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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Kapitaleinkommen"
~subject:"Prognoseverfahren"
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Volatility
Estimation
Kapitaleinkommen
Prognoseverfahren
Estimation theory
36
Schätztheorie
36
Volatilität
15
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Portfolio selection
8
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8
Börsenkurs
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Option pricing theory
7
Optionspreistheorie
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Stochastic process
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Market microstructure
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Marktmikrostruktur
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Risikomaß
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Risk measure
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Capital income
4
Derivat
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Derivative
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Analysis of variance
3
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Estimation error
3
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Article in journal
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English
24
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Tsiotas, Georgios
2
Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Buccheri, G.
1
Caccioli, Fabio
1
Canabarro, Askery
1
Cang, Yuquan
1
Chatterjee, Rupak
1
Chen, May-Ru
1
Chi, Xie
1
Chronopoulou, Alexandra
1
Chung, Munki
1
Fabozzi, Frank J.
1
Favreau, Charles
1
Galakis, John
1
Guo, Meihui
1
Hizmeri, Rodrigo
1
Huang, Shih-Feng
1
Izzeldin, Marwan
1
Jiang, Zhi-Qiang
1
Kaibuchi, Hibiki
1
Kane, Hayden
1
Kawasaki, Yoshinori
1
Kim, Jang Ho
1
Kim, Woo Chang
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Kondor, Imre
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Lee, Yongjae
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Lewis, Alan L.
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Liu, Guangying
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Mboussa Anga, G.
1
Mingone, A.
1
Muzy, J. F.
1
Nolte, Ingmar
1
Papp, Gábor
1
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1
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1
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Quantitative finance
Journal of econometrics
346
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
187
Economics letters
143
International journal of forecasting
118
Journal of forecasting
84
Econometric reviews
79
Economic modelling
64
Applied economics letters
63
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
62
Applied economics
51
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
Journal of empirical finance
48
The econometrics journal
46
Econometric theory
45
Journal of applied econometrics
45
Journal of banking & finance
41
Journal of the American Statistical Association : JASA
37
Computational economics
34
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33
Finance research letters
32
Insurance / Mathematics & economics
32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Empirical economics : a quarterly journal of the Institute for Advanced Studies
31
Quantitative economics : QE ; journal of the Econometric Society
31
European journal of operational research : EJOR
30
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
27
Journal of financial econometrics
26
Journal of risk and financial management : JRFM
26
International journal of economics and financial issues : IJEFI
25
The review of economics and statistics
24
Energy economics
22
Journal of economic dynamics & control
21
Journal of risk
19
Risks : open access journal
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The North American journal of economics and finance : a journal of financial economics studies
19
The empirical economics letters : a monthly international journal of economics
18
The journal of real estate finance and economics
17
International journal of theoretical and applied finance
16
Journal of mathematical finance
16
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ECONIS (ZBW)
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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
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:
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
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:
9
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:
10
The limitations of estimating implied densities from option prices
Shelton, Austin
;
Kane, Hayden
;
Favreau, Charles
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1885-1904
Persistent link: https://www.econbiz.de/10012696789
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