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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"Time series analysis"
~subject:"USA"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Estimation theory"
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Volatility
Time series analysis
USA
Estimation theory
39
Schätztheorie
39
Volatilität
13
Option pricing theory
11
Optionspreistheorie
11
Portfolio selection
7
Portfolio-Management
7
Theorie
7
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7
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Article in journal
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English
15
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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
Ciogli, M.
1
El Qalli, Yassine
1
Guhr, Thomas
1
Han, Chuan-Hsiang
1
How, Desmond
1
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1
Koné, Fatoumata J.
1
Kortas, Hedi
1
Lim, Kian-Guan
1
Liu, Wei-han
1
Mabrouk, Anouar Ben
1
Matić, Ivan
1
McWalter, Thomas A.
1
Münnix, Michael C.
1
Ogden, Joseph P.
1
Pelsser, Antoon André Jean
1
Radoičić, Radoš
1
Rotundo, G.
1
Schäfer, Rudi
1
Stefanica, Dan
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Takahashi, Akihiko
1
Takehara, Kohta
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Taksar, Michael I.
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Terry, Eric
1
Tirozzi, B.
1
Toda, Masashi
1
Van Appel, Jacques
1
Wang, Tai-Ho
1
Zubelli, Jorge P.
1
van Haastrecht, Alexander
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International journal of theoretical and applied finance
Journal of econometrics
390
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
227
Econometric theory
171
Economics letters
166
Econometric reviews
99
International journal of forecasting
74
Journal of forecasting
65
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
58
Applied economics letters
55
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
55
Journal of applied econometrics
53
The review of economics and statistics
53
Econometrics : open access journal
51
Applied economics
46
The econometrics journal
46
Economic modelling
44
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
43
Journal of the American Statistical Association : JASA
41
Journal of time series econometrics
40
Journal of empirical finance
39
Computational economics
36
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Oxford bulletin of economics and statistics
29
Journal of banking & finance
26
American journal of agricultural economics
24
Finance research letters
22
Journal of risk and financial management : JRFM
21
The review of economic studies
21
Journal of macroeconomics
20
The journal of futures markets
20
Journal of financial econometrics
18
Journal of economic dynamics & control
17
Quantitative finance
17
International economic review
16
International journal of economics and financial issues : IJEFI
16
Journal of financial and quantitative analysis : JFQA
16
The North American journal of economics and finance : a journal of financial economics studies
16
The journal of finance : the journal of the American Finance Association
16
Quantitative economics : QE ; journal of the Econometric Society
15
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ECONIS (ZBW)
15
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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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