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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"
~type:"article"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Estimation theory
226
Schätztheorie
226
Theorie
65
Theory
65
Estimation
57
Schätzung
57
Time series analysis
40
Zeitreihenanalyse
40
Nichtparametrisches Verfahren
29
Nonparametric statistics
29
Regression analysis
24
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Volatilität
19
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Stochastic process
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28
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28
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28
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Koulis, Theodoro
2
Azencott, Robert
1
Bishwal, Jaya Prakasah Narayan
1
Cromwell, Jeff B.
1
Ensor, Katherine Bennett
1
Epaphra, Manamba
1
Esen, Halil Erturk
1
Filipović, Damir
1
Fukasawa, Masaaki
1
Gao, Kun
1
Giannakas, Kōnstantinos
1
Ginley, Matthew
1
Gloter, Arnaud
1
Guermat, Cherif
1
Gumbo, Victor
1
Hadri, Kaddour
1
Hafner, Christian M.
1
Hurley, William J.
1
Härdle, Wolfgang
1
Kalckreuth, Ulf von
1
Kouassi, Eugène
1
Krämer, Walter
1
Labys, Walter C.
1
Lee, Roger
1
Liu, Zhi
1
Mancini, Cecilia
1
Marie, Nicolas
1
Mashele, Hopolang P.
1
Mattiussi, Vanessa
1
Mundia, Simon
1
Neusser, Klaus
1
Ngunyi, Anthony
1
Omari, Cyprian Ondieki
1
Paseka, Alexander
1
Ren, Peng
1
Renò, Roberto
1
Scott, David W.
1
Serletis, Apostolos
1
Sibbertsen, Philipp
1
Siziba, Simiso
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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
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
48
Economics letters
35
Econometric reviews
27
Economic modelling
27
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
Finance research letters
16
Quantitative finance
16
International journal of theoretical and applied finance
15
Journal of banking & finance
15
Journal of financial econometrics
15
European journal of operational research : EJOR
14
Journal of forecasting
14
Journal of risk and financial management : JRFM
14
The econometrics journal
14
Econometrics : open access journal
13
The North American journal of economics and finance : a journal of financial economics studies
12
Mathematics of operations research
11
Computational economics
10
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Operations research
10
Insurance / Mathematics & economics
9
Handbook of financial time series
8
International journal of economics and financial issues : IJEFI
8
Applied economics
7
Applied economics letters
7
Asia-Pacific financial markets
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
International journal of financial engineering
7
Journal of productivity analysis
7
Journal of the American Statistical Association : JASA
7
Quantitative economics : QE ; journal of the Econometric Society
7
Risks : open access journal
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ECONIS (ZBW)
28
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1
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
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Simulation of leveraged ETF volatility using nonparametric density estimation
Ginley, Matthew
;
Scott, David W.
;
Ensor, Katherine Bennett
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 457-479
Persistent link: https://www.econbiz.de/10011440276
Saved in:
10
Spot volatility estimation using delta sequences
Mancini, Cecilia
;
Mattiussi, Vanessa
;
Renò, Roberto
- In:
Finance and stochastics
19
(
2015
)
2
,
pp. 261-293
Persistent link: https://www.econbiz.de/10011417938
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