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~isPartOf:"Journal of econometrics"
~isPartOf:"Quantitative finance"
~subject:"CAPM"
~subject:"Estimation"
~subject:"Nichtparametrisches Verfahren"
~subject:"Volatility"
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CAPM
Estimation
Nichtparametrisches Verfahren
Volatility
Derivat
85
Derivative
85
Option pricing theory
56
Optionspreistheorie
56
Volatilität
32
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30
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30
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18
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42
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Gouriéroux, Christian
2
Jacquier, Antoine
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Monfort, Alain
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Park, Yang-Ho
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Bunn, Derek W.
1
Cai, Zongwu
1
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1
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1
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1
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1
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1
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1
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1
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1
Hall, Peter
1
He, Xin-Jiang
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International Conference on Futures and Other Derivatives <7., 2018, Schanghai>
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Journal of econometrics
Quantitative finance
The journal of futures markets
91
International journal of theoretical and applied finance
48
Journal of banking & finance
47
Energy economics
36
International review of financial analysis
31
Finance research letters
28
Applied mathematical finance
27
Review of derivatives research
26
Applied financial economics
24
International review of economics & finance : IREF
24
The European journal of finance
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20
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Advances in futures and options research : a research annual
19
Applied economics letters
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The review of financial studies
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17
The North American journal of economics and finance : a journal of financial economics studies
16
The journal of derivatives : the official publication of the International Association of Financial Engineers
16
European journal of operational research : EJOR
15
Research in international business and finance
15
Journal of economic dynamics & control
14
Working paper
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Applied economics
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International journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Review of quantitative finance and accounting
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11
Economic modelling
11
Journal of mathematical finance
11
Finance and stochastics
10
Journal of empirical finance
10
Journal of risk and financial management : JRFM
10
NBER working paper series
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Risks : open access journal
10
The journal of computational finance
10
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9
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ECONIS (ZBW)
42
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1
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
2
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
3
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
4
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
Saved in:
5
Pricing electricity day-ahead cap futures with multifactor skew-t densities
Matsumoto, Takuji
;
Bunn, Derek W.
;
Yamada, Yuji
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 835-860
Persistent link: https://www.econbiz.de/10013367864
Saved in:
6
Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.
;
Ngo, Julie T. D.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
Saved in:
7
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Saved in:
8
SABR equipped with AI wings
Funahashi, Hideharu
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 229-249
Persistent link: https://www.econbiz.de/10014232624
Saved in:
9
Additive normal tempered stable processes for equity derivatives and power-law scaling
Azzone, Michele
;
Baviera, Roberto
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 501-518
Persistent link: https://www.econbiz.de/10013167773
Saved in:
10
The volatility risk premium in the oil market
Bouchouev, Ilia
;
Johnson, Brett
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1561-1578
Persistent link: https://www.econbiz.de/10013367929
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