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~isPartOf:"CREATES Research Papers"
~isPartOf:"Economics letters"
~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial economics"
~subject:"Volatilität"
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An agent-based stochastic vola...
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Volatilität
Anlageverhalten
579
Behavioural finance
579
Capital income
193
Kapitaleinkommen
193
Börsenkurs
181
Share price
181
Portfolio selection
163
Portfolio-Management
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Theorie
133
Theory
133
Volatility
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Estimation
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Todorov, Viktor
7
Tauchen, George Eugene
6
Andersen, Torben
5
McAleer, Michael
4
Chang, Chia-Lin
3
Li, Jia
3
Asai, Manabu
2
Aït-Sahalia, Yacine
2
Bondarenko, Oleg
2
Carriero, Andrea
2
Chan, Joshua
2
Clark, Todd E.
2
Fusari, Nicola
2
Gupta, Rangan
2
Mancini, Loriano
2
Marcellino, Massimiliano
2
Park, Beum-jo
2
Poon, Aubrey
2
Renò, Roberto
2
Shin, Minchul
2
Tong, Howell
2
Varneskov, Rasmus Tangsgaard
2
Ahsan, Nazmul
1
Andreou, Panayiotis C.
1
Archakov, Ilya
1
Arismendi Zambrano, Juan Carlos
1
Armstrong, Will J.
1
Audrino, Francesco
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Avouyi-Dovi, Sanvi
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Back, Janis
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Bali, Turan G.
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Bandi, F. M.
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Barber, Brad M.
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Batten, Jonathan A.
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CREATES Research Papers
Economics letters
Journal of banking & finance
Journal of econometrics
Journal of financial economics
Finance research letters
63
International journal of theoretical and applied finance
43
International review of financial analysis
39
Journal of economic dynamics & control
33
Quantitative finance
33
Applied economics
32
Discussion paper / Tinbergen Institute
32
The North American journal of economics and finance : a journal of financial economics studies
31
Pacific-Basin finance journal
28
Energy economics
27
International review of economics & finance : IREF
27
Research in international business and finance
24
Economic modelling
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Working paper
22
Applied economics letters
19
Applied mathematical finance
19
CAMA working paper series
19
Discussion papers / CEPR
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
The journal of futures markets
18
Journal of empirical finance
17
The journal of behavioral finance : a publication of the Institute of Psychology and Markets and LEA
16
The journal of computational finance
16
Journal of risk and financial management : JRFM
15
Research paper series / Swiss Finance Institute
15
Review of quantitative finance and accounting
14
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
14
International journal of forecasting
13
NBER working paper series
13
Computational economics
12
Insurance / Mathematics & economics
12
Risks : open access journal
12
The European journal of finance
12
Cogent economics & finance
11
Swiss Finance Institute Research Paper
11
Tinbergen Institute Discussion Paper
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ECONIS (ZBW)
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1
COVID-19, lockdowns and herding towards a cryptocurrency market-specific implied volatility index
Rubbaniy, Ghulame
;
Polyzos, Stathis
;
Rizvi, Kumail Abbas
; …
- In:
Economics letters
207
(
2021
),
pp. 1-6
Persistent link: https://www.econbiz.de/10013169956
Saved in:
2
Robustness of distance-to-default
Jessen, Cathrine
;
Lando, David
- In:
Journal of banking & finance
50
(
2015
),
pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
Saved in:
3
Estimating dynamic equilibrium models with stochastic volatility
Fernández-Villaverde, Jesús
;
Guerrón-Quintana, Pablo A.
- In:
Journal of econometrics
185
(
2015
)
1
,
pp. 216-229
Persistent link: https://www.econbiz.de/10011339869
Saved in:
4
Valuation of VIX derivatives
Mencía, Javier
;
Sentana, Enrique
- In:
Journal of financial economics
108
(
2013
)
2
,
pp. 367-391
Persistent link: https://www.econbiz.de/10009749334
Saved in:
5
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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6
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
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7
Moment-based estimation of stochastic volatility
Bregantini, Daniele
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4755-4764
Persistent link: https://www.econbiz.de/10010342233
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8
Spurious persistence in stochastic volatility
Messow, Philip
;
Krämer, Walter
- In:
Economics letters
121
(
2013
)
2
,
pp. 221-223
Persistent link: https://www.econbiz.de/10010346320
Saved in:
9
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
10
Earning the right premium on the right factor in portfolio planning
Branger, Nicole
;
Hansis, Alexandra
- In:
Journal of banking & finance
59
(
2015
),
pp. 367-383
Persistent link: https://www.econbiz.de/10011544589
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