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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria"
~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of mathematical finance"
~subject:"Capital income"
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Stochastischer Prozess
Volatility
Capital income
Estimation theory
230
Schätztheorie
230
Theorie
66
Theory
66
Estimation
57
Schätzung
57
Time series analysis
41
Zeitreihenanalyse
41
Nichtparametrisches Verfahren
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Volatilität
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34
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Koulis, Theodoro
2
Krämer, Walter
2
Azencott, Robert
1
Bhattacharyya, Malay
1
Bishwal, Jaya Prakasah Narayan
1
Cromwell, Jeff B.
1
Dai, Xianhua
1
Ensor, Katherine Bennett
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Epaphra, Manamba
1
Esen, Halil Erturk
1
Filipović, Damir
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Fukasawa, Masaaki
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Gao, Kun
1
Giannakas, Kōnstantinos
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1
Gloter, Arnaud
1
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1
Gumbo, Victor
1
Hadri, Kaddour
1
Hafner, Christian M.
1
Hurley, William J.
1
Härdle, Wolfgang
1
Jin, Sainan
1
Kalckreuth, Ulf von
1
Kouassi, Eugène
1
Labys, Walter C.
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1
Li, Hong
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Liu, Zhi
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Mundia, Simon
1
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
Finance and stochastics
Journal of mathematical finance
Journal of econometrics
160
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
63
Economics letters
42
Discussion paper / Tinbergen Institute
38
Journal of empirical finance
36
Econometric reviews
30
Economic modelling
28
CREATES research paper
27
Journal of financial econometrics : official journal of the Society for Financial Econometrics
26
Econometric theory
25
Finance research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
24
Journal of banking & finance
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Journal of risk and financial management : JRFM
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Journal of financial econometrics
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Quantitative finance
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International journal of forecasting
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International journal of theoretical and applied finance
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Journal of forecasting
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SFB 649 discussion paper
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
16
Econometrics : open access journal
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European journal of operational research : EJOR
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The econometrics journal
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Computational economics
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Cowles Foundation discussion paper
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Journal of financial economics
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NBER Working Paper
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The North American journal of economics and finance : a journal of financial economics studies
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Discussion papers of interdisciplinary research project 373
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Insurance / Mathematics & economics
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The European journal of finance
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Working paper / National Bureau of Economic Research, Inc.
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International journal of economics and financial issues : IJEFI
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Mathematics of operations research
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NBER working paper series
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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
2
Demand systems with heteroscedastic disturbances
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
4
,
pp. 1913-1921
Persistent link: https://www.econbiz.de/10012219723
Saved in:
3
Switching-regime regression for modeling and predicting a stock market return
Szulczyk, Kenneth R.
;
Zhang, Changyong
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
5
,
pp. 2385-2403
Persistent link: https://www.econbiz.de/10012314364
Saved in:
4
Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert
;
Ren, Peng
;
Timofeyev, Ilya
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
Saved in:
5
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
6
Modeling exchange rate volatility : application of the GARCH and EGARCH models
Epaphra, Manamba
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 121-143
Persistent link: https://www.econbiz.de/10011658449
Saved in:
7
Partially adaptive and robust estimation of asset models : accommodating skewness and kurtosis in returns
McDonald, James B.
;
Michelfelder, Richard A.
- In:
Journal of mathematical finance
7
(
2017
)
1
,
pp. 219-237
Persistent link: https://www.econbiz.de/10011658478
Saved in:
8
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
9
Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
Saved in:
10
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
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