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~isPartOf:"Journal of econometrics"
~subject:"Stochastic process"
~type_genre:"Article in journal"
~type_genre:"Konferenzschrift"
~type_genre:"Quelle"
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Stochastic process
Volatility
320
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210
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185
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185
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162
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Todorov, Viktor
11
Tauchen, George Eugene
8
McAleer, Michael
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Asai, Manabu
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Bollerslev, Tim
4
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Aït-Sahalia, Yacine
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Journal of econometrics
International journal of theoretical and applied finance
232
Quantitative finance
121
Applied mathematical finance
100
Finance and stochastics
100
The journal of computational finance
92
Insurance / Mathematics & economics
80
Mathematical finance : an international journal of mathematics, statistics and financial theory
75
Computational economics
66
European journal of operational research : EJOR
66
International journal of financial engineering
59
Journal of mathematical finance
57
Journal of economic dynamics & control
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
Risks : open access journal
54
Finance research letters
48
Journal of banking & finance
48
Econometric reviews
47
The journal of futures markets
47
Review of derivatives research
44
Annals of finance
41
Energy economics
40
The North American journal of economics and finance : a journal of financial economics studies
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
34
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32
Economic modelling
31
Economics letters
30
Journal of empirical finance
30
Asia-Pacific financial markets
29
The European journal of finance
29
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26
Mathematical finance : an international journal of mathematics, statistics and financial economics
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Journal of financial economics
22
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Econometrics : open access journal
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
118
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1
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118
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1
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:
2
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:
3
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
Saved in:
4
Hermite polynomial based expansion of European option prices
Xiu, Dacheng
- In:
Journal of econometrics
179
(
2014
)
2
,
pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
Saved in:
5
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
6
Learning, confidence, and option prices
Shaliastovich, Ivan
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
Saved in:
7
Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin
;
Lee, Jaesung
;
Mittnik, Stefan
;
Park, Jiho
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
Saved in:
8
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
9
What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.
;
Fearnley, Marcus
;
Fisher, Adlai
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
Saved in:
10
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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