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~isPartOf:"CREATES research paper"
~person:"Andersen, Torben"
~person:"Bekaert, Geert"
~person:"Caporin, Massimiliano"
~person:"Christoffersen, Peter F."
~person:"Davis, Steven J."
~person:"Diebold, Francis X."
~person:"Medeiros, Marcelo C."
~subject:"ARCH model"
~subject:"Börsenkurs"
~subject:"Measurement"
~subject:"Monte-Carlo-Simulation"
~subject:"Theorie"
~subject:"United States"
~type_genre:"Systematic review"
~type_genre:"Working Paper"
~type_genre:"Übersichtsarbeit"
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ARCH model
Börsenkurs
Measurement
Monte-Carlo-Simulation
Theorie
United States
Volatility
15
Volatilität
15
Option pricing theory
5
Optionspreistheorie
5
Theory
4
ARCH-Modell
3
CAPM
3
Capital income
3
Kapitaleinkommen
3
Share price
3
Stochastic process
3
Stochastischer Prozess
3
Beta risk
2
Betafaktor
2
Forecasting model
2
Index derivative
2
Indexderivat
2
Modellierung
2
Option trading
2
Optionsgeschäft
2
Prognoseverfahren
2
Risikoprämie
2
Risk premium
2
Scientific modelling
2
Statistical distribution
2
Statistische Verteilung
2
Time series analysis
2
Yield curve
2
Zeitreihenanalyse
2
Zinsstruktur
2
1988-1993
1
2004 - 2013
1
Aktienoption
1
Ankündigungseffekt
1
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1
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1
Correlation
1
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Systematic review
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Übersichtsarbeit
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9
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9
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9
Author
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Andersen, Torben
Bekaert, Geert
Caporin, Massimiliano
Christoffersen, Peter F.
Davis, Steven J.
Diebold, Francis X.
Medeiros, Marcelo C.
Bollerslev, Tim
7
Santucci de Magistris, Paolo
7
Teräsvirta, Timo
6
Todorov, Viktor
6
Christiansen, Charlotte
5
Hansen, Peter Reinhard
5
Hounyo, Ulrich
4
Lunde, Asger
4
Silvennoinen, Annastiina
4
Barndorff-Nielsen, Ole E.
3
Christensen, Kim
3
Podolskij, Mark
3
Rossi, Eduardo
3
Veliyev, Bezirgen
3
Veraart, Almut E. D.
3
Amado, Cristina
2
Andreasen, Martin Møller
2
Asgharian, Hossein
2
Bennedsen, Mikkel
2
Christensen, Bent Jesper
2
Fusari, Nicola
2
Hou, Ai Jun
2
Meddahi, Nour
2
Pakkanen, Mikko S.
2
Violante, Francesco
2
Xu, Lai
2
Andreasen, Martin M.
1
Archakov, Ilya
1
Aslanidis, Nektarios
1
Babaoğlu, Kadir
1
Barletta, Andrea
1
Benzoni, Luca
1
Bolko, Anine E.
1
Bondarenko, Oleg
1
Callot, Laurent
1
Chini, Emilio Zanetti
1
Christensen, Kimberly
1
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CREATES research paper
Working paper / National Bureau of Economic Research, Inc.
37
Working papers / Financial Institutions Center
9
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
7
CFS working paper series
6
Working paper
6
Working papers / Rodney L. White Center for Financial Research
6
Econometric Institute research papers
5
Financial Institutions Center
4
Working papers
4
Working papers on finance
4
Discussion papers / CEPR
3
Working paper series / European Central Bank
3
Working papers / Penn Institute for Economic Research
3
CFS Working Paper
2
Discussion paper
2
Discussion paper / Centre for Economic Policy Research
2
Global COE Hi-Stat discussion paper series
2
SAFE working paper
2
Technical working paper / National Bureau of Economic Research
2
Working papers / Federal Reserve Bank of Chicago
2
American Economic Review papers and proceedings
1
CEFIR and NES working papers
1
Cahier / Départment de Sciences Économiques, Université de Montréal
1
Department of Economics discussion paper series / University of Oxford
1
Discussion paper / Tinbergen Institute
1
Discussion paper series / IZA
1
Economics discussion papers
1
Finance and economics discussion series
1
Handbook of economic forecasting ; Vol. 1
1
International finance discussion papers
1
Koç University - TÜSİAD Economic Research Forum working paper series
1
NBER working paper series
1
SNB working papers
1
Staff reports / Federal Reserve Bank of New York
1
Staff working paper / Bank of Canada
1
Staff working papers / Bank of England
1
Texto para discussão
1
University of St. Gallen, School of Finance Research Paper
1
Working paper / Department of Finance, Kellogg Graduate School of Management, Northwestern University
1
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ECONIS (ZBW)
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1
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
2
Time-varying periodicity in intraday
volatility
Andersen, Torben
;
Thyrsgaard, Martin
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797522
Saved in:
3
Short-term market risks implied by weekly options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2018
Persistent link: https://www.econbiz.de/10011797670
Saved in:
4
Option valuation with observable
volatility
and jump dynamics
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
-
2015
Persistent link: https://www.econbiz.de/10011516993
Saved in:
5
Chasing
volatility
: a persistent multiplicative error model with jumps
Caporin, Massimiliano
;
Rossi, Eduardo
;
Santucci de …
-
2014
Persistent link: https://www.econbiz.de/10010401692
Saved in:
6
Volatility
jumps and their economic determinants
Caporin, Massimiliano
;
Rossi, Edward
;
Santucci de …
-
2014
Persistent link: https://www.econbiz.de/10010394556
Saved in:
7
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
-
2012
Persistent link: https://www.econbiz.de/10009524097
Saved in:
8
Coherent model-free implied
volatility
: a corridor fix for high-frequency VIX
Andersen, Torben
;
Bondarenko, Oleg
;
Gonzalez-Perez, Maria T.
-
2011
Persistent link: https://www.econbiz.de/10009385071
Saved in:
9
Stochastic
volatility
Andersen, Torben
;
Benzoni, Luca
-
2010
Persistent link: https://www.econbiz.de/10003937010
Saved in:
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