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~isPartOf:"Quantitative finance"
~subject:"Stochastic volatility"
~subject:"Volatility"
~subject:"exchange rate"
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Stochastic volatility
Volatility
exchange rate
Volatilität
194
Option pricing theory
105
Optionspreistheorie
105
Stochastic process
89
Stochastischer Prozess
89
volatility
84
Theorie
50
Theory
50
Estimation
35
Schätzung
34
Börsenkurs
33
Share price
33
Forecasting model
31
Prognoseverfahren
31
ARCH model
26
Time series analysis
26
Zeitreihenanalyse
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ARCH-Modell
25
GARCH
25
Capital income
23
Kapitaleinkommen
23
Option trading
23
Optionsgeschäft
23
Derivat
20
Derivative
20
Implied volatility
20
Option pricing
20
Portfolio selection
18
Portfolio-Management
18
Estimation theory
16
Rough volatility
16
Schätztheorie
16
Statistical distribution
14
Statistische Verteilung
14
Black-Scholes model
13
Black-Scholes-Modell
12
CAPM
12
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3
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194
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Caiado, Jorge
5
Crato, Nuno
5
Masih, Mansur
5
Onour, Ibrahim
5
Sinha, Pankaj
5
Escobar, Marcos
4
Gatheral, Jim
4
Radoičić, Radoš
4
Sornette, Didier
4
Bayer, Christian
3
Camilleri, Silvio John
3
Dumitriu, Ramona
3
Felpel, Mike
3
Ghiba, Nicolae
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
Lillo, Fabrizio
3
Mapa, Dennis S.
3
McWalter, Thomas A.
3
Pirjol, Dan
3
Rosenbaum, Mathieu
3
Stefanescu, Razvan
3
Wehrli, Alexander
3
Aguilar, Jean-Philippe
2
Alexander, Carol
2
Alòs, Elisa
2
Antonakakis, Nikolaos
2
Asutay, Mehmet
2
Bacha, Obiyathulla
2
Bellini, Fabio
2
Bormetti, Giacomo
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Cheng, Yuyang
2
Cui, Zhenyu
2
De Marco, Stefano
2
Forde, Martin
2
Friz, Peter K.
2
Fukasawa, Masaaki
2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
94
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MPRA Paper
Quantitative finance
Energy economics
642
Finance research letters
590
NBER working paper series
484
Working paper / National Bureau of Economic Research, Inc.
466
International review of financial analysis
419
NBER Working Paper
416
Applied economics
380
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
Research in international business and finance
268
Applied financial economics
265
Journal of empirical finance
265
Applied economics letters
261
Working paper
254
Economics letters
246
International journal of theoretical and applied finance
245
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
Pacific-Basin finance journal
172
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
172
International Journal of Energy Economics and Policy : IJEEP
171
CESifo working papers
170
The European journal of finance
160
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
155
International journal of finance & economics : IJFE
151
Journal of economic dynamics & control
151
IMF working papers
148
International journal of forecasting
145
Journal of forecasting
131
The review of financial studies
126
Computational economics
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ECONIS (ZBW)
194
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
Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting
;
Potì, Valerio
;
Härdle, Wolfgang
- In:
Quantitative finance
24
(
2024
)
7
,
pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
Saved in:
4
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:
5
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:
6
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:
7
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
Saved in:
8
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:
9
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:
10
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
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