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person:"McAleer, Michael"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of econometrics"
~person:"Chiarella, Carl"
~subject:"Capital income"
~subject:"Option pricing theory"
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Search: subject_exact:"Volatility"
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Capital income
Option pricing theory
Volatility
12
Volatilität
12
Stochastic process
7
Stochastischer Prozess
7
Stochastic volatility
5
Theorie
5
Theory
5
Time series analysis
4
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Multivariate stochastic volatility
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Option trading
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1975-1998
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McAleer, Michael
Chiarella, Carl
Todorov, Viktor
12
Bollerslev, Tim
9
Tauchen, George Eugene
7
Andersen, Torben
6
Xiu, Dacheng
6
Mykland, Per A.
5
Takahashi, Akihiko
5
Aït-Sahalia, Yacine
4
Meddahi, Nour
4
Benth, Fred Espen
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Brigo, Damiano
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Forde, Martin
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Gatheral, Jim
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Grzelak, Lech A.
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Liu, Rui Hua
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Oosterlee, Cornelis W.
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Pallavicini, Andrea
3
Radoičić, Radoš
3
Renault, Eric
3
Shephard, Neil G.
3
Stoep, Anthonie W. van der
3
Vives, Josep
3
Zubelli, Jorge P.
3
Alòs, Elisa
2
Antonelli, Fabio
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Asai, Manabu
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Bandi, Federico M.
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Bekaert, Geert
2
Bondarenko, Oleg
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Boyarchenko, Mitya
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Calvet, Laurent E.
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Cui, Zhenyu
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Fisher, Adlai
2
Fukasawa, Masaaki
2
Funahashi, Hideharu
2
Gallant, A. Ronald
2
Grynkiv, Iaryna
2
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2
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International journal of theoretical and applied finance
Journal of econometrics
Econometric Institute research papers
10
Discussion paper / Tinbergen Institute
9
Working paper
9
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
8
Energy economics
4
The North American journal of economics and finance : a journal of financial economics studies
3
International review of economics & finance : IREF
2
Journal of risk and financial management : JRFM
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Risks : open access journal
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School of Accounting, Finance and Economics & FEMARC working paper series
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Advances in Pacific Basin financial markets
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Applied Mathematics and Computation, Forthcoming
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Contemporary quantitative finance : essays in honour of Eckhard Platen
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Econometric reviews
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Handbook of computational economics : volume 3
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Handbook of computational economics ; Volume 3
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International journal of forecasting
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Journal of economic dynamics & control
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Journal of travel research : a quarterly publication of the Travel and Tourism Research Association
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Quantitative Finance Research Centre Research Paper
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The journal of computational finance
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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University of Technology Sydney Quantitative Finance Research Centre Research Paper
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University of Technology Sydney Quantitative Finance Research Centre Working Paper
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Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
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ECONIS (ZBW)
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Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
3
Credit derivatives pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
- In:
International journal of theoretical and applied finance
16
(
2013
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
Saved in:
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