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Testing the Implied Volatility...
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ARCH model
Bank
65,122
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40,916
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McAleer, Michael
125
Gupta, Rangan
70
Ma, Feng
65
Chang, Chia-Lin
64
Bouri, Elie
43
Bauwens, Luc
34
Engle, Robert F.
34
Caporale, Guglielmo Maria
33
Zhang, Yaojie
33
Kumar, Dilip
32
Hansen, Peter Reinhard
26
McMillan, David G.
26
Teräsvirta, Timo
25
Wang, Yudong
24
Hafner, Christian M.
23
Kang, Sang Hoon
23
Liang, Chao
23
Bollerslev, Tim
22
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22
Herwartz, Helmut
22
Wei, Yu
22
Hammoudeh, Shawkat
21
Mittnik, Stefan
21
Wu, Xinyu
21
Conrad, Christian
20
Salisu, Afees A.
20
Serletis, Apostolos
20
Silvennoinen, Annastiina
20
Stentoft, Lars
20
Tiwari, Aviral Kumar
20
Yoon, Seong-min
20
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19
Degiannakis, Stavros
19
Floros, Christos
19
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19
Laurent, Sébastien
19
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19
Spagnolo, Nicola
19
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18
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18
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8
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4
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4
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3
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2
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2
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2
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1
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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1
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1
Springer Fachmedien Wiesbaden
1
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1
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1
University of Strathclyde / Department of Economics
1
Universität Bremen / Fachbereich Wirtschaftswissenschaft
1
Université de Genève / Institut de hautes études internationales
1
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Energy economics
228
Finance research letters
163
International review of financial analysis
115
Economic modelling
112
Applied economics
109
The North American journal of economics and finance : a journal of financial economics studies
106
International review of economics & finance : IREF
99
Research in international business and finance
99
Journal of empirical finance
95
Journal of international financial markets, institutions & money
77
Journal of risk and financial management : JRFM
70
Journal of econometrics
67
Applied financial economics
66
Journal of banking & finance
66
International journal of forecasting
64
Journal of forecasting
57
Discussion paper / Tinbergen Institute
54
The journal of futures markets
54
Applied economics letters
52
Economics letters
52
International Journal of Energy Economics and Policy : IJEEP
50
International journal of finance & economics : IJFE
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
46
The European journal of finance
43
Journal of financial econometrics : official journal of the Society for Financial Econometrics
42
Working paper
42
Econometric Institute research papers
40
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
39
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
35
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
33
International journal of economics and financial issues : IJEFI
33
International journal of economics and finance
32
Cogent economics & finance
30
Review of quantitative finance and accounting
30
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
29
Pacific-Basin finance journal
29
The empirical economics letters : a monthly international journal of economics
29
Journal of international money and finance
28
Computational economics
26
Risks : open access journal
26
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ECONIS (ZBW)
6,690
RePEc
4
ArchiDok
2
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date (newest first)
date (oldest first)
1
A risk model to compute the
volatility
and the need for collateral margins in energy futures contracts in Brazil
Argento, Pedro
;
Klotzle, Marcelo Cabus
;
Pinto, Antônio …
- In:
International journal of energy sector management
16
(
2022
)
3
,
pp. 448-468
Persistent link: https://www.econbiz.de/10013345666
Saved in:
2
The co-integration of CDS and bonds in time-varying
volatility
dynamics : do credit risk swaps lower bond risks?
Li, Leon
;
Scrimgeour, Frank G.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
Saved in:
3
The rise and fall of S&P500 variance futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
- In:
The North American journal of economics and finance : a …
25
(
2013
),
pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
Saved in:
4
Resolution of policy uncertainty and sudden declines in
volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
5
Volatility
relation between credit default
swap
and stock market : new empirical tests
Mateev, Miroslav
- In:
Journal of economics and finance
43
(
2019
)
4
,
pp. 681-712
Persistent link: https://www.econbiz.de/10012385165
Saved in:
6
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
7
Distilling private information from plain-vanilla options to predict future underlying stock price
volatility
: evidence from the H-shares of Chinese banks
Koutmos, Dimitrios
- In:
Research in international business and finance
37
(
2016
),
pp. 391-405
Persistent link: https://www.econbiz.de/10011595294
Saved in:
8
A new bivariate approach for modeling the interaction between stock
volatility
and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
9
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:
10
Volatility
transmission across the term structure of
swap
markets : international evidence
Abad, Pilar
;
Novales, Alfonso
- In:
Applied financial economics
14
(
2004
)
14
,
pp. 1045-1058
Persistent link: https://www.econbiz.de/10002377770
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