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Option-implied volatility fact...
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Volatility
19
Volatilität
19
Theorie
16
Theory
16
Estimation
10
Schätzung
10
Option pricing theory
8
Optionspreistheorie
8
CAPM
7
Stochastic process
6
Stochastischer Prozess
6
USA
5
United States
5
ARCH model
4
ARCH-Modell
4
Time series analysis
4
Zeitreihenanalyse
4
Interest rate derivative
3
Zinsderivat
3
Cointegration
2
Denmark
2
Dänemark
2
Estimation theory
2
Exchange rate
2
Forecast
2
Großbritannien
2
Heteroscedasticity
2
Heteroskedastizität
2
Interest rate
2
Kointegration
2
Maximum likelihood estimation
2
Maximum-Likelihood-Schätzung
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Pfund Sterling
2
Pound Sterling
2
Preistheorie
2
Price theory
2
Prognose
2
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2
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Book / Working Paper
33
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Arbeitspapier
29
Graue Literatur
29
Non-commercial literature
29
Working Paper
29
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English
33
Author
All
Christensen, Bent Jesper
5
Christiansen, Charlotte
4
Tanggaard, Carsten
3
Barndorff-Nielsen, Ole E.
2
Brunetti, Celso
2
Hansen, Peter Reinhard
2
Lunde, Asger
2
Myhre Lildholt, Peter
2
Raahauge, Peter
2
Shephard, Neil G.
2
Bartholdy, Jan
1
Bibby, Bo Martin
1
Bojarčenko, Svetlana I.
1
Brandorff-Nielsen, Ole E.
1
Busch, Thomas
1
Engsted, Tom
1
Levendorskij, Sergej Z.
1
Mikkelsen, Peter
1
Myhre Lildholdt, Peter
1
Nicolato, Elisa
1
Nielsen, Jens Perch
1
Nielsen, Morten Ørregaard
1
Peare, Paula
1
Poulsen, Rolf
1
Reng Rasmussen, Anne-Sofie
1
Shepard, Neil
1
Shin Jensen, Malene
1
Sponholtz, Carina
1
Stentoft, Lars
1
Strunk Hansen, Charlotte
1
Svenstrup, Mikkel
1
Sørensen, Helle
1
Sørensen, Michael
1
Venardos, Emmanouil
1
Ørregaard Nielsen, Morten
1
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Institution
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Centre for Analytical Finance <Århus>
National Bureau of Economic Research
3,280
Forschungsinstitut zur Zukunft der Arbeit
346
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
253
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
114
International Monetary Fund (IMF)
113
Institut für Weltwirtschaft
93
C.E.P.R. Discussion Papers
87
Ekonomiska forskningsinstitutet <Stockholm>
83
Zentrum für Europäische Wirtschaftsforschung
75
Springer Fachmedien Wiesbaden
73
OECD
60
Tilburg University, Center for Economic Research
57
Institut für Schweizerisches Bankwesen <Zürich>
55
International Monetary Fund
53
William Davidson Institute <Ann Arbor, Mich.>
53
HAL
50
EconWPA
48
Federal Reserve Bank of St. Louis
43
World Bank
42
Internationaler Währungsfonds / Research Department
40
Deutsches Institut für Wirtschaftsforschung
38
Université Paris-Dauphine (Paris IX)
33
Federal Reserve Bank of San Francisco
32
Institute of Finance and Accounting <London>
32
Federal Reserve System / Board of Governors
30
Verlag Dr. Kovač
30
Centre for Economic Performance
29
Centre for Economic Policy Research
27
Österreichisches Institut für Wirtschaftsforschung
27
Birkbeck College / Department of Economics
26
CESifo
26
Federal Reserve Bank of New York
26
Federal Reserve System / Division of Research and Statistics
26
Center for Economic Research <Tilburg>
24
Agricultural and Applied Economics Association - AAEA
23
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
23
European University Institute / Department of Economics
23
Institutionen för Nationalekonomi, Umeå Universitet
23
Trinity College Dublin / Department of Economics
23
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Published in...
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
33
Source
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ECONIS (ZBW)
33
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1
Estimation
of GARCH models based on open, close, high, and low prices
Myhre Lildholt, Peter
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719178
Saved in:
2
Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001724263
Saved in:
3
Latent utility shocks in a structural empirical asset pricing model
Christensen, Bent Jesper
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002507048
Saved in:
4
Decomposing European bond and equity
volatility
Christiansen, Charlotte
(
contributor
)
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002167494
Saved in:
5
Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E.
(
contributor
); …
-
2004
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
Saved in:
6
Hyperbolic processes in finance
Bibby, Bo Martin
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599143
Saved in:
7
Semiparametric analysis of stationary fractional cointegration and the implied-realized
volatility
relation in high-frequency options data
Christensen, Bent Jesper
(
contributor
); …
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599144
Saved in:
8
Time series modelling of daily log-price ranges for SF/USD and USD/GBP
Brunetti, Celso
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001719176
Saved in:
9
Option pricing in stochastic
volatility
models of the Ornstein-Uhlenbeck type
Nicolato, Elisa
(
contributor
); …
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001663272
Saved in:
10
Pricing american options when the underlying stock price exhibits time-vaying
volatility
Stentoft, Lars
(
contributor
)
-
2002
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001690047
Saved in:
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