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subject:"Volatility"
type_genre:"Article in journal"
~accessRights:"restricted"
~isPartOf:"International journal of computational economics and econometrics : IJCEE"
~isPartOf:"The journal of risk model validation"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation theory
19
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Estimation
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7
Risk measure
7
Volatilität
6
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Buczy´nski, Mateusz
1
Chlebus, Marcin
1
Eratalay, M. Hakan
1
Fałdziński, Marcin
1
Lapitskaya, Darya
1
Law, Keith K. F.
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Li, Wai Keung
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Osińska, Magdalena
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Ouamaliche, Soufiane
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International journal of computational economics and econometrics : IJCEE
The journal of risk model validation
Journal of econometrics
74
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
International journal of forecasting
13
Econometric reviews
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Finance research letters
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Economics letters
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Quantitative finance
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Journal of empirical finance
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The North American journal of economics and finance : a journal of financial economics studies
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Computational economics
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Journal of banking & finance
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Journal of forecasting
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Journal of mathematical finance
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Journal of quantitative economics
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Journal of risk
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Energy economics
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Finance and stochastics
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International journal of financial engineering
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The econometrics journal
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Theoretical economics letters
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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
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European journal of operational research : EJOR
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IIMB management review
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International journal of theoretical and applied finance
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Journal of time series econometrics
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Afro-Asian Journal of Finance and Accounting : AAJFA
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Agricultural economics : the journal of the International Association of Agricultural Economists
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Annals of finance
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Economic research
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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ECONIS (ZBW)
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1
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
2
Predicting stock return and volatility with machine learning and econometric models : a comparative case study of the Baltic stock market
Nõu, Anders
;
Lapitskaya, Darya
;
Eratalay, M. Hakan
; …
- In:
International journal of computational economics and …
13
(
2023
)
4
,
pp. 446-489
Persistent link: https://www.econbiz.de/10014439728
Saved in:
3
A non-parametric estimator for stochastic volatility density
Ouamaliche, Soufiane
;
Sayah, Awatef
- In:
International journal of computational economics and …
11
(
2021
)
4
,
pp. 349-367
Persistent link: https://www.econbiz.de/10012655445
Saved in:
4
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
5
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
6
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
Saved in:
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