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Multi-scale jump and volatilit...
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Volatility
194
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194
Option pricing theory
108
Optionspreistheorie
108
Stochastic process
90
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90
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59
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Sornette, Didier
6
Escobar, Marcos
4
Gatheral, Jim
4
Radoičić, Radoš
4
Bayer, Christian
3
Felpel, Mike
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
Lillo, Fabrizio
3
McWalter, Thomas A.
3
Pirjol, Dan
3
Rosenbaum, Mathieu
3
Wehrli, Alexander
3
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2
Alexander, Carol
2
Alòs, Elisa
2
Bellini, Fabio
2
Bormetti, Giacomo
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Cheng, Yuyang
2
Cui, Zhenyu
2
De Marco, Stefano
2
Forde, Martin
2
Friz, Peter K.
2
Fukasawa, Masaaki
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Garces, Len Patrick Dominic M.
2
Glasserman, Paul
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2
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2
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2
Khashanah, Khaldoun
2
Kim, Jeong-Hoon
2
Liu, Xiaoquan
2
Martini, Claude
2
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Forecasting Financial Markets Conference <23.>
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Quantitative finance
NBER working paper series
1,054
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1,014
NBER Working Paper
876
Finance research letters
800
Energy economics
689
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604
International review of financial analysis
552
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535
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Pacific-Basin finance journal
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The European journal of finance
235
Working paper series / European Central Bank
213
International journal of finance & economics : IJFE
212
The journal of finance : the journal of the American Finance Association
211
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
209
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1
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
2
Collective synchronization and high frequency systemic instabilities in financial markets
Calcagnile, Lucio Maria
;
Bormetti, Giacomo
;
Treccani, …
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 237-247
Persistent link: https://www.econbiz.de/10011905911
Saved in:
3
Price impact and bursts in liquidity provision
Gençay, Ramazan
;
Mahmoodzadeh, S.
;
Rojček, Jakub
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
Saved in:
4
The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer
;
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1165-1178
Persistent link: https://www.econbiz.de/10012194752
Saved in:
5
Market impact : a systematic study of the high frequency options market
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Thillou, Damien
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 69-84
Persistent link: https://www.econbiz.de/10012424634
Saved in:
6
Characterizing financial crises using high-frequency data
Dungey, Mardi H.
;
Holloway, Jet
;
Yalaman, Abdullah
; …
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 743-760
Persistent link: https://www.econbiz.de/10013367856
Saved in:
7
Brexit news propagation in financial systems : multidimensional visibility networks for market
volatility
dynamics
De Giuli, Maria Elena
;
Flori, Andrea
;
Lazzari, Daniela
; …
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 973-995
Persistent link: https://www.econbiz.de/10013367878
Saved in:
8
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
9
Can
volatility
solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
10
Short-term
volatility
forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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