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~isPartOf:"Applied economics"
~isPartOf:"Journal of economic dynamics & control"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
~subject:"Theorie"
~subject:"Volatility"
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Search: subject:"Stochastic Volatility"
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Börsenkurs
Kapitaleinkommen
Theorie
Volatility
Volatilität
38
Stochastic process
34
Stochastischer Prozess
34
Stochastic volatility
23
Theory
17
Option pricing theory
14
Optionspreistheorie
14
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12
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stochastic volatility
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Li, Chenxu
2
Amir Ahmadi, Pooyan
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1
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1
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1
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Applied economics
Journal of economic dynamics & control
International journal of theoretical and applied finance
65
Journal of econometrics
44
Quantitative finance
40
Discussion paper / Tinbergen Institute
38
CAMA working paper series
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
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Applied mathematical finance
21
Energy economics
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Finance research letters
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Journal of banking & finance
20
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19
The journal of computational finance
19
European journal of operational research : EJOR
18
Economics letters
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Journal of mathematical finance
16
Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
16
Insurance / Mathematics & economics
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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14
Finance and stochastics
14
International journal of financial engineering
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International journal of forecasting
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Risks : open access journal
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The journal of futures markets
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Tinbergen Institute Discussion Paper
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Econometric reviews
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Review of derivatives research
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International review of economics & finance : IREF
9
International review of financial analysis
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
38
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1
Is Bitcoin really a currency? : a viewpoint of a
stochastic
volatility
model
Kunimoto, Noriyuki
;
Kakamu, Kazuhiko
- In:
Applied economics
54
(
2022
)
57
,
pp. 6536-6550
Persistent link: https://www.econbiz.de/10013494160
Saved in:
2
Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.
;
Melo, Lívia C. M.
;
Soave, Gian Paulo
- In:
Applied economics
56
(
2024
)
14
,
pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
Saved in:
3
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
4
Vector autoregression models with skewness and heavy tails
Karlsson, Sune
;
Mazur, Stepan
;
Nguyen, Hoang
- In:
Journal of economic dynamics & control
146
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478164
Saved in:
5
Dynamics and synchronization of global equilibrium interest rates
Beyer, Robert
;
Milivojević, Lazar
- In:
Applied economics
55
(
2023
)
28
,
pp. 3195-3214
Persistent link: https://www.econbiz.de/10014299143
Saved in:
6
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
7
Fast and accurate variational inference for large Bayesian VARs with
stochastic
volatility
Chan, Joshua
;
Yu, Xuewen
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013539520
Saved in:
8
Modeling tail risks of inflation using unobserved component quantile regressions
Pfarrhofer, Michael
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013543015
Saved in:
9
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
10
The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model
Choi, Jaehyuk
;
Wu, Lixin
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628256
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