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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Regressionsanalyse"
~type_genre:"Conference paper"
~type_genre:"Systematic review"
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Search: subject_exact:"Estimation theory"
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Volatility
Regressionsanalyse
Estimation theory
39
Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio selection
7
Portfolio-Management
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Baldeaux, jan
1
Buescu, Cristin
1
Cezaro, Adriano de
1
Chen, Tzu-ying
1
El Qalli, Yassine
1
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1
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1
McWalter, Thomas A.
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Münnix, Michael C.
1
Pelsser, Antoon André Jean
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Radoičić, Radoš
1
Schäfer, Rudi
1
Stefanica, Dan
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Takahashi, Akihiko
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Terry, Eric
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Van Appel, Jacques
1
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International journal of theoretical and applied finance
Journal of econometrics
371
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
133
Economics letters
114
Econometric theory
107
Journal of the American Statistical Association : JASA
92
Econometric reviews
90
The econometrics journal
66
Economic modelling
38
Econometrics : open access journal
36
European journal of operational research : EJOR
34
International journal of forecasting
32
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
31
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
27
Journal of risk and financial management : JRFM
26
Computational economics
25
Journal of empirical finance
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
Journal of forecasting
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Quantitative economics : QE ; journal of the Econometric Society
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Applied economics letters
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Insurance / Mathematics & economics
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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
20
Finance research letters
20
Journal of applied econometrics
19
Empirical economics : a quarterly journal of the Institute for Advanced Studies
17
Journal of banking & finance
17
Journal of financial econometrics
17
Quantitative finance
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Applied economics
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Journal of quantitative economics
16
Journal of econometric methods
14
Risks : open access journal
14
The North American journal of economics and finance : a journal of financial economics studies
14
Statistical papers
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International journal of economics and financial issues : IJEFI
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Statistics in transition : an international journal of the Polish Statistical Association
12
The empirical economics letters : a monthly international journal of economics
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
10
Energy economics
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1
Moment approximations of displaced forward-LIBOR rates with application to swaptions
Van Appel, Jacques
;
McWalter, Thomas A.
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-29
Persistent link: https://www.econbiz.de/10012496904
Saved in:
2
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
3
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
4
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang
;
Liu, Wei-han
;
Chen, Tzu-ying
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10010363922
Saved in:
5
An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
Buescu, Cristin
;
Taksar, Michael I.
;
Koné, Fatoumata J.
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009784042
Saved in:
6
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
Saved in:
7
Exact simulation of the 3/2 model
Baldeaux, jan
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10009672611
Saved in:
8
The heat-kernel most-likely-path approximation
Gatheral, Jim
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
Saved in:
9
Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.
;
Schäfer, Rudi
;
Guhr, Thomas
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
Saved in:
10
Recursive Bayesian estimation in forward price models implied by fair pricing
El Qalli, Yassine
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 301-333
Persistent link: https://www.econbiz.de/10008860389
Saved in:
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