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~person:"Corsi, Fulvio"
~person:"Jacquier, Antoine (Jack)"
~person:"Medeiros, Marcelo C."
~subject:"Finanzmarkt"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Search: subject:"Volatility"
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Finanzmarkt
Stochastischer Prozess
Zeitreihenanalyse
Volatility
26
Volatilität
26
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12
Prognoseverfahren
12
Time series analysis
9
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8
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8
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8
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4
Option pricing theory
4
Optionspreistheorie
4
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3
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3
Nichtlineare Regression
3
Nonlinear regression
3
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3
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3
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2
Ankündigungseffekt
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Corsi, Fulvio
Jacquier, Antoine (Jack)
Medeiros, Marcelo C.
McAleer, Michael
39
Gupta, Rangan
31
Tauchen, George Eugene
23
Asai, Manabu
22
Escobar, Marcos
22
Todorov, Viktor
22
Bollerslev, Tim
19
Andersen, Torben
18
Gil-Alaña, Luis A.
17
Cui, Zhenyu
16
Li, Jia
15
Rodriguez, Gabriel
14
Tiwari, Aviral Kumar
14
Caporale, Guglielmo Maria
13
Chan, Joshua
13
Kumar, Dilip
13
Ma, Feng
13
Degiannakis, Stavros
12
Fouque, Jean-Pierre
12
Takahashi, Akihiko
12
Wang, Xingchun
12
Carr, Peter
11
Chang, Chia-Lin
11
Kim, Jeong-Hoon
11
Mumtaz, Haroon
11
Renò, Roberto
11
Wohar, Mark E.
11
Yu, Jun
11
Aït-Sahalia, Yacine
10
Caporin, Massimiliano
10
Koopman, Siem Jan
10
Liu, Xiaoquan
10
Maheswaran, S.
10
Taylor, Robert
10
Teräsvirta, Timo
10
Alòs, Elisa
9
Benth, Fred Espen
9
Cavaliere, Giuseppe
9
Fabozzi, Frank J.
9
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Journal of econometrics
4
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3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
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2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
1
Economic notes : economic review of Banca Monte dei Paschi di Siena
1
International journal of forecasting
1
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ECONIS (ZBW)
18
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18
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1
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
2
HARK the SHARK : realized
volatility
modeling with measurement errors and nonlinear dependencies
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
Journal of financial econometrics
19
(
2021
)
4
,
pp. 614-649
Persistent link: https://www.econbiz.de/10012654982
Saved in:
3
A jump and smile ride : jump and variance risk premia in option pricing
Alitab, Dario
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of financial econometrics
18
(
2020
)
1
,
pp. 121-157
Persistent link: https://www.econbiz.de/10012180409
Saved in:
4
A stochastic
volatility
model with realized measures for option pricing
Bormetti, Giacomo
;
Casarin, Roberto
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
Saved in:
5
A DCC-type approach for realized covariance modeling with score-driven dynamics
Vassallo, Danilo
;
Buccheri, Giuseppe
;
Corsi, Fulvio
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 569-586
Persistent link: https://www.econbiz.de/10012792854
Saved in:
6
The continuous-time limit of score-driven
volatility
models
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Flandoli, Franco
; …
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 655-675
Persistent link: https://www.econbiz.de/10012619254
Saved in:
7
The high-frequency impact of macroeconomic announcements on the Brazilian futures markets
Garcia, Márcio Gomes Pinto
;
Medeiros, Marcelo C.
; …
- In:
Brazilian review of econometrics : BRE ; the review of …
36
(
2016
)
2
,
pp. 185-222
Persistent link: https://www.econbiz.de/10011644164
Saved in:
8
Realizing smiles : options pricing with relized
volatility
Corsi, Fulvio
;
Fusari, Nicola
;
La Vecchia, Davide
- In:
Journal of financial economics
107
(
2013
)
2
,
pp. 284-304
Persistent link: https://www.econbiz.de/10009719740
Saved in:
9
Nonlinearity, breaks, and long-range dependence in time-series models
Hillebrand, Eric
;
Medeiros, Marcelo C.
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 23-41
Persistent link: https://www.econbiz.de/10011691143
Saved in:
10
Asymmetry and long memory in
volatility
modeling
Asai, Manabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 495-512
Persistent link: https://www.econbiz.de/10009571512
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