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~isPartOf:"Energy economics"
~isPartOf:"Journal of econometrics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Kointegration"
~subject:"Optionspreistheorie"
~subject:"Volatilität"
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Kointegration
Optionspreistheorie
Volatilität
Volatility
1,291
Oil price
505
Ölpreis
505
Estimation
486
Schätzung
486
Cointegration
447
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406
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Hammoudeh, Shawkat
32
Gupta, Rangan
27
Tiwari, Aviral Kumar
24
Ma, Feng
22
Bollerslev, Tim
19
McAleer, Michael
19
Kang, Sang Hoon
18
Mensi, Walid
17
Todorov, Viktor
17
Bouri, Elie
15
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
13
Ji, Qiang
13
Uddin, Mohammed Gazi Salah
13
Wang, Yudong
13
Yoon, Seong-min
13
Andersen, Torben
12
Wei, Yu
12
Wohar, Mark E.
12
Chang, Chia-Lin
11
Dai, Zhifeng
11
Phillips, Peter C. B.
11
Shahzad, Syed Jawad Hussain
11
Demirer, Rıza
10
Sadorsky, Perry A.
10
Shahbaz, Muhammad
10
Wen, Fenghua
10
Zhu, Huiming
10
Balcilar, Mehmet
9
Caporin, Massimiliano
9
Lee, Chien-chiang
9
Zhang, Yaojie
9
Boswijk, Herman Peter
8
Lin, Boqiang
8
Lucey, Brian M.
8
Meddahi, Nour
8
Nielsen, Morten Ørregaard
8
Park, Joon Y.
8
Pierdzioch, Christian
8
Xiu, Dacheng
8
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Conference on Realized Volatility <2006, Montréal>
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Energy economics
Journal of econometrics
The North American journal of economics and finance : a journal of financial economics studies
Applied economics
741
Finance research letters
721
Economic modelling
617
The journal of futures markets
567
International journal of theoretical and applied finance
560
NBER working paper series
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539
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519
International review of financial analysis
488
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464
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349
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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International journal of economics and financial issues : IJEFI
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Journal of risk and financial management : JRFM
253
International journal of economics and finance
249
The journal of derivatives : the official publication of the International Association of Financial Engineers
247
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
246
Journal of financial economics
239
The European journal of finance
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1
Testing the forward
volatility
unbiasedness hypothesis in exchange rates under long-range dependence
Pérez Rodríguez, Jorge V.
;
Andrada Félix, Julián
; …
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012822266
Saved in:
2
Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
Mensi, Walid
;
Hammoudeh, Shawkat
;
Ur Rehman, Mobeen
; …
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012659807
Saved in:
3
Higher moment exchange rate exposure of S&P500 firms
Bianconi, Marcelo
;
Cai, Zhe
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 513-530
Persistent link: https://www.econbiz.de/10011938192
Saved in:
4
An empirical model comparison for valuing crack spread options
Mahringer, Steffen
;
Prokopczuk, Marcel
- In:
Energy economics
51
(
2015
),
pp. 177-187
Persistent link: https://www.econbiz.de/10011564825
Saved in:
5
Realized
volatility
forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
Saved in:
6
A Gaussian approximation scheme for computation of option prices in stochastic
volatility
models
Cheng, Ai-ru Meg
;
Gallant, A. Ronald
;
Ji, Chuanshu
; …
- In:
Journal of econometrics
146
(
2008
)
1
,
pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
Saved in:
7
Variance dynamics : joint evidence from options and high-frequency returns
Wu, Liuren
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 280-287
Persistent link: https://www.econbiz.de/10009242518
Saved in:
8
Realized Laplace transforms for estimation of jump diffusive
volatility
models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
9
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Fengler, Matthias R.
;
Hin, Lin-Yee
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 242-261
Persistent link: https://www.econbiz.de/10011339347
Saved in:
10
Asymptotically distribution-free tests for the
volatility
function of a diffusion
Chen, Qiang
;
Zheng, Xu
;
Pan, Zhiyuan
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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