, Alberto
;
Lillo, Fabrizio
; …
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
Saved in:
10
Characterizing financial crises using high-frequency data
Dungey, Mardi H.
;
Holloway, Jet
;
Yalaman, Abdullah
; …
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 743-760
Persistent link: https://www.econbiz.de/10013367856
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