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~person:"Caporin, Massimiliano"
~person:"Christoffersen, Peter F."
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
~type_genre:"Bibliografie enthalten"
~type_genre:"Bibliography included"
~type_genre:"Konferenzschrift"
~type_genre:"Statistik"
~type_genre:"Übersichtsarbeit"
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Volatility
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46
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32
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21
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21
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Caporin, Massimiliano
Christoffersen, Peter F.
McAleer, Michael
34
Bollerslev, Tim
30
Andersen, Torben
27
Todorov, Viktor
27
Gupta, Rangan
26
Kumar, Dilip
26
Escobar, Marcos
23
Zhang, Jin E.
23
Carr, Peter
22
Cui, Zhenyu
22
Tauchen, George Eugene
22
Wang, Yudong
20
Benth, Fred Espen
19
Chiarella, Carl
19
Fabozzi, Frank J.
19
Asai, Manabu
18
Li, Jia
18
Mensi, Walid
18
Renault, Eric
18
Aït-Sahalia, Yacine
17
Ghysels, Eric
17
Hammoudeh, Shawkat
17
Tiwari, Aviral Kumar
17
Fouque, Jean-Pierre
16
Maheswaran, S.
16
Wang, Xingchun
16
Bouri, Elie
15
Elliott, Robert J.
15
Herwartz, Helmut
15
Härdle, Wolfgang
15
Kang, Sang Hoon
15
Madan, Dilip B.
15
Renò, Roberto
15
Takahashi, Akihiko
15
Bali, Turan G.
14
Wu, Liuren
14
Clements, Adam
13
Hafner, Christian M.
13
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Journal of financial economics
4
Econometric reviews
2
Journal of banking & finance
2
Journal of econometrics
2
The European journal of finance
2
The review of financial studies
2
Applied economics
1
Economic policy review
1
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1
Financial services at the crossroads: capital regulation in the twenty-first century
1
Handbook of economic forecasting ; Vol. 1
1
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1
International review of economics & finance : IREF
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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1
Journal of empirical finance
1
Journal of financial and quantitative analysis : JFQA
1
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Network connectivity, systematic and systemic risk
1
Review of asset pricing studies
1
Review of finance : journal of the European Finance Association
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
32
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1
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32
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1
The impact of network connectivity on factor exposures, asset pricing, and portfolio diversification
Billio, Monica
;
Caporin, Massimiliano
;
Panzica, Roberto …
- In:
International review of economics & finance : IREF
84
(
2023
),
pp. 196-223
Persistent link: https://www.econbiz.de/10014343115
Saved in:
2
The role of jumps in realized volatility modeling and forecasting
Caporin, Massimiliano
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1143-1168
Persistent link: https://www.econbiz.de/10014391446
Saved in:
3
The factor structure in equity options
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
- In:
The review of financial studies
31
(
2018
)
2
,
pp. 595-637
Persistent link: https://www.econbiz.de/10011925246
Saved in:
4
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Bonaccolto, G.
;
Caporin, Massimiliano
;
Zambon, N.
- In:
The European journal of finance
27
(
2021
)
11
,
pp. 1098-1116
Persistent link: https://www.econbiz.de/10012609265
Saved in:
5
Time-varying crash risk embedded in index options : the role of stock market liquidity
Christoffersen, Peter F.
;
Feunou, Bruno
;
Jeon, Yoontae
; …
- In:
Review of finance : journal of the European Finance …
25
(
2021
)
4
,
pp. 1261-1298
Persistent link: https://www.econbiz.de/10012594641
Saved in:
6
Rare disasters, credit, and option market puzzles
Christoffersen, Peter F.
;
Du, Du
;
Elkamhi, Redouane
- In:
Management science : journal of the Institute for …
63
(
2017
)
5
,
pp. 1341-1364
Persistent link: https://www.econbiz.de/10011684726
Saved in:
7
Asymmetry and leverage in GARCH models : a News Impact Curve perspective
Caporin, Massimiliano
;
Costola, Michele
- In:
Applied economics
51
(
2019
)
31
,
pp. 3345-3364
Persistent link: https://www.econbiz.de/10012196836
Saved in:
8
The impact of network connectivity on factor exposures, asset pricing and portfolio diversification
Billio, Monica
;
Caporin, Massimiliano
;
Panzica, Roberto …
- In:
Network connectivity, systematic and systemic risk
,
(pp. 9-51)
.
2018
Persistent link: https://www.econbiz.de/10012305837
Saved in:
9
Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
- In:
Review of asset pricing studies
8
(
2018
)
2
,
pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Saved in:
10
Oil volatility risk and expected stock returns
Christoffersen, Peter F.
;
Pan, Xuhui
- In:
Journal of banking & finance
95
(
2018
),
pp. 5-26
Persistent link: https://www.econbiz.de/10011966688
Saved in:
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