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Volatility
Option pricing theory
66
Optionspreistheorie
66
Volatilität
39
Stochastic process
26
Stochastischer Prozess
26
Estimation
19
Schätzung
19
Derivat
15
Derivative
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Estimation theory
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Option trading
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Optionsgeschäft
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39
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Todorov, Viktor
5
Xiu, Dacheng
4
Tauchen, George Eugene
3
Aït-Sahalia, Yacine
2
Bollerslev, Tim
2
Bondarenko, Oleg
2
Gallant, A. Ronald
2
Park, Yang-Ho
2
Wang, Bin
2
Zheng, Xu
2
Amengual, Dante
1
Andersen, Torben
1
Augustyniak, Maciej
1
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1
Bakshi, Gurdip S.
1
Baldovin, Fulvio
1
Bandi, Federico M.
1
Barone-Adesi, Giovanni
1
Bates, David S.
1
Broadie, Mark
1
Bégin, Jean-François
1
Calvet, Laurent E.
1
Cao, Charles Q.
1
Caporin, Massimiliano
1
Caraglio, Michele
1
Chen, Qiang
1
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Fusari, Nicola
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Journal of econometrics
International journal of theoretical and applied finance
156
Quantitative finance
105
Journal of banking & finance
84
The journal of futures markets
80
Applied mathematical finance
74
The journal of computational finance
65
Finance research letters
63
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Review of derivatives research
50
The North American journal of economics and finance : a journal of financial economics studies
50
International journal of financial engineering
47
European journal of operational research : EJOR
42
Finance and stochastics
40
International review of economics & finance : IREF
40
Computational economics
39
Applied economics
37
Journal of economic dynamics & control
36
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Journal of mathematical finance
35
Risks : open access journal
35
Economic modelling
34
International review of financial analysis
31
NBER working paper series
31
Journal of financial economics
30
Journal of risk and financial management : JRFM
30
Research paper series / Swiss Finance Institute
30
Working paper / National Bureau of Economic Research, Inc.
29
Energy economics
28
Research in international business and finance
28
The European journal of finance
28
Emerging markets review
27
Review of quantitative finance and accounting
27
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
26
Insurance / Mathematics & economics
26
Annals of finance
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Applied financial economics
24
IMF working papers
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Journal of international financial markets, institutions & money
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ECONIS (ZBW)
39
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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
Saved in:
7
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:
8
On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi
;
Xu, Zheng
- In:
Journal of econometrics
179
(
2014
)
1
,
pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
Saved in:
9
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:
10
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
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