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~person:"Christoffersen, Peter F."
~person:"Elliott, Robert J."
~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
Theorie
62
Theory
62
Option pricing theory
54
Optionspreistheorie
54
Markov chain
37
Markov-Kette
37
Volatilität
32
Stochastic process
30
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30
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16
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Article
32
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Article in journal
Aufsatz im Buch
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29
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English
32
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Christoffersen, Peter F.
Elliott, Robert J.
McAleer, Michael
34
Bollerslev, Tim
30
Andersen, Torben
27
Gupta, Rangan
26
Kumar, Dilip
26
Todorov, Viktor
26
Escobar, Marcos
23
Zhang, Jin E.
23
Carr, Peter
22
Cui, Zhenyu
22
Tauchen, George Eugene
22
Fabozzi, Frank J.
20
Wang, Yudong
20
Benth, Fred Espen
19
Chiarella, Carl
19
Asai, Manabu
18
Mensi, Walid
18
Renault, Eric
18
Aït-Sahalia, Yacine
17
Ghysels, Eric
17
Hammoudeh, Shawkat
17
Li, Jia
17
Tiwari, Aviral Kumar
17
Fouque, Jean-Pierre
16
Maheswaran, S.
16
Wang, Xingchun
16
Caporin, Massimiliano
15
Herwartz, Helmut
15
Kang, Sang Hoon
15
Madan, Dilip B.
15
Renò, Roberto
15
Takahashi, Akihiko
15
Bali, Turan G.
14
Bouri, Elie
14
Härdle, Wolfgang
14
Wu, Liuren
14
Clements, Adam
13
Hafner, Christian M.
13
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Journal of financial economics
4
Journal of banking & finance
3
Journal of economic dynamics & control
2
The journal of futures markets
2
The review of financial studies
2
Annals of finance
1
Applied mathematical finance
1
Economic policy review
1
European journal of operational research : EJOR
1
Financial services at the crossroads: capital regulation in the twenty-first century
1
Handbook of economic forecasting ; Vol. 1
1
Handbook of economic forecasting ; Volume 2A
1
IMA journal of management mathematics
1
International journal of theoretical and applied finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial and quantitative analysis : JFQA
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
New methods in fixed income modeling : fixed income modeling
1
Oberwolfach
1
Review of asset pricing studies
1
Review of finance : journal of the European Finance Association
1
The European journal of finance
1
The econometrics journal
1
The journal of derivatives : JOD
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The review of economics and statistics
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ECONIS (ZBW)
32
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The European journal of finance
27
(
2021
)
6
,
pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
Saved in:
3
Approximate pricing of American exchange options with jumps
Lian, Guanghua
;
Elliott, Robert J.
;
Kalev, Petko S.
; …
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
Saved in:
4
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
5
The Heath-Jarrow-Morton model with regime shifts and jumps priced
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
New methods in fixed income modeling : fixed income modeling
,
(pp. 45-59)
.
2018
Persistent link: https://www.econbiz.de/10012011578
Saved in:
6
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:
7
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:
8
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:
9
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
European journal of operational research : EJOR
247
(
2015
)
3
,
pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
Saved in:
10
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
Journal of economic dynamics & control
42
(
2014
),
pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
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