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~person:"Backus, David"
~person:"Carr, Peter"
~subject:"Estimation"
~subject:"jumps"
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Estimation
jumps
Option pricing theory
63
Optionspreistheorie
63
Theorie
47
Theory
47
Volatility
29
Volatilität
29
CAPM
28
Stochastic process
23
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16
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option pricing
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Backus, David
Carr, Peter
Zaremba, Adam
47
Engle, Robert F.
24
Todorov, Viktor
24
Härdle, Wolfgang
20
Christiano, Lawrence J.
18
Damodaran, Aswath
17
Bali, Turan G.
16
Bansal, Ravi
16
Cakici, Nusret
16
Hodrick, Robert J.
16
Jacobs, Kris
16
Jagannathan, Ravi
16
Ommeren, Jos van
16
Faff, Robert W.
15
Ghysels, Eric
15
Prokopczuk, Marcel
15
Rosenberg, Joshua V.
15
Bils, Mark
14
Bollerslev, Tim
14
Hoesli, Martin
14
Symeonidis, George
14
Craig, Ben R.
13
Klenow, Peter J.
13
Konings, Jozef
13
Nitschka, Thomas
13
Ganapati, Sharat
12
Guo, Hui
12
Hansen, Lars Peter
12
Hollstein, Fabian
12
Loy, Jens-Peter
12
Mehra, Rajnish
12
Vuolteenaho, Tuomo
12
Altig, David
11
Ang, Andrew
11
Campbell, John Y.
11
Caporale, Guglielmo Maria
11
Corsetti, Giancarlo
11
Hedegaard, Esben
11
McAleer, Michael
11
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11
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ECONIS (ZBW)
12
RePEc
2
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1
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14
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1
Decomposing long bond returns : a decentralized theory
Carr, Peter
;
Wu, Liuren
- In:
Review of finance : journal of the European Finance …
27
(
2023
)
3
,
pp. 997-1026
Persistent link: https://www.econbiz.de/10014318020
Saved in:
2
Term structures of asset prices and returns
Backus, David
;
Boyarchenko, Nina
;
Chernov, Mikhail
- In:
Journal of financial economics
129
(
2018
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011981208
Saved in:
3
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Carr, Peter
-
2017
The Samp;P 500 index return interacts negatively with its volatility. This paper traces the negative interaction to three distinct economic channels and proposes to disentangle the relative contribution of each channel using Samp;P 500 index options. First, equity volatility increases...
Persistent link: https://www.econbiz.de/10012706677
Saved in:
4
Leverage effect, volatility feedback, and self-exciting market disruptions
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
5
,
pp. 2119-2156
Persistent link: https://www.econbiz.de/10011928991
Saved in:
5
Term structures of asset prices and returns
Backus, David
;
Boyarchenko, Nina
;
Chernov, Mikhail
-
2016
Persistent link: https://www.econbiz.de/10011535572
Saved in:
6
Term structures of asset prices and returns
Backus, David
;
Boyarchenko, Nina
;
Chernov, Mikhail
-
2016
equity indexes or dividends). Average term structures reflect the dynamics of the dollar
pricing
kernel, of cash flow growth …
Persistent link: https://www.econbiz.de/10011457568
Saved in:
7
Term Structures of Asset Prices and Returns
Backus, David
-
2016
(claims to future equity indexes or dividends). The average term structures reflect the dynamics of the dollar
pricing
kernel …
Persistent link: https://www.econbiz.de/10012456513
Saved in:
8
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Saved in:
9
Term structures of asset prices and returns
Backus, David
;
Boyarchenko, Nina
;
Chernov, Mikhail
-
2016
Persistent link: https://www.econbiz.de/10011474685
Saved in:
10
Term structures of asset prices and returns
Backus, David
;
Boyarchenko, Nina
;
Chernov, Mikhail
-
2016
Persistent link: https://www.econbiz.de/10011494133
Saved in:
1
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