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isPartOf:"MPRA Paper"
~isPartOf:"International journal of forecasting"
~isPartOf:"International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association"
~isPartOf:"The journal of futures markets"
~person:"Fonseca, José da"
~person:"Zhang, Jin E."
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Search: subject_exact:"Volatility"
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Volatility
13
Volatilität
13
Option pricing theory
5
Optionspreistheorie
5
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4
Optionsgeschäft
4
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4
Zinsstruktur
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Fonseca, José da
Zhang, Jin E.
Daigler, Robert T.
7
Caiado, Jorge
6
Crato, Nuno
6
Onour, Ibrahim
6
Bali, Turan G.
5
Ederington, Louis H.
5
Ma, Feng
5
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5
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5
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5
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5
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4
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4
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4
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4
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4
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4
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4
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4
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4
Agarwalla, Sobhesh Kumar
3
Camilleri, Silvio John
3
Chatrath, Arjun
3
Chen, Langnan
3
Chen, Zhiyao
3
Chou, Robin K.
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Dima, Bogdan
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3
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3
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3
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3
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3
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MPRA Paper
International journal of forecasting
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
The journal of futures markets
Applied economics
4
Energy economics
3
Journal of banking & finance
2
Journal of economic dynamics & control
2
Journal of risk and financial management : JRFM
2
Economic modelling
1
Economics letters
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1
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Review of derivatives research
1
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1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
Swiss Finance Institute Research Paper
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
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ECONIS (ZBW)
13
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13
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1
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
2
The COVID-19 risk in the Chinese option market
Li, Jianhui
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
; …
- In:
International review of finance : the official journal …
22
(
2022
)
2
,
pp. 346-355
Persistent link: https://www.econbiz.de/10013275599
Saved in:
3
VIX option-implied volatility slope and VIX futures returns
Yoon, Jungah
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1002-1038
Persistent link: https://www.econbiz.de/10013287910
Saved in:
4
Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators : an affine jump-diffusion approach
Aschakulporn, Pakorn
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
3
,
pp. 365-388
Persistent link: https://www.econbiz.de/10012817922
Saved in:
5
Pricing VXX options by modeling VIX directly
Lin, Wei
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
Saved in:
6
Clustering and mean reversion in a Hawkes microstructure model
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
35
(
2015
)
9
,
pp. 813-838
Persistent link: https://www.econbiz.de/10011392661
Saved in:
7
Hawkes process : fast calibration, application to trade clustering, and diffuse limit
Fonseca, José da
;
Zaatour, Riadh
- In:
The journal of futures markets
34
(
2014
)
6
,
pp. 548-579
Persistent link: https://www.econbiz.de/10010371413
Saved in:
8
A joint analysis of the term structure of credit default swap spreads and the implied volatility surface
Fonseca, José da
;
Gottschalk, Katrin
- In:
The journal of futures markets
33
(
2013
)
6
,
pp. 494-517
Persistent link: https://www.econbiz.de/10009756569
Saved in:
9
The term structure of VIX
Luo, Xingguo
;
Zhang, Jin E.
- In:
The journal of futures markets
32
(
2012
)
12
,
pp. 1092-1123
Persistent link: https://www.econbiz.de/10009697787
Saved in:
10
Causality in the VIX futures market
Shu, Jinghong
;
Zhang, Jin E.
- In:
The journal of futures markets
32
(
2012
)
1
,
pp. 24-46
Persistent link: https://www.econbiz.de/10010218057
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