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Deep local volatility
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Volatility
321
Volatilität
321
Theorie
151
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151
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140
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140
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113
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Bollerslev, Tim
19
Todorov, Viktor
17
Tauchen, George Eugene
15
Aït-Sahalia, Yacine
14
Andersen, Torben
12
McAleer, Michael
11
Xiu, Dacheng
9
Meddahi, Nour
8
Gouriéroux, Christian
7
Li, Jia
7
Mykland, Per A.
7
Patton, Andrew J.
7
Cavaliere, Giuseppe
6
Ghysels, Eric
6
Kim, Donggyu
6
Shephard, Neil G.
6
Asai, Manabu
5
Francq, Christian
5
Gallant, A. Ronald
5
Hallin, Marc
5
Li, Yingying
5
Linton, Oliver
5
Park, Joon Y.
5
Renault, Eric
5
Renò, Roberto
5
Taylor, Robert
5
Zakoïan, Jean-Michel
5
Zhou, Hao
5
Barigozzi, Matteo
4
Boswijk, Herman Peter
4
Jasiak, Joann
4
Maheu, John M.
4
Medeiros, Marcelo C.
4
Monfort, Alain
4
Rahbek, Anders
4
Yu, Jun
4
Bandi, Federico M.
3
Bondarenko, Oleg
3
Calvet, Laurent E.
3
Carriero, Andrea
3
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Conference on Realized Volatility <2006, Montréal>
1
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Journal of econometrics
Journal of economic behavior & organization : JEBO
1,514
NBER working paper series
1,105
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1,039
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919
NBER Working Paper
906
CESifo working papers
862
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711
Finance research letters
692
Economics letters
682
Experimental economics : a journal of the Economic Science Association
637
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596
International journal of theoretical and applied finance
582
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579
Journal of behavioral and experimental economics
568
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566
The journal of futures markets
553
Journal of banking & finance
551
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517
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513
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506
Journal of economic psychology : research in economic psychology and behavioral economics
498
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470
International review of financial analysis
463
Applied economics letters
444
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429
International review of economics & finance : IREF
405
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402
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400
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377
The North American journal of economics and finance : a journal of financial economics studies
374
European economic review : EER
352
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352
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330
Mathematical finance : an international journal of mathematics, statistics and financial theory
315
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306
Applied financial economics
302
Journal of empirical finance
293
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291
European journal of operational research : EJOR
286
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ECONIS (ZBW)
399
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1
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:
2
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:
3
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:
4
Pricing and hedging derivative securities with neural networks and a homogeneity hint
Garcia, René
;
Gençay, Ramazan
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 93-115
Persistent link: https://www.econbiz.de/10001437747
Saved in:
5
Dynamic estimation of
volatility
risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim
;
Gibson, Michael S.
;
Zhou, Hao
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
Saved in:
6
Option pricing with non-Gaussian scaling and infinite-state switching
volatility
Baldovin, Fulvio
;
Caporin, Massimiliano
;
Caraglio, Michele
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Saved in:
7
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:
8
Closed-form implied
volatility
surfaces for stochastic
volatility
models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
9
Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 295-325
Persistent link: https://www.econbiz.de/10012438391
Saved in:
10
Empirical assessment of an intertemporal option pricing model with latent variables
Garcia, René
;
Luger, Richard
;
Renault, Eric
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 49-83
Persistent link: https://www.econbiz.de/10001772141
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