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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of banking & finance"
~subject:"Kreditrisiko"
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Search: subject_exact:"Estimation theory"
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Stochastischer Prozess
Volatility
Kreditrisiko
Estimation theory
93
Schätztheorie
93
Estimation
30
Schätzung
29
Volatilität
21
Portfolio selection
18
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Schuermann, Til
2
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1
Azencott, Robert
1
Brailsford, Timothy J.
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Clements, Adam
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Finance and stochastics
Journal of banking & finance
Journal of econometrics
139
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Discussion paper / Tinbergen Institute
40
Economics letters
35
Econometric reviews
32
Economic modelling
27
CREATES research paper
26
Econometric theory
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Journal of empirical finance
23
Finance research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
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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European journal of operational research : EJOR
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Journal of financial econometrics
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SFB 649 discussion paper
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The econometrics journal
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Econometrics : open access journal
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Journal of risk and financial management : JRFM
14
Cowles Foundation discussion paper
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Computational economics
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Mathematics of operations research
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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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Journal of mathematical finance
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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The journal of risk model validation
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Insurance / Mathematics & economics
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Applied economics letters
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Dresdner Beiträge zu quantitativen Verfahren
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
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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
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:
3
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:
4
Local logit regression for loan recovery rate
Sopitpongstorn, Nithi
;
Silvapulle, Paramsothy
;
Gao, Jiti
; …
- In:
Journal of banking & finance
126
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012820172
Saved in:
5
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:
6
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:
7
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:
8
Affine multivariate GARCH models
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
Saved in:
9
Geostatistical modeling of dependent credit spreads : estimation of large covariance matrices and imputation of missing data
Hüttner, Amelie
;
Scherer, Matthias
;
Gräler, Benedikt
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521061
Saved in:
10
Least impulse response estimator for stress test exercises
Gouriéroux, Christian
;
Lu, Yang
- In:
Journal of banking & finance
103
(
2019
),
pp. 62-77
Persistent link: https://www.econbiz.de/10012163773
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