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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Share price"
~subject:"Time series analysis"
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Search: subject_exact:"Estimation theory"
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Volatility
Share price
Time series analysis
Estimation theory
39
Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio selection
7
Portfolio-Management
7
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7
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Article in journal
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Gatheral, Jim
2
Albani, Vinícius
1
Ammou, Samir Ben
1
Baldeaux, jan
1
Belomestny, Denis
1
Buescu, Cristin
1
Cezaro, Adriano de
1
Chen, Tzu-ying
1
Ciogli, M.
1
El Qalli, Yassine
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How, Desmond
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Härdle, Wolfgang
1
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1
Kortas, Hedi
1
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1
Lim, Kian-Guan
1
Liu, Wei-han
1
Mabrouk, Anouar Ben
1
Matić, Ivan
1
McWalter, Thomas A.
1
Münnix, Michael C.
1
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Radoičić, Radoš
1
Rotundo, G.
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Tirozzi, B.
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Toda, Masashi
1
Van Appel, Jacques
1
Wang, Tai-Ho
1
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1
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International journal of theoretical and applied finance
Journal of econometrics
372
Econometric theory
171
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
170
Economics letters
154
Econometric reviews
97
International journal of forecasting
69
Journal of forecasting
64
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Applied economics letters
55
Econometrics : open access journal
53
Economic modelling
46
The econometrics journal
45
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
44
Journal of empirical finance
43
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
41
Journal of time series econometrics
40
Applied economics
38
Computational economics
37
Journal of the American Statistical Association : JASA
37
Journal of applied econometrics
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
33
Finance research letters
26
Journal of banking & finance
25
Journal of risk and financial management : JRFM
23
Oxford bulletin of economics and statistics
23
Journal of financial econometrics
21
Quantitative finance
21
Journal of economic dynamics & control
18
The North American journal of economics and finance : a journal of financial economics studies
18
International journal of economics and financial issues : IJEFI
17
The review of economics and statistics
17
Journal of macroeconomics
15
Quantitative economics : QE ; journal of the Econometric Society
15
The review of economic studies
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
13
Journal of quantitative economics
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Energy economics
11
European journal of operational research : EJOR
11
International Journal of Energy Economics and Policy : IJEEP
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ECONIS (ZBW)
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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
Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation
Belomestny, Denis
;
Härdle, Wolfgang
;
Krymova, Ekaterina
- In:
International journal of theoretical and applied finance
20
(
2017
)
6
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011734146
Saved in:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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