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Derivat
24
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Journal of econometrics
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396
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177
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ECONIS (ZBW)
24
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1
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
2
Variance disparity and market frictions
Park, Yang-Ho
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
Saved in:
3
Option market trading activity and the estimation of the pricing kernel : a Bayesian approach
Barone-Adesi, Giovanni
;
Fusari, Nicola
;
Mira, Antonietta
; …
- In:
Journal of econometrics
216
(
2020
)
2
,
pp. 430-449
Persistent link: https://www.econbiz.de/10012439749
Saved in:
4
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
5
A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
Saved in:
6
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Saved in:
7
Learning, confidence, and option prices
Shaliastovich, Ivan
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
Saved in:
8
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
9
Econometric analysis of financial derivatives
Chang, Chia-Lin
(
ed.
);
McAleer, Michael
(
ed.
)
-
2015
Persistent link: https://www.econbiz.de/10011499675
Saved in:
10
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
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