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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Finance research letters"
~isPartOf:"Quantitative finance"
~subject:"Credit risk"
~subject:"Estimation"
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Search: subject_exact:"Estimation theory"
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Volatility
Credit risk
Estimation
Estimation theory
112
Schätztheorie
112
Schätzung
32
Volatilität
29
Portfolio selection
27
Portfolio-Management
27
Forecasting model
25
Prognoseverfahren
25
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23
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23
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Bayesian inference
8
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8
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54
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Ardia, David
2
Madan, Dilip B.
2
Wu, Xinyu
2
Achab, Massil
1
Adesina, Tola
1
Arnerić, Josip
1
Bacry, E.
1
Bayer, Christian
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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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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1
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Finance research letters
Quantitative finance
Journal of econometrics
287
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
158
Economics letters
123
Econometric reviews
73
Economic modelling
62
Applied economics letters
59
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
52
Applied economics
45
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Journal of applied econometrics
42
Journal of banking & finance
41
The econometrics journal
37
Econometric theory
36
Journal of empirical finance
35
International journal of forecasting
33
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31
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30
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27
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26
Journal of the American Statistical Association : JASA
26
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25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
International journal of economics and financial issues : IJEFI
23
Journal of financial econometrics
23
The review of economics and statistics
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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
22
European journal of operational research : EJOR
22
Energy economics
21
Insurance / Mathematics & economics
20
Journal of risk and financial management : JRFM
20
Journal of economic dynamics & control
19
The North American journal of economics and finance : a journal of financial economics studies
19
International journal of theoretical and applied finance
16
Journal of risk
15
Risks : open access journal
14
The empirical economics letters : a monthly international journal of economics
14
The journal of risk model validation
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ECONIS (ZBW)
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1
Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei
;
Ihnatiuk, Vitalii
;
Chen, Yu
;
Lin, Jiahe
; …
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
Saved in:
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
Saved in:
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
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:
6
Predicting stock market returns with average correlation and average variance : decomposition approach
Oh, Jong-Min
- In:
Finance research letters
63
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014531460
Saved in:
7
Avoiding jumps in the rotation matrix of time-varying factor models
Cheung, Ying Lun
- In:
Finance research letters
67
(
2024
)
2
,
pp. 1-8
Persistent link: https://www.econbiz.de/10015062392
Saved in:
8
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:
9
Correlation impulse response functions
Hafner, Christian M.
;
Herwartz, Helmut
- In:
Finance research letters
57
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014513333
Saved in:
10
A Bayesian estimation approach of random switching exponential smoothing with application to credit forecast
Wang, Renhe
;
Wang, Tong
;
Qian, Zhiyong
;
Hu, Shulan
- In:
Finance research letters
58
(
2023
)
3
,
pp. 1-9
Persistent link: https://www.econbiz.de/10014631562
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