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~isPartOf:"CREATES research paper"
~subject:"Optionsgeschäft"
~subject:"Theorie"
~subject:"United States"
~subject:"Volatilität"
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Santucci de Magistris, Paolo
12
Grassi, Stefano
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Rossi, Eduardo
4
Barletta, Andrea
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Caporin, Massimiliano
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Delle Monache, Davide
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Violante, Francesco
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CREATES research paper
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ECONIS (ZBW)
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1
A non-structural investigation of VIX risk neutral density
Barletta, Andrea
;
Santucci de Magistris, Paolo
; …
-
2017
Persistent link: https://www.econbiz.de/10011648627
Saved in:
2
Retrieving risk-neutral densities embedded in VIX options : a non-structural approach
Barletta, Andrea
;
Santucci de Magistris, Paolo
; …
-
2016
Persistent link: https://www.econbiz.de/10011524099
Saved in:
3
Does the ARFIMA really shift?
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2016
Persistent link: https://www.econbiz.de/10011648629
Saved in:
4
Testing for level shifts in fractionally integrated processes : a state space approach
Delle Monache, Davide
;
Grassi, Stefano
;
Santucci de …
-
2015
Persistent link: https://www.econbiz.de/10011296884
Saved in:
5
Volatility jumps and their economic determinants
Caporin, Massimiliano
;
Rossi, Edward
;
Santucci de …
-
2014
Persistent link: https://www.econbiz.de/10010394556
Saved in:
6
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:
7
It’s all about volatility (of volatility) : evidence from a two-factor stochastic volatility model
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2013
Persistent link: https://www.econbiz.de/10009712566
Saved in:
8
When long memory meets the Kalman Filter : a comparative study
Grassi, Stefano
;
Santucci de Magistris, Paolo
-
2011
Persistent link: https://www.econbiz.de/10009006828
Saved in:
9
Estimation of long memory in integrated variance
Rossi, Eduardo
;
Santucci de Magistris, Paolo
-
2011
Persistent link: https://www.econbiz.de/10008986693
Saved in:
10
Level shifts in volatility and the implied-realized volatility relation
Christensen, Bent Jesper
;
Santucci de Magistris, Paolo
-
2010
Persistent link: https://www.econbiz.de/10008651637
Saved in:
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