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Estimation
Stochastischer Prozess
19,138
Stochastic process
19,134
Theorie
10,925
Theory
10,893
Volatilität
4,275
Volatility
4,266
Optionspreistheorie
4,048
Option pricing theory
4,023
Mathematical programming
2,685
Mathematische Optimierung
2,685
Portfolio-Management
1,965
Portfolio selection
1,962
Zeitreihenanalyse
1,827
Time series analysis
1,822
Schätztheorie
1,783
Estimation theory
1,777
Schätzung
1,677
Markov chain
1,379
Markov-Kette
1,377
Risk
1,295
Risiko
1,289
Principal component analysis
1,097
Optionsgeschäft
1,023
Option trading
1,020
Prognoseverfahren
986
Forecasting model
983
Monte Carlo simulation
922
Derivative
909
Monte-Carlo-Simulation
909
Derivat
908
Statistische Verteilung
884
CAPM
883
Statistical distribution
879
Börsenkurs
857
Share price
853
Simulation
851
Dynamische Optimierung
834
Dynamic programming
832
Hauptkomponentenanalyse
750
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Free
655
Undetermined
458
CC license
35
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942
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734
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Article in journal
879
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879
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56
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Hochschulschrift
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49
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6
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6
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Conference paper
5
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5
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3
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3
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3
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1
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1
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1
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1
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English
1,632
German
44
Undetermined
2
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1
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McAleer, Michael
34
Chan, Joshua
27
Koopman, Siem Jan
20
Gil-Alaña, Luis A.
19
Todorov, Viktor
18
Tauchen, George Eugene
17
Asai, Manabu
16
Härdle, Wolfgang
16
Tansel, Aysıt
13
Caporale, Guglielmo Maria
12
Rubio-Ramírez, Juan Francisco
12
Chang, Tsangyao
11
Guerrón-Quintana, Pablo A.
11
Hafner, Christian M.
11
Wirjanto, Tony S.
10
Fernández-Villaverde, Jesús
9
Forbes, Catherine Scipione
9
Li, Jia
9
Martin, Gael M.
9
Rodriguez, Gabriel
9
Chang, Hsu-Ling
8
Herwartz, Helmut
8
Lettau, Martin
8
Maneesoonthorn, Worapree
8
Marcellino, Massimiliano
8
Su, Chi-Wei
8
Trede, Mark
8
Wilfling, Bernd
8
Zhang, Bo
8
Bos, Charles S.
7
Clark, Todd E.
7
Cross, Jamie
7
Knight, John L.
7
Kumbhakar, Subal
7
Mertens, Elmar
7
Mumtaz, Haroon
7
Nason, James Michael
7
Pelger, Markus
7
Pettenuzzo, Davide
7
Schorfheide, Frank
7
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National Bureau of Economic Research
10
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
9
Queen Mary College / Department of Economics
2
University of Canterbury / Dept. of Economics and Finance
2
Brandenburgische Technische Universität Cottbus / Lehrstuhl Energiewirtschaft
1
Center for Economic Analysis of Human Behavior and Social Institutions, National Bureau of Economic Research, inc.
1
Centre for Economic Policy Research
1
Erasmus Research Institute of Management
1
Escola de Pós-Graduação em Economia <Rio de Janeiro>
1
Federal Reserve Bank of Cleveland
1
Hamburgisches Welt-Wirtschafts-Archiv
1
Nomos Verlagsgesellschaft
1
Osteuropa-Institut
1
Rodney L. White Center for Financial Research
1
Thailand Econometric Society
1
Trinity College Dublin / Department of Economics
1
Umeå Universitet / Institutionen för Nationalekonomi
1
University of Chicago / Graduate School of Business
1
Universität Mannheim
1
Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
1
Österreichisches Institut für Wirtschaftsforschung
1
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Published in...
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Journal of econometrics
67
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
30
Discussion paper / Tinbergen Institute
27
Economics letters
27
Econometric reviews
26
Working paper
26
Applied economics
20
Journal of empirical finance
19
Econometrics : open access journal
18
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
17
Energy economics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
The journal of futures markets
15
CAMA working paper series
14
Economic modelling
14
European journal of operational research : EJOR
14
International journal of forecasting
14
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
14
Applied economics letters
13
Finance research letters
13
Journal of applied econometrics
13
Journal of banking & finance
13
SFB 649 discussion paper
13
Computational economics
11
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Journal of productivity analysis
10
Discussion papers of interdisciplinary research project 373
9
Econometric Institute research papers
9
International review of economics & finance : IREF
9
Journal of financial econometrics
9
Journal of forecasting
9
Journal of risk and financial management : JRFM
9
NBER Working Paper
9
NBER working paper series
9
Quantitative finance
9
Journal of economic dynamics & control
8
Research paper series / Swiss Finance Institute
8
Working paper / Department of Econometrics and Business Statistics, Monash University
8
Working paper / National Bureau of Economic Research, Inc.
8
Annals of finance
7
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ECONIS (ZBW)
1,674
RePEc
2
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1
Shrinkage estimation of multiple threshold factor models
Ma, Chenchen
;
Tu, Yundong
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1876-1892
Persistent link: https://www.econbiz.de/10014471434
Saved in:
2
Volatility model applications in China's SSE50 options market
Chi, Yeguang
;
Hao, Wenyan
;
Zhang, Yifei
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
Saved in:
3
Deep structural estimation: with an application to option pricing
Chen, Hui
;
Didisheim, Antoine
;
Scheidegger, Simon
-
2021
Persistent link: https://www.econbiz.de/10012819482
Saved in:
4
Leverage and feedback effects on multifactor wishart stochastic volatility for option pricing
Asai, Manabu
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009724148
Saved in:
5
Assessing the quality of volatility estimators via option pricing
Sanfelici, Simona
;
Uboldi, Adamo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
2
,
pp. 103-124
Persistent link: https://www.econbiz.de/10010347332
Saved in:
6
An application of nonparametric volatility estimators to option pricing
Kenmoe, Romuald N.
;
Sanfelici, Simona
- In:
Decisions in economics and finance : DEF ; a journal of …
37
(
2014
)
2
,
pp. 393-412
Persistent link: https://www.econbiz.de/10010412432
Saved in:
7
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
8
Nonparametric estimation of risk-neutral distribution via the empirical Esscher transform
Pereira, Manoel
;
Veiga, Alvaro
- In:
Revista Brasileira de Finanças : RBFin
15
(
2017
)
2
,
pp. 167-195
Persistent link: https://www.econbiz.de/10011896819
Saved in:
9
The price of the smile and variance risk premia
Gruber, Peter H.
;
Tebaldi, Claudio
;
Trojani, Fabio
- In:
Management science : journal of the Institute for …
67
(
2021
)
7
,
pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
Saved in:
10
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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