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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Market microstructure"
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Volatility
Estimation
Market microstructure
Estimation theory
110
Schätztheorie
110
Schätzung
39
Volatilität
28
Portfolio selection
26
Portfolio-Management
26
Time series analysis
20
Zeitreihenanalyse
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English
60
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Füss, Roland
2
Nolte, Ingmar
2
Ren, Yu
2
Achab, Massil
1
Adams, Zeno
1
Alexakis, Panayotis
1
Alexander, Carol
1
Apergēs, Nikolaos
1
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1
Bacry, E.
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
Cai, Zongwu
1
Canabarro, Askery
1
Cang, Yuquan
1
Casas, Isabel
1
Cenedese, Gino
1
Chatterjee, Rupak
1
Chen, May-Ru
1
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1
Chi, Xie
1
Chronopoulou, Alexandra
1
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1
Clare, Andrew D.
1
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1
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1
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1
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1
Escanciano, Juan Carlos
1
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1
Fabozzi, Frank J.
1
Faff, Robert W.
1
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1
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Journal of banking & finance
Quantitative finance
Journal of econometrics
291
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
Economics letters
124
Econometric reviews
70
Economic modelling
59
Applied economics letters
58
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
40
Econometric theory
36
The econometrics journal
36
International journal of forecasting
33
Journal of empirical finance
33
Quantitative economics : QE ; journal of the Econometric Society
31
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26
Journal of the American Statistical Association : JASA
26
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25
Journal of forecasting
25
International journal of economics and financial issues : IJEFI
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Finance research letters
22
Journal of financial econometrics
22
The review of economics and statistics
22
Energy economics
21
European journal of operational research : EJOR
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Journal of risk and financial management : JRFM
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Insurance / Mathematics & economics
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The North American journal of economics and finance : a journal of financial economics studies
19
Journal of economic dynamics & control
16
International journal of theoretical and applied finance
15
Journal of risk
15
The empirical economics letters : a monthly international journal of economics
14
Applied financial economics
13
The journal of real estate finance and economics
13
American journal of agricultural economics
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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
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:
5
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
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
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
8
A bank's optimal capital ratio : a time-varying parameter model to the partial adjustment framework
Baik, Hyeoncheol
;
Han, Sumin
;
Joo, Sunghoon
;
Lee, Kangbok
- In:
Journal of banking & finance
142
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013473072
Saved in:
9
High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.
;
Mboussa Anga, G.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
Saved in:
10
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
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