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subject:"Volatility"
subject:"Stochastischer Prozess"
~isPartOf:"Insurance / Mathematics & economics"
~isPartOf:"Journal of banking & finance"
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Volatility
Stochastischer Prozess
Estimation theory
193
Schätztheorie
193
Statistical distribution
50
Statistische Verteilung
50
Estimation
46
Schätzung
42
Risikomaß
32
Risk measure
32
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27
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Zhang, Zhimin
3
Avanzi, Benjamin
2
Guillou, Armelle
2
Taylor, Greg
2
Wong, Bernard
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Alexander, Carol
1
Brailsford, Timothy J.
1
Bregantini, Daniele
1
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Insurance / Mathematics & economics
Journal of banking & finance
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Discussion paper / Tinbergen Institute
37
Economics letters
35
Econometric reviews
29
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27
CREATES research paper
26
Econometric theory
24
Journal of empirical finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
International journal of forecasting
17
Quantitative finance
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Finance research letters
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International journal of theoretical and applied finance
15
Journal of financial econometrics
15
SFB 649 discussion paper
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14
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14
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14
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The econometrics journal
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13
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12
Discussion papers of interdisciplinary research project 373
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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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NBER Working Paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
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1
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
2
On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
Avanzi, Benjamin
;
Taylor, Greg
;
Wong, Bernard
;
Yang, Xinda
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 9-24
Persistent link: https://www.econbiz.de/10012649204
Saved in:
3
A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of banking & finance
125
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
Saved in:
4
A practical guide to harnessing the HAR volatility model
Clements, Adam
;
Preve, Daniel P. A.
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013256626
Saved in:
5
Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013257376
Saved in:
6
Statistical estimation for some dividend problems under the compound poisson risk model
Xie, Jiayi
;
Zhang, Zhimin
- In:
Insurance / Mathematics & economics
95
(
2020
),
pp. 101-115
Persistent link: https://www.econbiz.de/10012419256
Saved in:
7
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
8
Extreme quantile estimation for β-mixing time series and applications
Chavez-Demoulin, Valérie
;
Guillou, Armelle
- In:
Insurance / Mathematics & economics
83
(
2018
),
pp. 59-74
Persistent link: https://www.econbiz.de/10011944097
Saved in:
9
Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
Lally, Nathan
;
Hartman, Brian
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 124-140
Persistent link: https://www.econbiz.de/10011929845
Saved in:
10
Estimating Gerber-Shiu functions from discretely observed Lévy driven surplus
Shimizu, Yasutaka
;
Zhang, Zhimin
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 84-98
Persistent link: https://www.econbiz.de/10011712403
Saved in:
11
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
Journal of banking & finance
72
(
2016
),
pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Saved in:
12
Stochastic loss reserving with dependence : a flexible multivariate Tweedie approach
Avanzi, Benjamin
;
Taylor, Greg
;
Vu, Phuong Anh
;
Wong, …
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 63-78
Persistent link: https://www.econbiz.de/10011630609
Saved in:
13
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
Saved in:
14
Returns to scale at large banks in the US : a random coefficient stochastic frontier approach
Feng, Guohua
;
Zhangaohui, Xi
- In:
Journal of banking & finance
39
(
2014
),
pp. 135-145
Persistent link: https://www.econbiz.de/10010340764
Saved in:
15
The empirical similarity approach for volatility prediction
Golosnoy, Vasyl
;
Hamid, Alain
;
Okhrin, Yarema
- In:
Journal of banking & finance
40
(
2014
),
pp. 321-329
Persistent link: https://www.econbiz.de/10010402690
Saved in:
16
Foreign exchange risk and the predictability of carry trade returns
Cenedese, Gino
;
Sarno, Lucio
;
Tsiakas, Ilias
- In:
Journal of banking & finance
42
(
2014
),
pp. 302-313
Persistent link: https://www.econbiz.de/10010408374
Saved in:
17
Estimating and using GARCH models with VIX data for option valuation
Kanniainen, Juho
;
Lin, Binghuan
;
Yang, Hanxue
- In:
Journal of banking & finance
43
(
2014
),
pp. 200-211
Persistent link: https://www.econbiz.de/10010410004
Saved in:
18
Nonparametric estimation for the ruin probability in a Lévy risk model under low-frequency observation
Zhang, Zhimin
;
Yang, Hailiang
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 168-177
Persistent link: https://www.econbiz.de/10010469141
Saved in:
19
Estimation of the parameters of a Markov-modulated loss process in insurance
Guillou, Armelle
;
Loisel, Stéphane
;
Stupfler, Gilles
- In:
Insurance / Mathematics & economics
53
(
2013
)
2
,
pp. 388-404
Persistent link: https://www.econbiz.de/10010195915
Saved in:
20
Moment-based estimation of stochastic volatility
Bregantini, Daniele
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4755-4764
Persistent link: https://www.econbiz.de/10010342233
Saved in:
21
Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas
;
Alexander, Carol
- In:
Journal of banking & finance
36
(
2012
)
11
,
pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
Saved in:
22
Parameter estimation of a bivariate compound Poisson process
Esmaeili, Habib
;
Klüppelberg, Claudia
- In:
Insurance / Mathematics & economics
47
(
2010
)
2
,
pp. 224-233
Persistent link: https://www.econbiz.de/10008654242
Saved in:
23
An evaluation of volatility forecasting techniques
Brailsford, Timothy J.
- In:
Journal of banking & finance
20
(
1996
)
3
,
pp. 419-438
Persistent link: https://www.econbiz.de/10001197045
Saved in:
24
Conditional volatility and the informational efficiency of the PHLX currency options market
Xu, Xinzhong
- In:
Journal of banking & finance
19
(
1995
)
5
,
pp. 803-821
Persistent link: https://www.econbiz.de/10001185510
Saved in:
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