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~language:"eng"
~person:"Alòs, Elisa"
~person:"Chiarella, Carl"
~subject:"Dynamische Makroökonomie"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
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Dynamische Makroökonomie
Stochastischer Prozess
Volatility
Theorie
78
Theory
76
Keynesian economics
28
Keynesianismus
28
Business cycle
26
Konjunktur
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Monetäre Wachstumstheorie
21
Volatilität
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Option pricing theory
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Optionspreistheorie
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Business cycle theory
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Stochastic process
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Dynamische Wirtschaftstheorie
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Alòs, Elisa
Chiarella, Carl
McAleer, Michael
63
Gupta, Rangan
33
Chang, Chia-Lin
23
Caporale, Guglielmo Maria
22
Pierdzioch, Christian
19
Gannon, Gerard L.
12
Härdle, Wolfgang
12
Mumtaz, Haroon
12
Spagnolo, Nicola
12
Yu, Jun
11
Allen, David E.
10
Caporin, Massimiliano
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Diebold, Francis X.
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Bollerslev, Tim
9
Flaschel, Peter
9
Gil-Alaña, Luis A.
9
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Weber, Enzo
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Andersen, Torben
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Asai, Manabu
8
Buch, Claudia M.
8
Farmer, Roger E. A.
8
Salisu, Afees A.
8
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8
Timmermann, Allan
8
Beaudry, Paul
7
Billio, Monica
7
Clements, Kenneth W.
7
Döpke, Jörg
7
Hammoudeh, Shawkat
7
Hautsch, Nikolaus
7
Laurent, Sébastien
7
Pesaran, M. Hashem
7
Siklos, Pierre L.
7
Wang, Pengfei
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
10
Working paper / School of Finance and Economics, UTS: Business, University of Technology of Sydney
8
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
8
Dynamische Wirtschaftstheorie
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ECONIS (ZBW)
33
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1
Foundations for a disequilibrium theory of the
business
cycle : qualitative analysis and quantitative assessment
Chiarella, Carl
;
Flaschel, Peter
;
Franke, Reiner
-
2005
-
1. publ.
Persistent link: https://www.econbiz.de/10013500209
Saved in:
2
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
3
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
4
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
5
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
Saved in:
6
Calibration of stochastic volatility models via second order approximation : the Heston model case
Alòs, Elisa
;
Santiago, Rafael de
;
Vives, Josep
-
2012
Persistent link: https://www.econbiz.de/10009724303
Saved in:
7
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
-
2009
Persistent link: https://www.econbiz.de/10008665849
Saved in:
8
Continuous time model estimation
Chiarella, Carl
;
Gao, Shenhuai
-
2004
Persistent link: https://www.econbiz.de/10002610955
Saved in:
9
A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
10
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
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