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Rough-heston local-volatility...
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Volatility
184
Volatilität
184
Theorie
94
Theory
94
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91
Kapitaleinkommen
91
Option pricing theory
79
Optionspreistheorie
79
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Bakshi, Gurdip S.
6
Christoffersen, Peter F.
6
Jacobs, Kris
6
Bollerslev, Tim
5
Ornthanalai, Chayawat
4
Todorov, Viktor
4
Ang, Andrew
3
Aït-Sahalia, Yacine
3
Carr, Peter
3
Chan, Kalok
3
Collin-Dufresne, Pierre
3
Della Corte, Pasquale
3
Giglio, Stefano
3
Goldstein, Robert S.
3
Kelly, Bryan T.
3
Li, Sophia Zhengzi
3
Newton, David P.
3
Pan, Jun
3
Panayotov, George
3
Sarno, Lucio
3
Wu, Liuren
3
Zhang, Chu
3
Ai, Hengjie
2
Andersen, Torben
2
Andricopoulos, Ari D.
2
Bai, Jennie
2
Bali, Turan G.
2
Bandi, Federico M.
2
Bekaert, Geert
2
Brandt, Michael W.
2
Brockman, Paul
2
Carpenter, Jennifer N.
2
Chung, Kee H.
2
Dew-Becker, Ian
2
Du, Du
2
Duck, Peter W.
2
Durham, Garland B.
2
Engle, Robert F.
2
Ermolov, Andrey
2
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Journal of financial economics
Energy economics
741
Finance research letters
718
International journal of theoretical and applied finance
597
Journal of banking & finance
582
The journal of futures markets
576
NBER working paper series
563
Working paper / National Bureau of Economic Research, Inc.
547
Journal of econometrics
523
International review of financial analysis
499
Applied economics
492
NBER Working Paper
480
Economic modelling
475
International review of economics & finance : IREF
435
The North American journal of economics and finance : a journal of financial economics studies
398
Economics letters
375
European journal of operational research : EJOR
373
Working paper
365
Applied financial economics
345
Applied economics letters
344
Journal of empirical finance
340
Discussion paper / Tinbergen Institute
332
Research in international business and finance
326
Journal of economic dynamics & control
319
Quantitative finance
316
Mathematical finance : an international journal of mathematics, statistics and financial theory
305
Discussion paper / Centre for Economic Policy Research
303
Applied mathematical finance
297
Journal of international financial markets, institutions & money
285
Finance and stochastics
274
The journal of computational finance
274
Journal of international money and finance
270
Journal of risk and financial management : JRFM
260
The European journal of finance
260
The journal of derivatives : the official publication of the International Association of Financial Engineers
248
Computational economics
238
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
238
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
221
CESifo working papers
216
Insurance / Mathematics & economics
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ECONIS (ZBW)
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1
Option valuation with long-run and short-run
volatility
components
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
90
(
2008
)
3
,
pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
Saved in:
2
Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat
- In:
Journal of financial economics
112
(
2014
)
1
,
pp. 69-90
Persistent link: https://www.econbiz.de/10010375952
Saved in:
3
Conditional
volatility
in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris
;
Karoui, Lotfi
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
Saved in:
4
Can interest rate
volatility
be extracted from the cross section of bond yields?
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
;
Jones, …
- In:
Journal of financial economics
94
(
2009
)
1
,
pp. 47-66
Persistent link: https://www.econbiz.de/10003891547
Saved in:
5
Idiosyncratic risk and the cross-section of expected stock returns
Fu, Fangjian
- In:
Journal of financial economics
91
(
2009
)
1
,
pp. 24-37
Persistent link: https://www.econbiz.de/10003813177
Saved in:
6
"Déjà vol" : predictive regressions for aggregate stock market
volatility
using macroeconomic variables
Paye, Bradley S.
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 527-546
Persistent link: https://www.econbiz.de/10009710165
Saved in:
7
Asymmetric correlations of equity portfolios
Ang, Andrew
;
Chen, Joseph
- In:
Journal of financial economics
63
(
2002
)
3
,
pp. 443-494
Persistent link: https://www.econbiz.de/10001661703
Saved in:
8
The
volatility
of a firm's assets and the leverage effect
Choi, Jaewon
;
Richardson, Matthew
- In:
Journal of financial economics
121
(
2016
)
2
,
pp. 254-277
Persistent link: https://www.econbiz.de/10011590720
Saved in:
9
Inferring
volatility
dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris
;
Gourier, Elise
;
Leippold, Markus
- In:
Journal of financial economics
131
(
2019
)
3
,
pp. 593-618
Persistent link: https://www.econbiz.de/10012133017
Saved in:
10
Option markets and implied
volatility
: past versus present
Mixon, Scott
- In:
Journal of financial economics
94
(
2009
)
2
,
pp. 171-191
Persistent link: https://www.econbiz.de/10003906341
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