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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Journal of risk"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Forecasting model"
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Search: subject_exact:"Estimation theory"
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Volatility
Estimation
Forecasting model
Estimation theory
67
Schätztheorie
67
Risikomaß
26
Risk measure
26
Schätzung
25
Portfolio selection
21
Portfolio-Management
21
Volatilität
20
Time series analysis
16
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16
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13
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5
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41
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Tsiotas, Georgios
2
Abad, Pilar
1
Achab, Massil
1
Arora, Rohit
1
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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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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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Journal of risk
Quantitative finance
Journal of econometrics
335
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
181
Economics letters
139
International journal of forecasting
118
Journal of forecasting
81
Econometric reviews
78
Economic modelling
64
Applied economics letters
63
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
61
Applied economics
50
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
48
Econometric theory
45
Journal of applied econometrics
44
The econometrics journal
44
Journal of empirical finance
43
Journal of banking & finance
39
Journal of the American Statistical Association : JASA
37
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32
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31
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31
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31
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31
European journal of operational research : EJOR
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
28
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Finance research letters
26
Journal of financial econometrics
26
International journal of economics and financial issues : IJEFI
24
Journal of risk and financial management : JRFM
23
The review of economics and statistics
23
Energy economics
22
The North American journal of economics and finance : a journal of financial economics studies
19
Journal of economic dynamics & control
18
Risks : open access journal
18
The empirical economics letters : a monthly international journal of economics
18
Journal of quantitative economics
16
The journal of real estate finance and economics
16
Oxford bulletin of economics and statistics
15
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ECONIS (ZBW)
41
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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
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
6
Forecasting exchange rates using asymmetric losses : a Bayesian approach
Tsiotas, Georgios
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 273-287
Persistent link: https://www.econbiz.de/10013167737
Saved in:
7
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
8
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:
9
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:
10
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
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