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subject:"Volatility"
subject:"Yield curve"
~isPartOf:"Journal of banking & finance"
~person:"Akdeniz, Levent"
~person:"Gil-Alaña, Luis A."
~person:"Prokopczuk, Marcel"
~subject:"fractional integration"
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Volatility
Yield curve
fractional integration
Estimation
9
Schätzung
9
Risikoprämie
5
Risk premium
5
Volatilität
5
Capital income
4
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Akdeniz, Levent
Gil-Alaña, Luis A.
Prokopczuk, Marcel
Wese Simen, Chardin
4
Bianchi, Robert
2
Hautsch, Nikolaus
2
Li, Junye
2
Maltritz, Dominik
2
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1
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1
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1
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1
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1
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Journal of banking & finance
CESifo working papers
27
Economics and finance working paper series
19
Discussion papers / Deutsches Institut für Wirtschaftsforschung
11
Applied economics letters
7
Applied economics
5
International journal of finance & economics : IJFE
4
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3
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ECONIS (ZBW)
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1
Term premium in a fractionally cointegrated yield curve
Abbritti, Mirko
;
Carcel, Hector
;
Gil-Alaña, Luis A.
; …
- In:
Journal of banking & finance
149
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014462435
Saved in:
2
Curve momentum
Paschke, Raphael
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012226133
Saved in:
3
Variance risk in commodity markets
Prokopczuk, Marcel
;
Symeonidis, Lazaros
;
Wese Simen, Chardin
- In:
Journal of banking & finance
81
(
2017
),
pp. 136-149
Persistent link: https://www.econbiz.de/10011816431
Saved in:
4
Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos
;
Back, Janis
; …
- In:
Journal of banking & finance
66
(
2016
),
pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
Saved in:
5
Jump and variance risk premia in the S&P 500
Neumann, Maximilian
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Journal of banking & finance
69
(
2016
),
pp. 72-83
Persistent link: https://www.econbiz.de/10011635040
Saved in:
6
The importance of the volatility risk premium for volatility forecasting
Prokopczuk, Marcel
;
Wese Simen, Chardin
- In:
Journal of banking & finance
40
(
2014
),
pp. 303-320
Persistent link: https://www.econbiz.de/10010402181
Saved in:
7
The degree of financial liberalization and aggregated stock-return volatility in emerging markets
Umutlu, Mehmet
;
Akdeniz, Levent
;
Altay-Salih, Aslihan
- In:
Journal of banking & finance
34
(
2010
)
3
,
pp. 509-521
Persistent link: https://www.econbiz.de/10003951903
Saved in:
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