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~isPartOf:"Quantitative finance"
~subject:"Kapitaleinkommen"
~subject:"Statistical distribution"
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Kapitaleinkommen
Statistical distribution
Volatility
183
Volatilität
183
Option pricing theory
100
Optionspreistheorie
100
Stochastic process
84
Stochastischer Prozess
84
Theorie
46
Theory
46
Estimation
34
Schätzung
33
Börsenkurs
32
Share price
32
Forecasting model
29
Prognoseverfahren
29
Stochastic volatility
28
Time series analysis
24
Zeitreihenanalyse
24
ARCH model
23
ARCH-Modell
23
Capital income
22
Option trading
21
Optionsgeschäft
21
Implied volatility
20
Derivat
19
Derivative
19
Option pricing
19
Estimation theory
15
Portfolio selection
15
Portfolio-Management
15
Rough volatility
15
Schätztheorie
15
Monte Carlo simulation
12
Monte-Carlo-Simulation
12
Statistische Verteilung
12
Black-Scholes model
11
Black-Scholes-Modell
11
Markov chain
11
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Agarwal, Ankush
1
Aguilar, Jean-Philippe
1
Alemany, N.
1
Aragó Manzana, Vicent
1
Arkorful, Gideon Bruce
1
Asmussen, Søren
1
Bladt, Mogens
1
Bollinger, Thomas R.
1
Bu, Ruijun
1
Canabarro, Askery
1
Chen, Haiqiang
1
Chen, Jing
1
Chen, Yibing
1
Chi, Xie
1
Douady, Raphaël
1
Dungey, Mardi H.
1
Endres, Sylvia
1
Favreau, Charles
1
Gagnon, Marie-Hélène
1
Gerlach, Richard
1
Glasserman, Paul
1
Gribisch, Bastian
1
Guo, Biao
1
Guyon, Julien
1
Hawkes, Alan
1
Holloway, Jet
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Huptas, Roman
1
Jiang, Zhi-Qiang
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Kaibuchi, Hibiki
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Kane, Hayden
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Kawasaki, Yoshinori
1
Khashanah, Khaldoun
1
Kim, Young Shin
1
Kirkby, Justin Lars
1
Lee, Cheng F.
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Lekeufack, Jordan
1
Li, Jianping
1
Li, Wai Keung
1
Lichtner, Mark
1
Lin, Qian
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Quantitative finance
Finance research letters
148
International review of financial analysis
131
Journal of banking & finance
116
International review of economics & finance : IREF
107
Journal of empirical finance
106
The North American journal of economics and finance : a journal of financial economics studies
99
Energy economics
97
Journal of econometrics
95
Journal of financial economics
84
Economic modelling
79
Applied economics
78
Applied financial economics
78
Research in international business and finance
77
NBER working paper series
74
Journal of international financial markets, institutions & money
69
Working paper / National Bureau of Economic Research, Inc.
65
Applied economics letters
63
Journal of risk and financial management : JRFM
63
Pacific-Basin finance journal
61
NBER Working Paper
57
International journal of forecasting
56
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
52
The European journal of finance
47
Journal of forecasting
43
Working paper
43
Economics letters
41
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
38
Investment management and financial innovations
38
Review of quantitative finance and accounting
37
Journal of international money and finance
35
The journal of futures markets
35
International journal of finance & economics : IJFE
34
Journal of financial markets
34
Research paper series / Swiss Finance Institute
34
Discussion paper / Tinbergen Institute
33
The journal of finance : the journal of the American Finance Association
31
Journal of financial econometrics
30
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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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
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
3
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
4
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
5
Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe
;
Kirkby, Justin Lars
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
Saved in:
6
W-shaped implied volatility curves and the Gaussian mixture model
Glasserman, Paul
;
Pirjol, Dan
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 557-577
Persistent link: https://www.econbiz.de/10014304265
Saved in:
7
The EWMA Heston model
Parent, Léo
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
Saved in:
8
Tempered stable processes with time-varying exponential tails
Kim, Young Shin
;
Roh, Kum-Hwan
;
Douady, Raphaël
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
Saved in:
9
Forecasting market index volatility using Ross-recovered distributions
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 255-271
Persistent link: https://www.econbiz.de/10013167736
Saved in:
10
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
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