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~isPartOf:"Economics letters"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Search: subject_exact:"Volatility"
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Option pricing theory
Stochastic process
Volatility
500
Volatilität
500
Theorie
198
Theory
198
Estimation
160
Schätzung
160
ARCH model
126
ARCH-Modell
126
Time series analysis
124
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Chan, Joshua
3
Gupta, Rangan
3
Mumtaz, Haroon
3
Tauchen, George Eugene
3
Todorov, Viktor
3
Andreasen, Martin Møller
2
Casarin, Roberto
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Chan, Jennifer S. K.
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2
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2
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1
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1
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1
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Economics letters
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
International journal of theoretical and applied finance
178
Quantitative finance
124
Journal of econometrics
122
Journal of banking & finance
90
Applied mathematical finance
87
The journal of futures markets
84
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
The journal of computational finance
71
Discussion paper / Tinbergen Institute
65
Finance and stochastics
60
Finance research letters
55
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Journal of economic dynamics & control
54
Review of derivatives research
52
International journal of financial engineering
51
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48
Econometric reviews
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Risks : open access journal
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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33
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The European journal of finance
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CREATES research paper
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International review of economics & finance : IREF
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Journal of risk and financial management : JRFM
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ECONIS (ZBW)
120
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1
Beyond rocket science : a factor model for convertible bond returns
Li, Zhiyong
;
Wang, Haixu
;
Yu, Mei
- In:
Economics letters
233
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014505094
Saved in:
2
A statistical recurrent stochastic volatility model for stock markets
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Gunawan, David
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 414-428
Persistent link: https://www.econbiz.de/10014448201
Saved in:
3
Locally stationary multiplicative volatility modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
4
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
5
Can a machine correct option pricing models?
Almeida, Caio
;
Fan, Jianqing
;
Freire, Gustavo
;
Tang, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 995-1009
Persistent link: https://www.econbiz.de/10014448492
Saved in:
6
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
7
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
8
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Schäfers, Torben
;
Teng, Long
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10014288879
Saved in:
9
Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
Saved in:
10
Identification of structural vector autoregressions by stochastic volatility
Bertsche, Dominik
;
Braun, Robin
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 328-341
Persistent link: https://www.econbiz.de/10012804115
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