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Delta Hedging in Financial Eng...
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Kapitaleinkommen
Financial Engineering
441
trends
435
Financial engineering
334
Trends
259
Volatilität
246
Jumps
245
Volatility
245
jumps
217
Theorie
209
Theory
195
Optionspreistheorie
118
Option pricing theory
117
Portfolio selection
115
Portfolio-Management
114
Zeitreihenanalyse
114
Schätzung
108
Estimation
103
Time series analysis
101
Stochastischer Prozess
100
Capital income
99
Stochastic process
99
Derivat
90
Derivative
90
Börsenkurs
87
Risikomanagement
87
Hedging
86
Share price
82
Risk management
77
Finanzmarkt
66
Financial market
65
Finanzmathematik
64
Prognoseverfahren
62
Forecasting model
60
ARCH-Modell
55
ARCH model
54
World
52
Welt
51
financial engineering
49
Mathematical finance
48
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81
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15
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15
Graue Literatur
14
Non-commercial literature
14
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English
99
Author
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Todorov, Viktor
7
Tauchen, George Eugene
6
Li, Jia
5
Bollerslev, Tim
4
Ma, Feng
4
Caporin, Massimiliano
3
Chowdhury, Biplob
3
Heston, Steven L.
3
Jacobs, Kris
3
McCurdy, Thomas H.
3
Zhao, Xiaofei
3
Alitab, Dario
2
Andersen, Torben
2
Babaoğlu, Kadir
2
Bormetti, Giacomo
2
Będowska-Sójka, Barbara
2
Chernov, Mikhail
2
Christoffersen, Peter F.
2
Corsi, Fulvio
2
Davies, Robert
2
Dungey, Mardi H.
2
Gajurel, Dinesh
2
Jeon, Yoontae
2
Liang, Chao
2
Liao, Yin
2
Lilla, Francesca
2
Maheu, John M.
2
Majewski, Adam A.
2
Odusami, Babatunde Olatunji
2
Renò, Roberto
2
Rodriguez, Gabriel
2
Swanson, Norman R.
2
Vortelinos, Dimitrios I.
2
Xiong, Xiong
2
Yao, Wenying
2
Zviadadze, Irina
2
Abed Masrorkhah, Sara
1
Alexeev, Vitali
1
Asai, Manabu
1
Aït-Sahalia, Yacine
1
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Journal of financial economics
8
Journal of empirical finance
5
Journal of econometrics
4
Pacific-Basin finance journal
4
International journal of forecasting
3
International review of financial analysis
3
Journal of forecasting
3
Econometric reviews
2
Econometrics : open access journal
2
Economic modelling
2
Economics letters
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
2
Energy economics
2
Finance research letters
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of economic dynamics & control
2
Journal of financial econometrics
2
Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics
2
Applied economics
1
Applied financial economics
1
Australian journal of management
1
CFS working paper series
1
CREATES research paper
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Discussion paper
1
Discussion paper series / Tasmanian School of Business and Economics, University of Tasmania
1
Documento de trabajo
1
ECARES working paper
1
ERID working paper
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Economic systems
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Finance a úvěr
1
Finmap working paper
1
Global finance journal
1
International journal of financial engineering
1
International journal of financial research
1
International journal of monetary economics and finance
1
International review of economics & finance : IREF
1
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ECONIS (ZBW)
99
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1
Asymmetries in financial returns
Madan, Dilip B.
;
Wang, King
- In:
International journal of financial engineering
4
(
2017
)
4
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011807103
Saved in:
2
Optimal dynamic momentum strategies
Li, Kai
;
Liu, Jun
- In:
Operations research
70
(
2022
)
4
,
pp. 2054-2068
Persistent link: https://www.econbiz.de/10013366412
Saved in:
3
Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li
;
Liu, Xi-Hua
;
Xiong, Xiong
- In:
Pacific-Basin finance journal
55
(
2019
),
pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
Saved in:
4
How dynamic hedging affects stock price movements : evidence from German option and certificate markets
Fischer, Georg
-
2019
We examine the impact of dynamic hedging demand of German option and discount certificate markets on the autocorrelation of German stock price changes. We theoretically model the demand of liquidity providers in the discount certificate market, a structured financial product with a concave...
Persistent link: https://www.econbiz.de/10011960804
Saved in:
5
Pricing equity-bond covariance risk : between flight-to-quality and fear-of-missing-out
Perras, Patrizia Julia
;
Wagner, Niklas F.
- In:
Journal of economic dynamics & control
121
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012504140
Saved in:
6
Systemic co-
jumps
Caporin, Massimiliano
;
Kolokolov, Alexey
;
Renò, Roberto
-
2016
The simultaneous occurrence of
jumps
in several stocks can be associated with major financial news, triggers short …
Persistent link: https://www.econbiz.de/10011544772
Saved in:
7
Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?
Herrera Aramburú, Andrés
;
Rodriguez, Gabriel
- In:
International journal of monetary economics and finance
9
(
2016
)
1
,
pp. 45-66
Persistent link: https://www.econbiz.de/10011548319
Saved in:
8
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
9
Modeling financial contagion using mutually exciting jump processes
Aït-Sahalia, Yacine
;
Cacho-Diaz, Julio
;
Laeven, Roger J. A.
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 585-606
Persistent link: https://www.econbiz.de/10011480318
Saved in:
10
Data-driven jump detection thresholds for application in jump regressions
Davies, Robert
;
Tauchen, George Eugene
-
2015
jumps
over a grid of thresholds and selects the optimal threshold at what we term the “take-off” point in the estimated … number of
jumps
. We show that this method consistently estimates the
jumps
and their indices as the sampling interval goes to …
jumps
and its ability to distinguish between true
jumps
and large diffusive moves. In one of these Monte Carlo studies we …
Persistent link: https://www.econbiz.de/10011524214
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