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~isPartOf:"Applied economics letters"
~isPartOf:"International review of financial analysis"
~isPartOf:"The journal of corporate finance : contracting, governance and organization"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"ARCH model"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Systematic review"
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ARCH model
Börsenkurs
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Li, Yan
3
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Applied economics letters
International review of financial analysis
The journal of corporate finance : contracting, governance and organization
The journal of derivatives : the official publication of the International Association of Financial Engineers
Finance research letters
56
International review of economics & finance : IREF
51
The North American journal of economics and finance : a journal of financial economics studies
51
Applied economics
48
Energy economics
46
Research in international business and finance
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Economic modelling
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36
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32
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International journal of forecasting
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The journal of futures markets
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International Journal of Energy Economics and Policy : IJEEP
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Economics letters
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Journal of forecasting
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Review of quantitative finance and accounting
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International journal of economics and financial issues : IJEFI
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Global business review
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International Journal of Financial Studies : open access journal
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International journal of economics and finance
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The European journal of finance
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The empirical economics letters : a monthly international journal of economics
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Applied financial economics
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Emerging markets, finance and trade : EMFT
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International journal of finance & economics : IJFE
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of financial econometrics
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The journal of applied business research
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ECONIS (ZBW)
73
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1
Ensuring more is better : on the simultaneous application of stock and options data to estimate the GARCH options pricing model
Chang, Charles
;
Cheng, Hung-Wen
;
Fuh, Cheng-Der
- In:
The journal of derivatives : the official publication …
26
(
2018
)
1
,
pp. 7-25
Persistent link: https://www.econbiz.de/10011968669
Saved in:
2
A GARCH parameterization of the volatility surface
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 9-24
Persistent link: https://www.econbiz.de/10011399795
Saved in:
3
Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
Saved in:
4
Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.
;
López, José A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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5
GARCH option valuation : theory and evidence
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 8-41
Persistent link: https://www.econbiz.de/10010358127
Saved in:
6
Fast analytic option valuation with GARCH
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 18-38
Persistent link: https://www.econbiz.de/10008655530
Saved in:
7
Credit spread options valuation under GARCH
Tahani, Nabil
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
Saved in:
8
Covariance dependent kernels, a Q-affine GARCH for multi-asset option pricing
Escobar, Marcos
;
Rastegari, Javad
;
Stentoft, Lars
- In:
International review of financial analysis
87
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014460484
Saved in:
9
Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
12
,
pp. 1060-1068
Persistent link: https://www.econbiz.de/10013412038
Saved in:
10
Relationship between gold and stock markets during the global financial crisis : evidence from nonlinear causality tests
Choudhry, Taufiq
;
Ul Hassan, Syed Shabi
;
Shabi, Sarosh
- In:
International review of financial analysis
41
(
2015
),
pp. 247-256
Persistent link: https://www.econbiz.de/10011508942
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