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~isPartOf:"CREATES Research Papers"
~isPartOf:"Economics letters"
~isPartOf:"Journal of banking & finance"
~subject:"Volatilität"
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An agent-based stochastic vola...
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Volatilität
Anlageverhalten
384
Behavioural finance
384
Capital income
116
Kapitaleinkommen
116
Börsenkurs
110
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110
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109
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80
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Stochastic process
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stochastic volatility
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Gupta, Rangan
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Park, Beum-jo
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Audrino, Francesco
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CREATES Research Papers
Economics letters
Journal of banking & finance
Finance research letters
63
International journal of theoretical and applied finance
43
International review of financial analysis
39
Journal of econometrics
36
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
23
Working paper
23
Applied economics letters
20
Applied mathematical finance
19
CAMA working paper series
19
Discussion papers / CEPR
19
Journal of financial economics
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
Annals of finance
11
Swiss Finance Institute Research Paper
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Tinbergen Institute Discussion Paper
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ECONIS (ZBW)
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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
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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
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3
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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4
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
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5
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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6
Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco
;
Fengler, Matthias
- In:
Journal of banking & finance
61
(
2015
),
pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
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7
Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of banking & finance
61
(
2015
),
pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
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8
Discrete stochastic autoregressive volatility
Cordis, Adriana S.
;
Kirby, Chris
- In:
Journal of banking & finance
43
(
2014
),
pp. 160-178
Persistent link: https://www.econbiz.de/10010410013
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9
Measuring macroeconomic uncertainty : a historical perspective
Shen, Yifan
- In:
Economics letters
196
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012510982
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10
Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data
Xu, Zheng
- In:
Economics letters
120
(
2013
)
3
,
pp. 369-373
Persistent link: https://www.econbiz.de/10010128844
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