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Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho; Gobet, Emmanuel; Maurice, Anne-Claire - In: Quantitative finance 23 (2023) 9, pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
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Portfolio optimization under Expected Shortfall : contour maps of estimation error
Caccioli, Fabio; Kondor, Imre; Papp, Gábor - In: Quantitative finance 18 (2018) 8, pp. 1295-1313
Persistent link: https://www.econbiz.de/10011911538
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Noise fit, estimation error and a Sharpe information criterion
Paulsen, Dirk; Söhl, Jakob - In: Quantitative finance 20 (2020) 6, pp. 1027-1043
Persistent link: https://www.econbiz.de/10012262656
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Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo; Kim, Saejoon - In: Quantitative finance 21 (2021) 8, pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
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Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878
Persistent link: https://www.econbiz.de/10012295647
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Estimating the money market microstructure with negative and zero interest rates
Rainone, Edoardo; Vacirca, Francesco - In: Quantitative finance 20 (2020) 2, pp. 207-234
Persistent link: https://www.econbiz.de/10012194862