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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Bayesian inference"
~type_genre:"Government document"
~type_genre:"Übersichtsarbeit"
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Volatility
Bayesian inference
Estimation theory
39
Schätztheorie
39
Volatilität
16
Estimation
13
Schätzung
13
Forecasting model
10
Prognoseverfahren
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Tsiotas, Georgios
2
Bayer, Christian
1
Behrendt, Simon
1
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1
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Cang, Yuquan
1
Chatterjee, Rupak
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Chi, Xie
1
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1
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Kane, Hayden
1
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1
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1
Liu, Guangying
1
Mingone, A.
1
Nolte, Ingmar
1
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1
Pelagatti, Matteo
1
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Sun, Yuying
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Tydniouk, Igor
1
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1
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1
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1
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Quantitative finance
Journal of econometrics
163
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
65
Economics letters
38
Econometric reviews
31
Economic modelling
28
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
26
International journal of forecasting
25
Journal of empirical finance
23
Econometric theory
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Econometrics : open access journal
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The econometrics journal
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Finance research letters
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17
Journal of forecasting
16
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15
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14
Journal of applied econometrics
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Journal of financial econometrics
14
Computational economics
13
International journal of theoretical and applied finance
13
Journal of economic dynamics & control
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Journal of risk and financial management : JRFM
12
Quantitative economics : QE ; journal of the Econometric Society
12
The North American journal of economics and finance : a journal of financial economics studies
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of quantitative economics
11
Applied economics
10
Applied economics letters
9
Insurance / Mathematics & economics
9
Finance and stochastics
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
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Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences
8
Risks : open access journal
8
Statistics in transition : an international journal of the Polish Statistical Association
8
Central European journal of economic modelling and econometrics
7
The journal of risk model validation
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ECONIS (ZBW)
18
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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
Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo
;
Sbrana, Giacomo
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
Saved in:
5
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:
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
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:
8
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
Saved in:
9
On a new parametrization class of solvable diffusion models and transition probability kernels
Tudor, Sebastian F.
;
Chatterjee, Rupak
;
Tydniouk, Igor
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1773-1790
Persistent link: https://www.econbiz.de/10012653711
Saved in:
10
Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Realdon, Marco
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1365-1386
Persistent link: https://www.econbiz.de/10012608653
Saved in:
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