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subject:"USA"
subject:"Volatilität"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"Quantitative finance"
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USA
Volatilität
Estimation theory
110
Schätztheorie
110
Estimation
32
Schätzung
32
Theorie
30
Theory
30
Volatility
18
Time series analysis
17
Zeitreihenanalyse
17
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13
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13
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11
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Option pricing theory
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Optionspreistheorie
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Modellierung
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Risiko
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Risk
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Scientific modelling
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Ghysels, Eric
2
Marcellino, Massimiliano
2
Adrian, Tobias
1
Bams, Dennis
1
Barnichon, Régis
1
Bayer, Christian
1
Behrendt, Simon
1
Beyer, Robert
1
Breneis, Simon
1
Brownlees, Christian
1
Canabarro, Askery
1
Cang, Yuquan
1
Cavicchioli, Maddalena
1
Chatterjee, Rupak
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Crump, Richard K.
1
Darvas, Zsolt M.
1
Favreau, Charles
1
Fernández-Villaverde, Jesús
1
Forni, Mario
1
Galakis, John
1
Guérin, Pierre
1
Gürkaynak, Refet S.
1
Hizmeri, Rodrigo
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
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1
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1
Kane, Hayden
1
Kawasaki, Yoshinori
1
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1
Kısacıkoğlu, Burçin
1
Lewis, Alan L.
1
Lippi, Marco
1
Liu, Guangying
1
Manresa, Elena
1
Mingone, A.
1
Mönch, Emanuel
1
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Discussion paper / Centre for Economic Policy Research
Quantitative finance
Journal of econometrics
143
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
133
The review of economics and statistics
45
Economics letters
42
Working paper / National Bureau of Economic Research, Inc.
39
Discussion paper / Tinbergen Institute
31
Econometric reviews
28
Journal of applied econometrics
26
CREATES research paper
25
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
24
International journal of forecasting
24
Journal of empirical finance
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
American journal of agricultural economics
20
Econometric theory
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Applied economics
18
Economic modelling
18
Journal of banking & finance
18
The journal of futures markets
18
Journal of forecasting
17
NBER working paper series
17
Journal of financial and quantitative analysis : JFQA
16
The econometrics journal
16
The journal of finance : the journal of the American Finance Association
16
Finance research letters
15
The review of financial studies
15
International journal of theoretical and applied finance
14
Journal of financial econometrics
13
Technical working paper / National Bureau of Economic Research
13
Discussion paper series / IZA
12
Journal of macroeconomics
12
CEMMAP working papers / Centre for Microdata Methods and Practice
11
The North American journal of economics and finance : a journal of financial economics studies
11
Working paper
11
Econometrics : open access journal
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
Journal of money, credit and banking : JMCB
10
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ECONIS (ZBW)
29
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1
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
Saved in:
2
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:
3
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:
4
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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
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:
7
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
Saved in:
8
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
Saved in:
9
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
10
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
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