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~isPartOf:"Finance research letters"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Volatility"
~subject:"Volatilität"
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Finance research letters
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
NBER working paper series
173
Working paper / National Bureau of Economic Research, Inc.
161
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155
Journal of econometrics
125
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Economic modelling
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International journal of forecasting
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International journal of theoretical and applied finance
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Journal of financial economics
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72
Journal of economic dynamics & control
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International review of financial analysis
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The European journal of finance
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International review of economics & finance : IREF
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The review of financial studies
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55
Econometric reviews
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Applied economics letters
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The North American journal of economics and finance : a journal of financial economics studies
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Finance and stochastics
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ECONIS (ZBW)
141
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1
On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter
;
Ewald, Christian-Oliver
;
Xiao, Yajun
- In:
Finance research letters
5
(
2008
)
3
,
pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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2
Dynamic, nonparametric hedging of European style contigent claims using canonical valuation
Alcock, Jamie
;
Gray, Philip K.
- In:
Finance research letters
2
(
2005
)
1
,
pp. 41-50
Persistent link: https://www.econbiz.de/10002685784
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3
Temporal aggregation and risk-return relation
Jin, Xing
;
Wang, Leping
;
Yu, Jun
- In:
Finance research letters
4
(
2007
)
2
,
pp. 104-115
Persistent link: https://www.econbiz.de/10003477216
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4
A note on the predictability of excess bond returns and regime shifts
Zhu, Xiaoneng
- In:
Finance research letters
8
(
2011
)
2
,
pp. 101-109
Persistent link: https://www.econbiz.de/10009301292
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5
Financial volatility forecasting with range-based autoregressive volatility model
Li, Hongquan
;
Hong, Yongmiao
- In:
Finance research letters
8
(
2011
)
2
,
pp. 69-76
Persistent link: https://www.econbiz.de/10009301308
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6
The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach
Chung, Y. Peter
;
Zhou, Zhong-guo
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
16
(
2012
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10009521656
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7
Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions
Yang, Minxian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
15
(
2011
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009521860
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8
Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
5
,
pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
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9
Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes
Tzagkarakis, George
;
Dionysopoulos, Thomas
;
Achim, Alin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
1
,
pp. 75-96
Persistent link: https://www.econbiz.de/10011431136
Saved in:
10
Estimating dynamic copula dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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