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isPartOf:"MPRA Paper"
~isPartOf:"Pacific-Basin finance journal"
~isPartOf:"Quantitative finance"
~subject:"Stochastic volatility"
~subject:"Volatility"
~subject:"exchange rate"
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Stochastic volatility
Volatility
exchange rate
Volatilität
363
Option pricing theory
110
Optionspreistheorie
110
Börsenkurs
104
Share price
104
Stochastic process
94
Stochastischer Prozess
94
Capital income
86
Kapitaleinkommen
86
volatility
84
Stock market
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76
Estimation
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Theorie
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Theory
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GARCH
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Welt
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World
27
Anlageverhalten
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Behavioural finance
26
Option trading
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Optionsgeschäft
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Derivat
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Derivative
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Implied volatility
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English
363
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Caiado, Jorge
5
Crato, Nuno
5
Masih, Mansur
5
Onour, Ibrahim
5
Sinha, Pankaj
5
Escobar, Marcos
4
Frino, Alex
4
Gatheral, Jim
4
Radoičić, Radoš
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Sornette, Didier
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Wei, K. C. John
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An, Yunbi
3
Bayer, Christian
3
Camilleri, Silvio John
3
Dumitriu, Ramona
3
Felpel, Mike
3
Ghiba, Nicolae
3
Hammoudeh, Shawkat
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kalev, Petko S.
3
Kam Fong Chan
3
Kienitz, Jörg
3
Lillo, Fabrizio
3
Liu, Qingfu
3
Liu, Xiaoquan
3
Mapa, Dennis S.
3
McWalter, Thomas A.
3
Pan, Zheyao
3
Pirjol, Dan
3
Rosenbaum, Mathieu
3
Shi, Yongdong
3
Stefanescu, Razvan
3
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3
Wehrli, Alexander
3
Zhang, Chuanhai
3
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2
Alexander, Carol
2
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2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
94
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MPRA Paper
Pacific-Basin finance journal
Quantitative finance
Energy economics
610
Finance research letters
568
NBER working paper series
485
Working paper / National Bureau of Economic Research, Inc.
466
International review of financial analysis
419
NBER Working Paper
416
Applied economics
378
Journal of banking & finance
375
International review of economics & finance : IREF
368
The journal of futures markets
360
Economic modelling
341
The North American journal of economics and finance : a journal of financial economics studies
324
Journal of econometrics
321
Applied financial economics
265
Journal of empirical finance
265
Applied economics letters
261
Research in international business and finance
255
Economics letters
246
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Working paper
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Journal of international financial markets, institutions & money
239
Discussion paper / Centre for Economic Policy Research
238
Journal of international money and finance
230
Discussion paper / Tinbergen Institute
198
Journal of risk and financial management : JRFM
197
Journal of financial economics
184
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
172
CESifo working papers
169
International Journal of Energy Economics and Policy : IJEEP
166
The European journal of finance
157
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
IMF working papers
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Journal of economic dynamics & control
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International journal of finance & economics : IJFE
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International journal of forecasting
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Journal of forecasting
131
The review of financial studies
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ECONIS (ZBW)
363
RePEc
94
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1
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
2
A study on asset price bubble dynamics : explosive trend or quadratic variation?
Jarrow, Robert A.
;
Kwok, Simon Sai Man
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 613-626
Persistent link: https://www.econbiz.de/10014552111
Saved in:
3
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
4
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
5
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
6
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:
7
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
8
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
9
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:
10
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
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