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~language:"eng"
~person:"Fabozzi, Frank J."
~source:"econis"
~subject:"Estimation theory"
~subject:"Optionspreistheorie"
~subject:"Risiko"
~subject:"Schätztheorie"
~subject:"Volatility"
~type_genre:"Article in journal"
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Estimation theory
Optionspreistheorie
Risiko
Schätztheorie
Volatility
Theorie
83
Theory
83
Portfolio selection
78
Portfolio-Management
78
USA
39
United States
39
Option pricing theory
35
CAPM
27
Volatilität
27
Capital income
24
Kapitaleinkommen
24
Stochastic process
24
Stochastischer Prozess
24
Statistical distribution
21
Statistische Verteilung
21
Estimation
20
Schätzung
20
Credit risk
19
Kreditrisiko
19
Derivat
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Derivative
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Asset-Backed Securities
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14
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ARCH model
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67
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1
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Article in journal
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68
Aufsatz im Buch
22
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22
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6
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English
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Fabozzi, Frank J.
Gupta, Rangan
205
McAleer, Michael
115
Bahmani-Oskooee, Mohsen
103
Bouri, Elie
98
Phillips, Peter C. B.
97
Ma, Feng
96
Hammoudeh, Shawkat
81
Tiwari, Aviral Kumar
81
Linton, Oliver
74
Madan, Dilip B.
71
Lee, Lung-fei
65
Bollerslev, Tim
64
Wohar, Mark E.
64
Baltagi, Badi H.
63
Li, Qi
63
Tsionas, Efthymios G.
58
Kang, Sang Hoon
57
Caporale, Guglielmo Maria
56
Xuan Vinh Vo
56
Mensi, Walid
54
Demirer, Rıza
53
Carr, Peter
52
McMillan, David G.
52
Andrews, Donald W. K.
50
Wang, Yudong
50
Ullah, Aman
49
Balcilar, Mehmet
48
Brooks, Robert
48
Kumbhakar, Subal
48
Viscusi, W. Kip
48
Newey, Whitney K.
47
Pierdzioch, Christian
47
Zhang, Yaojie
47
Engle, Robert F.
46
Ji, Qiang
46
Kumar, Dilip
46
Lee, Chien-chiang
46
Wong, Wing Keung
46
Elliott, Robert J.
45
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Published in...
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International journal of theoretical and applied finance
8
Applied economics
5
Computational economics
4
European journal of operational research : EJOR
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
The journal of derivatives : the official publication of the International Association of Financial Engineers
4
The journal of fixed income
4
International review of financial analysis
3
Journal of banking & finance
3
Journal of economic dynamics & control
3
The journal of portfolio management : JPM
3
Applied financial economics
2
Finance research letters
2
Annals of economics and finance
1
Annals of operations research
1
Econometric reviews
1
Economics letters
1
Emerging markets review
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
International review of economics & finance : IREF
1
Journal of economics & business
1
Journal of international money and finance
1
Journal of risk and financial management : JRFM
1
Mathematical methods of operations research
1
Quantitative finance
1
Review of derivatives research
1
Review of finance : journal of the European Finance Association
1
The econometrics journal
1
The journal of alternative investments : JAI
1
The journal of derivatives : JOD
1
The journal of portfolio management : a publication of Institutional Investor
1
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ECONIS (ZBW)
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1
The risk-adjusted performance of convertible venture contracts
Pandher, Gurupdesh S.
;
Bonaparte, Yosef
;
Fabozzi, Frank J.
- In:
International review of economics & finance : IREF
93
(
2024
)
1
,
pp. 485-500
Persistent link: https://www.econbiz.de/10014535364
Saved in:
2
Editors' introduction to the 2022 special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management
Fabozzi, Frank J.
;
Karagozoglu, Ahmet K.
- In:
The journal of portfolio management : JPM
48
(
2022
)
10
,
pp. 1-5
Persistent link: https://www.econbiz.de/10014232132
Saved in:
3
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
4
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
5
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
6
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
7
Portfolio volatility spillover
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-39
Persistent link: https://www.econbiz.de/10013371157
Saved in:
8
Editors' introduction to the special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management
Fabozzi, Frank J.
;
Karagozoglu, Ahmet K.
- In:
The journal of portfolio management : JPM
47
(
2021
)
9
,
pp. 1-4
Persistent link: https://www.econbiz.de/10012613454
Saved in:
9
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
Saved in:
10
Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Hu, Yuan
;
Lindquist, W. Brent
;
Fabozzi, Frank J.
- In:
The journal of alternative investments : JAI
24
(
2021
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10012613090
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