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~isPartOf:"Economic modelling"
~subject:"Option pricing theory"
~subject:"Rohstoffderivat"
~subject:"Stochastic process"
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Option pricing theory
Rohstoffderivat
Stochastic process
Volatility
341
Volatilität
339
Estimation
116
Schätzung
116
ARCH model
108
ARCH-Modell
108
Börsenkurs
93
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Beckmann, Joscha
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Economic modelling
International journal of theoretical and applied finance
179
Energy economics
174
The journal of futures markets
138
Quantitative finance
129
Journal of econometrics
123
Journal of banking & finance
98
Finance research letters
90
Applied mathematical finance
88
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
The journal of computational finance
71
Discussion paper / Tinbergen Institute
67
Working paper
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Finance and stochastics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International review of financial analysis
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International review of economics & finance : IREF
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Computational economics
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Journal of economic dynamics & control
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Review of derivatives research
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The North American journal of economics and finance : a journal of financial economics studies
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European journal of operational research : EJOR
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Risks : open access journal
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Insurance / Mathematics & economics
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Annals of finance
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
38
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
The European journal of finance
36
Economics letters
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Journal of risk and financial management : JRFM
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Journal of financial economics
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Applied economics letters
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CREATES research paper
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ECONIS (ZBW)
58
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1
Pricing cryptocurrency options with machine learning regression for handling market volatility
Brini, Alessio
;
Lenz, Jimmie
- In:
Economic modelling
136
(
2024
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014549153
Saved in:
2
Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Wang, Nianling
;
Lou, Zhusheng
- In:
Economic modelling
123
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014462582
Saved in:
3
Revisiting time series momentum in China's commodity futures market : evidence on sources of momentum profits
Ming, Lei
;
Song, Wuqi
;
Dong, Minyi
- In:
Economic modelling
128
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014464418
Saved in:
4
The impact of COVID-19 on commodity options market : evidence from China
Chen, Jilong
;
Xu, Liao
;
Xu, Hao
- In:
Economic modelling
116
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014513142
Saved in:
5
Intraday return predictability in China's crude oil futures market : new evidence from a unique trading mechanism
Wen, Danyan
;
Wang, Yudong
;
Zhang, Yaojie
- In:
Economic modelling
96
(
2021
),
pp. 209-219
Persistent link: https://www.econbiz.de/10012745351
Saved in:
6
What determines volatility smile in China?
Li, Pengshi
;
Xian, Aichuan
;
Lin, Yan
- In:
Economic modelling
96
(
2021
),
pp. 326-335
Persistent link: https://www.econbiz.de/10012745422
Saved in:
7
Intraday momentum and return predictability : evidence from the crude oil market
Wen, Zhuzhu
;
Gong, Xu
;
Ma, Diandian
;
Xu, Yahua
- In:
Economic modelling
95
(
2021
),
pp. 374-384
Persistent link: https://www.econbiz.de/10012696009
Saved in:
8
In no uncertain terms : the effect of uncertainty on credit frictions and monetary policy
Balke, Nathan S.
;
Martínez-García, Enrique
;
Zeng, Zheng
- In:
Economic modelling
100
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012795898
Saved in:
9
Forecasting natural gas prices using highly flexible time-varying parameter models
Gao, Shen
;
Hou, Chenghan
;
Bao Hoang Nguyen
- In:
Economic modelling
105
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013367152
Saved in:
10
Macroeconomic forecasts and commodity futures volatility
Ye, Wuyi
;
Guo, Ranran
;
Deschamps, Bruno
;
Jiang, Ying
; …
- In:
Economic modelling
94
(
2021
),
pp. 981-994
Persistent link: https://www.econbiz.de/10012695606
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