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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Discussion papers of interdisciplinary research project 373"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Journal of forecasting"
~subject:"Maximum likelihood estimation"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Maximum likelihood estimation
Estimation theory
433
Schätztheorie
433
Regression analysis
86
Regressionsanalyse
86
Forecasting model
82
Prognoseverfahren
82
Time series analysis
74
Zeitreihenanalyse
74
Nichtparametrisches Verfahren
71
Nonparametric statistics
71
Theorie
57
Theory
57
Estimation
51
Schätzung
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Technical efficiency
32
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Tsionas, Efthymios G.
4
Härdle, Wolfgang
3
Spokojnyj, Vladimir G.
3
Taylor, James W.
3
Heidergott, Bernd
2
Küchler, Uwe
2
Reiß, Markus
2
Santos, M. Isabel Reis dos
2
Santos, Pedro M. Reis dos
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Abraham, Bovas
1
An, Yang
1
Badescu, Alexandru
1
Badunkenko, Oleg
1
Balakrishna, N.
1
Banachewicz, Konrad
1
Ben-Zion, Uri
1
Blanco-Fernández, Ángela
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Brandão, Luiz Eduardo Teixeira
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Fei, Tianlun
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1
Goverde, Rob M. P.
1
Greene, William H.
1
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1
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1
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
14
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Discussion papers of interdisciplinary research project 373
European journal of operational research : EJOR
Journal of forecasting
Journal of econometrics
212
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
71
Discussion paper / Tinbergen Institute
56
Economics letters
56
Econometric reviews
45
CREATES research paper
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Econometric theory
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Journal of empirical finance
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
The econometrics journal
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Econometrics : open access journal
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Journal of the American Statistical Association : JASA
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International journal of forecasting
19
Cowles Foundation discussion paper
18
Finance research letters
18
Insurance / Mathematics & economics
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Journal of risk and financial management : JRFM
18
Série des documents de travail / Centre de Recherche en Économie et Statistique
18
Quantitative finance
17
Computational economics
16
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
16
Journal of banking & finance
16
SFB 649 discussion paper
16
International journal of theoretical and applied finance
15
Journal of financial econometrics
15
NBER Working Paper
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Operations research
15
The North American journal of economics and finance : a journal of financial economics studies
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13
Quantitative economics : QE ; journal of the Econometric Society
12
Applied economics
11
Applied economics letters
11
CEMMAP working papers / Centre for Microdata Methods and Practice
11
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
55
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1
Mixed-frequency predictive regressions with parameter learning
Leippold, Markus
;
Yang, Hanlin
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 1955-1972
Persistent link: https://www.econbiz.de/10014432824
Saved in:
2
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
3
Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction
Song, Yuping
;
Li, Zhenwei
;
Ma, Zhiren
;
Sun, Xiaoyu
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1055-1068
Persistent link: https://www.econbiz.de/10014338810
Saved in:
4
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
5
Joint production in stochastic non-parametric envelopment of data with firm-specific directions
Tsionas, Efthymios G.
- In:
European journal of operational research : EJOR
307
(
2023
)
3
,
pp. 1336-1347
Persistent link: https://www.econbiz.de/10014282988
Saved in:
6
Robust maximum likelihood estimation of stochastic frontier models
Stead, Alexander D.
;
Wheat, Phill
;
Greene, William H.
- In:
European journal of operational research : EJOR
309
(
2023
)
1
,
pp. 188-201
Persistent link: https://www.econbiz.de/10014290421
Saved in:
7
Forecasting Bitcoin volatility : a new insight from the threshold regression model
Zhang, Yaojie
;
He, Mengxi
;
Wen, Danyan
;
Wang, Yudong
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 633-652
Persistent link: https://www.econbiz.de/10013166172
Saved in:
8
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
9
Stochastic derivative estimation for max-stable random fields
Koch, Erwan
;
Robert, Christian Yann
- In:
European journal of operational research : EJOR
302
(
2022
)
2
,
pp. 575-588
Persistent link: https://www.econbiz.de/10013270124
Saved in:
10
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
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