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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"Finance and stochastics"
~isPartOf:"Quantitative finance"
~subject:"Portfolio selection"
~subject:"Risk measure"
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Stochastischer Prozess
Volatility
Portfolio selection
Risk measure
Estimation theory
54
Schätztheorie
54
Volatilität
23
Estimation
14
Option pricing theory
14
Optionspreistheorie
14
Schätzung
14
Time series analysis
13
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13
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Derivat
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Noise trading
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Söhl, Jakob
2
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1
Bayer, Christian
1
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Breneis, Simon
1
Broby, Daniel
1
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1
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1
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1
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1
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1
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1
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Finance and stochastics
Quantitative finance
Journal of econometrics
159
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
68
Discussion paper / Tinbergen Institute
42
Economics letters
38
Insurance / Mathematics & economics
36
Journal of empirical finance
34
Econometric reviews
33
Journal of banking & finance
33
Finance research letters
32
European journal of operational research : EJOR
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
29
CREATES research paper
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Economic modelling
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Journal of risk
27
Econometric theory
25
Journal of financial econometrics
25
International journal of theoretical and applied finance
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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SFB 649 discussion paper
22
International journal of forecasting
21
Computational economics
20
Journal of risk and financial management : JRFM
19
Journal of forecasting
17
Risks : open access journal
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Série des documents de travail / Centre de Recherche en Économie et Statistique
17
The econometrics journal
17
Econometrics : open access journal
16
Operations research
16
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
14
Cowles Foundation discussion paper
13
Journal of mathematical finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
Mathematics of operations research
12
The European journal of finance
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ECONIS (ZBW)
37
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1
An eigenvalue distribution derived "Stability Measure" for evaluating Minimum Variance portfolios
Smyth, William
;
Broby, Daniel
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 521-537
Persistent link: https://www.econbiz.de/10014232686
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2
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
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3
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
4
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
5
Implied volatility directional forecasting : a machine learning approach
Vrontos, Spyridon D.
;
Galakis, John
;
Vrontos, Ioannis D.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1687-1706
Persistent link: https://www.econbiz.de/10012653707
Saved in:
6
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:
7
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
8
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
9
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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10
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
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