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subject:"Volatilität"
type_genre:"Sammlung"
~isPartOf:"Quantitative finance"
~subject:"Risk measure"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation"
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Volatilität
Risk measure
Estimation
74
Schätzung
73
Volatility
34
Theorie
31
Theory
31
Börsenkurs
29
Share price
29
Capital income
24
Kapitaleinkommen
24
Forecasting model
20
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20
Time series analysis
17
Zeitreihenanalyse
17
Portfolio selection
14
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12
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12
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10
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9
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Risk
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Article
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Aufsatz in Zeitschrift
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English
40
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Sornette, Didier
3
Wehrli, Alexander
3
Gerlach, Richard
2
Wheatley, Spencer
2
Ahn, Kwangwon
1
Alemany, N.
1
Alexander, Carol
1
Aragó Manzana, Vicent
1
Asensio, Ivan Oscar
1
Beer, Simone
1
Bianchi, Michele Leonardo
1
Canabarro, Askery
1
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1
Chi, Xie
1
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1
Chow, K. Victor
1
Chronopoulou, Alexandra
1
Ciacci, Alberto
1
Costa, Giorgio
1
Dakos, Michael
1
Dungey, Mardi H.
1
Echenim, Mnacho
1
Fanelli, Viviana
1
Fink, Holger Maria
1
Galakis, John
1
Garcia-Jorcano, Laura
1
Giacometti, Rosella
1
Gobet, Emmanuel
1
Holloway, Jet
1
Holý, Vladimír
1
Hsieh, Fushing
1
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1
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1
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1
Kaibuchi, Hibiki
1
Kawasaki, Yoshinori
1
Kim, Hyun-Gyoon
1
Kim, Jeong-Hoon
1
Kotecha, Vinay
1
Kwon, Roy H.
1
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Quantitative finance
Energy economics
148
Applied economics
136
Finance research letters
129
Economic modelling
125
International review of economics & finance : IREF
116
Journal of econometrics
109
International review of financial analysis
108
The North American journal of economics and finance : a journal of financial economics studies
104
Journal of banking & finance
101
Journal of empirical finance
88
Applied economics letters
79
Applied financial economics
78
Research in international business and finance
75
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
71
Journal of international money and finance
71
Journal of international financial markets, institutions & money
70
Economics letters
62
The journal of futures markets
60
Journal of risk and financial management : JRFM
58
International journal of forecasting
53
The European journal of finance
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
46
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
45
International journal of finance & economics : IJFE
45
Journal of financial econometrics : official journal of the Society for Financial Econometrics
41
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
41
Journal of financial economics
39
International Journal of Energy Economics and Policy : IJEEP
38
Pacific-Basin finance journal
38
Journal of economic dynamics & control
36
International journal of economics and finance
35
Journal of financial econometrics
34
Journal of risk
33
International journal of economics and financial issues : IJEFI
30
Journal of forecasting
30
Cogent economics & finance
29
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
29
Risks : open access journal
29
Econometric reviews
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ECONIS (ZBW)
40
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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
Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin
;
Singh, Abhay Kumar
;
Okhrin, Ostap
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
Saved in:
6
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:
7
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:
8
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:
9
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
10
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
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