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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Quantitative finance"
~subject:"Estimation"
~subject:"Scientific modelling"
~subject:"Statistical distribution"
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Volatility
Estimation
Scientific modelling
Statistical distribution
Estimation theory
36
Schätztheorie
36
Volatilität
15
Schätzung
12
Time series analysis
10
Zeitreihenanalyse
10
Forecasting model
9
Prognoseverfahren
9
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26
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Ren, Yu
2
Xie, Tian
2
Achab, Massil
1
Bacry, E.
1
Bayer, Christian
1
Behrendt, Simon
1
Breneis, Simon
1
Buccheri, G.
1
Canabarro, Askery
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
Chung, Munki
1
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1
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1
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1
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1
Guo, Meihui
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
Muzy, J. F.
1
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1
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Quantitative finance
Journal of econometrics
372
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
175
Economics letters
156
Econometric reviews
101
Econometric theory
72
Economic modelling
66
The econometrics journal
63
Applied economics letters
62
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
57
Insurance / Mathematics & economics
53
Applied economics
49
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
49
Journal of the American Statistical Association : JASA
48
International journal of forecasting
45
Journal of applied econometrics
45
Econometrics : open access journal
44
Quantitative economics : QE ; journal of the Econometric Society
41
Journal of banking & finance
40
Journal of empirical finance
38
European journal of operational research : EJOR
35
Computational economics
33
Empirical economics : a quarterly journal of the Institute for Advanced Studies
31
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
30
Journal of forecasting
30
Statistics in transition : an international journal of the Polish Statistical Association
29
Journal of financial econometrics
28
Journal of financial econometrics : official journal of the Society for Financial Econometrics
27
Finance research letters
26
Journal of risk and financial management : JRFM
26
International journal of economics and financial issues : IJEFI
23
The review of economics and statistics
23
Energy economics
22
Journal of economic dynamics & control
22
Journal of risk
20
The North American journal of economics and finance : a journal of financial economics studies
19
Risks : open access journal
18
International journal of theoretical and applied finance
15
Journal of mathematical finance
15
Journal of productivity analysis
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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
A note on spurious model selection
Wang, Weiguan
;
Ruf, Johannes
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1797-1800
Persistent link: https://www.econbiz.de/10013367947
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
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
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
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:
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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