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~person:"Corsi, Fulvio"
~person:"Jacquier, Antoine (Jack)"
~person:"Medeiros, Marcelo C."
~subject:"Share price"
~subject:"Stochastischer Prozess"
~subject:"Zeitreihenanalyse"
~type_genre:"Article in journal"
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Search: subject:"Volatility"
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Share price
Stochastischer Prozess
Zeitreihenanalyse
Volatility
26
Volatilität
26
Forecasting model
12
Prognoseverfahren
12
Time series analysis
9
Börsenkurs
8
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8
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Option pricing theory
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Optionspreistheorie
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4
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3
Finanzmarkt
3
High-frequency data
3
Nichtlineare Regression
3
Nonlinear regression
3
Option pricing
3
Option trading
3
Optionsgeschäft
3
Realized volatility
3
Aktienindex
2
Analysis of variance
2
Ankündigungseffekt
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2
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Corsi, Fulvio
Jacquier, Antoine (Jack)
Medeiros, Marcelo C.
Gupta, Rangan
79
Ma, Feng
47
McAleer, Michael
43
Bouri, Elie
28
Todorov, Viktor
28
Bollerslev, Tim
26
Wohar, Mark E.
26
Asai, Manabu
25
Tauchen, George Eugene
24
Tiwari, Aviral Kumar
24
Gil-Alaña, Luis A.
23
Andersen, Torben
22
Caporale, Guglielmo Maria
22
Corbet, Shaen
22
Escobar, Marcos
22
Hammoudeh, Shawkat
22
Chiang, Thomas C.
21
Demirer, Rıza
21
Mensi, Walid
20
Wang, Yudong
20
Zhang, Yaojie
20
Maheswaran, S.
19
Ryu, Doojin
19
Balcilar, Mehmet
18
Kang, Sang Hoon
18
Floros, Christos
17
Kumar, Dilip
17
Pierdzioch, Christian
17
Wei, Yu
17
Yoon, Seong-min
17
Caporin, Massimiliano
16
Cui, Zhenyu
16
Degiannakis, Stavros
16
Salisu, Afees A.
16
Zhang, Wei
16
Brooks, Robert
15
Li, Jia
15
Molnár, Peter
15
Roubaud, David
15
Wang, Jiqian
15
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of econometrics
4
Econometric reviews
2
International journal of forecasting
2
Journal of financial econometrics
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
Journal of financial economics
1
Journal of financial markets
1
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ECONIS (ZBW)
19
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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
Jumps in stock prices : new insights from old data
Johnson, James A.
;
Medeiros, Marcelo C.
;
Paye, Bradley S.
- In:
Journal of financial markets
60
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013398004
Saved in:
6
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:
7
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
8
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:
9
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:
10
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:
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