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subject:"Volatility"
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Volatility
Time series analysis
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Volatilität
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Sornette, Didier
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Quantitative finance
Journal of econometrics
100
Discussion paper / Tinbergen Institute
76
Energy economics
67
International journal of forecasting
58
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57
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Finance research letters
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VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
2
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:
3
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
4
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:
5
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:
6
Coupled GARCH(1,1) model
Nie, Huasheng
;
Waelbroeck, Henri
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 759-776
Persistent link: https://www.econbiz.de/10014304344
Saved in:
7
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity-concavity indicators
Zhang, Qun
;
Sornette, Didier
;
Han, Liyan
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 367-384
Persistent link: https://www.econbiz.de/10013167760
Saved in:
8
Modeling price clustering in high-frequency prices
Holý, Vladimír
;
Tomanová, Petra
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1649-1663
Persistent link: https://www.econbiz.de/10013367939
Saved in:
9
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
Saved in:
10
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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