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~isPartOf:"Annals of finance"
~isPartOf:"Energy economics"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
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Stochastischer Prozess
Volatility
700
Volatilität
700
Oil price
421
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421
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242
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242
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232
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Viens, Frederi G.
5
Baum, Christopher F.
3
Zerilli, Paola
3
Chen, Liyuan
2
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2
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2
Hainaut, Donatien
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2
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1
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1
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1
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1
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1
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Annals of finance
Energy economics
International journal of theoretical and applied finance
137
Journal of econometrics
104
Quantitative finance
90
Applied mathematical finance
63
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
The journal of computational finance
49
Computational economics
48
Finance and stochastics
47
Journal of economic dynamics & control
47
Econometric reviews
44
European journal of operational research : EJOR
39
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39
Finance research letters
38
Insurance / Mathematics & economics
35
International journal of financial engineering
35
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35
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32
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
The journal of futures markets
31
Risks : open access journal
30
Economics letters
26
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of risk and financial management : JRFM
24
Review of derivatives research
24
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Applied economics
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Economic modelling
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Journal of financial economics
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The European journal of finance
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Journal of financial econometrics
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Asia-Pacific financial markets
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International review of economics & finance : IREF
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Applied economics letters
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International journal of forecasting
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
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1
On the effects of world stock market and oil price shocks on food prices : an empirical investigation based on TVP-VAR models with stochastic
volatility
Jebabli, Ikram
;
Arouri, Mohamed
;
Teulon, Frédéric
- In:
Energy economics
45
(
2014
),
pp. 66-98
Persistent link: https://www.econbiz.de/10010504792
Saved in:
2
Stochastic
volatility
, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.
;
Zerilli, Paola
;
Chen, Liyuan
- In:
Energy economics
93
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
Saved in:
3
A second-order stock market model
Fernholz, Robert
;
Ichiba, Tomoyuki
;
Karatzas, Ioannis
- In:
Annals of finance
9
(
2013
)
3
,
pp. 439-454
Persistent link: https://www.econbiz.de/10009776425
Saved in:
4
A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets
Li, Xun
;
Wu, Zhenyu
- In:
Annals of finance
2
(
2006
)
2
,
pp. 179-205
Persistent link: https://www.econbiz.de/10003282234
Saved in:
5
Does knowing the
volatility
states affect the market risk premium?
Bae, Jinho
- In:
Annals of finance
7
(
2011
)
1
,
pp. 83-94
Persistent link: https://www.econbiz.de/10008840222
Saved in:
6
Testing the local
volatility
assumption : a statistical approach
Podolskij, Mark
;
Rosenbaum, Mathieu
- In:
Annals of finance
8
(
2012
)
1
,
pp. 31-48
Persistent link: https://www.econbiz.de/10009510584
Saved in:
7
Portfolio optimization in discrete time with proportional transaction costs under stochastic
volatility
Kim, Ha Young
;
Viens, Frederi G.
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 405-425
Persistent link: https://www.econbiz.de/10009548076
Saved in:
8
Estimation and pricing under long-memory stochastic
volatility
Chronopoulou, Alexandra
;
Viens, Frederi G.
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 379-403
Persistent link: https://www.econbiz.de/10009548079
Saved in:
9
Affine fractional stochastic
volatility
models
Comte, Fabienne
;
Coutin, Laure
;
Renault, Eric
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 337-378
Persistent link: https://www.econbiz.de/10009548082
Saved in:
10
Statistical estimation of Lévy-type stochastic
volatility
models
Figueroa-López, José E.
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 309-335
Persistent link: https://www.econbiz.de/10009548084
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