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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of banking & finance"
~subject:"Capital income"
~subject:"Portfolio-Management"
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Stochastischer Prozess
Volatility
Capital income
Portfolio-Management
Estimation theory
93
Schätztheorie
93
Estimation
30
Schätzung
29
Volatilität
21
Portfolio selection
18
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Füss, Roland
2
Rösch, Daniel
2
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1
Alexander, Carol
1
Aslanidis, Nektarios
1
Azencott, Robert
1
Brailsford, Timothy J.
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1
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Finance and stochastics
Journal of banking & finance
Journal of econometrics
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
74
Journal of empirical finance
44
Economics letters
43
Discussion paper / Tinbergen Institute
40
Finance research letters
39
Econometric reviews
34
European journal of operational research : EJOR
31
CREATES research paper
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Economic modelling
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
Quantitative finance
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Econometric theory
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International journal of theoretical and applied finance
23
Journal of financial econometrics
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Journal of risk and financial management : JRFM
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International 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
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Journal of financial economics
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Operations research
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Journal of mathematical finance
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Risks : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
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Cowles Foundation discussion paper
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NBER Working Paper
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Discussion papers of interdisciplinary research project 373
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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
Sensitivity-implied tail-correlation matrices
Paulusch, Joachim
;
Schlütter, Sebastian
- In:
Journal of banking & finance
134
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013400104
Saved in:
3
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:
4
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:
5
Portfolio selection with parsimonious higher comoments estimation
Lassance, Nathan
;
Vrins, Frédéric
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012820331
Saved in:
6
A general approach to smooth and convex portfolio optimization using lower partial moments
Yao, Haixiang
;
Huang, Jinbo
;
Li, Yong
;
Humphrey, …
- In:
Journal of banking & finance
129
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012822108
Saved in:
7
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:
8
A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Kircher, Felix
;
Rösch, Daniel
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013256632
Saved in:
9
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:
10
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
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