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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"CBN journal of applied statistics"
~isPartOf:"Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse"
~isPartOf:"Quantitative finance"
~subject:"Statistical test"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical test
Estimation theory
209
Schätztheorie
209
Theorie
92
Theory
92
Time series analysis
53
Zeitreihenanalyse
53
Estimation
43
Schätzung
43
Volatilität
42
Nichtparametrisches Verfahren
37
Nonparametric statistics
37
Regression analysis
27
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Stochastic process
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Härdle, Wolfgang
6
Spokojnyj, Vladimir G.
5
Herwartz, Helmut
2
Läuter, Henning
2
Teyssière, Gilles
2
Yang, Lijian
2
Adeoye, Babatunde W.
1
Andreou, Alena
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Asemota, Joseph O.
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Atanda, Akinwande A.
1
Atoi, Ngozi V.
1
Bala, Dahiru A.
1
Balter, Janine
1
Bayer, Christian
1
Behrendt, Simon
1
Bormann, Carsten
1
Bos, Charles S.
1
Breneis, Simon
1
Caldeira, João F.
1
Canabarro, Askery
1
Cang, Yuquan
1
Carrasco, Marine
1
Chatterjee, Rupak
1
Chen, Song Xi
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Frederiksen, Per
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Galakis, John
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Ghysels, Eric
1
Grammig, Joachim
1
Hassler, Uwe
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
CBN journal of applied statistics
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
Quantitative finance
Journal of econometrics
258
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
Econometric reviews
76
Economics letters
67
Econometric theory
56
CEMMAP working papers / Centre for Microdata Methods and Practice
48
The econometrics journal
45
Discussion paper / Tinbergen Institute
40
Cowles Foundation discussion paper
33
Economic modelling
31
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
27
CREATES research paper
26
Econometrics : open access journal
26
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
Cowles Foundation Discussion Paper
25
Journal of empirical finance
24
Journal of financial econometrics
22
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
21
Quantitative economics : QE ; journal of the Econometric Society
20
International journal of forecasting
19
Applied economics letters
18
Journal of banking & finance
17
Cambridge working papers in economics
15
Discussion paper / Center for Economic Research, Tilburg University
15
Finance research letters
15
SFB 649 discussion paper
15
Working paper
15
Working paper / Department of Econometrics and Business Statistics, Monash University
15
Discussion papers of interdisciplinary research project 373
14
Journal of forecasting
14
Journal of the American Statistical Association : JASA
14
Discussion paper
13
International journal of theoretical and applied finance
13
Journal of time series econometrics
13
NBER Working Paper
13
CEMFI working paper
12
Computational economics
12
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ECONIS (ZBW)
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1
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
2
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:
3
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
4
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:
5
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
6
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
7
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
Saved in:
8
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
Saved in:
9
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
10
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
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