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~subject:"Time series analysis"
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Search: subject:"volatility risk premium"
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Time series analysis
Risikoprämie
52
Volatilität
52
Risk premium
50
Volatility
50
Volatility risk premium
45
volatility risk premium
21
Estimation
19
Option trading
19
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ARCH-Modell
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12
Volatility Risk Premium
10
Börsenkurs
9
Share price
9
Implied volatility
8
Theorie
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Risiko
7
Risk
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Stochastischer Prozess
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Aktienmarkt
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stochastic volatility
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Bams, Dennis
3
Blanchard, Gildas
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Lehnert, Thorsten
3
Bollerslev, Tim
1
Cipollini, Andrea
1
Fuertes, Carlos
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Honarvar, Iman
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Lo Cascio, Iolanda
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Osterrieder, Daniela
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Papanicolaou, Andrew
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LSF research working paper series
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Applied mathematical finance
1
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
1
International journal of forecasting
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Journal of empirical finance
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Journal of financial economics
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ECONIS (ZBW)
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1
Measuring the time series of high-frequency risk attitude from
volatility
risk
premium
: the case of emerging markets
Zhu, Chao
;
Zhang, Yuwei
;
Yi, Zhen
- In:
Emerging markets, finance & trade : a journal of the …
58
(
2022
)
8
,
pp. 2407-2422
Persistent link: https://www.econbiz.de/10013190370
Saved in:
2
Volatility measures and Value-at-Risk
Bams, Dennis
;
Blanchard, Gildas
;
Lehnert, Thorsten
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 848-863
Persistent link: https://www.econbiz.de/10011746918
Saved in:
3
Volatility concepts and risk management tools
Bams, Dennis
;
Blanchard, Gildas
;
Lehnert, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011547074
Saved in:
4
The impact of uncertainty in the oil and gold market on the cross-section of stock returns
Bams, Dennis
;
Blanchard, Gildas
;
Honarvar, Iman
; …
-
2015
Persistent link: https://www.econbiz.de/10011547101
Saved in:
5
Volatility co-movements : a time-scale decomposition analysis
Cipollini, Andrea
;
Lo Cascio, Iolanda
;
Muzzioli, Silvia
- In:
Journal of empirical finance
34
(
2015
),
pp. 34-44
Persistent link: https://www.econbiz.de/10011556988
Saved in:
6
Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
Saved in:
7
Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim
;
Osterrieder, Daniela
;
Sizova, Natalia
; …
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
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