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Stochastic Volatility and Stoc...
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Risk
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3,365
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3,343
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78
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26
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20
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17
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16
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16
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15
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15
Veronesi, Pietro
15
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14
Kelly, Bryan T.
14
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13
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13
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11
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10
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9
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9
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9
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8
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Finance research letters
114
Energy economics
81
Insurance / Mathematics & economics
62
European journal of operational research : EJOR
60
International review of financial analysis
53
The North American journal of economics and finance : a journal of financial economics studies
50
International review of economics & finance : IREF
41
NBER working paper series
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Journal of banking & finance
32
Economics letters
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NBER Working Paper
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Journal of financial economics
28
Research in international business and finance
28
International journal of theoretical and applied finance
26
Journal of empirical finance
26
Applied economics letters
24
Risks : open access journal
24
CESifo working papers
23
Management science : journal of the Institute for Operations Research and the Management Sciences
23
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
22
Department of Economics working paper series
21
Journal of international financial markets, institutions & money
21
Journal of risk and financial management : JRFM
21
Pacific-Basin finance journal
21
Quantitative finance
21
Finance and stochastics
20
Journal of international money and finance
20
Discussion paper / Centre for Economic Policy Research
19
Journal of economic dynamics & control
19
The review of financial studies
19
Discussion papers / CEPR
18
International journal of finance & economics : IJFE
16
Research paper series / Swiss Finance Institute
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The European journal of finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
3,766
RePEc
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Other ZBW resources
4
EconStor
2
BASE
1
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1
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen
;
Kutrolli, Gleda
;
Stefani, Silvana
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Saved in:
2
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
3
Uncertain
volatility
derivative model based on the polynomial chaos
Drakos, Stefanos
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
Saved in:
4
Option pricing via maximization over uncertainty and correction of
volatility
smile
Dokučaev, Nikolaj G.
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 507-524
Persistent link: https://www.econbiz.de/10009269369
Saved in:
5
Tractable hedging with additional hedge instruments
Branger, Nicole
;
Mahayni, Antje
- In:
Review of derivatives research
14
(
2011
)
1
,
pp. 85-114
Persistent link: https://www.econbiz.de/10009272489
Saved in:
6
An investigation of model risk in a market with jumps and stochastic
volatility
Coqueret, Guillaume
- In:
European journal of operational research : EJOR
253
(
2016
)
3
,
pp. 648-658
Persistent link: https://www.econbiz.de/10011493990
Saved in:
7
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:
8
Financial markets with
volatility
uncertainty
Vorbrink, Jörg
- In:
Journal of mathematical economics
53
(
2014
),
pp. 64-78
Persistent link: https://www.econbiz.de/10011297142
Saved in:
9
Option Prices in a Model with Stochastic Disaster Risk
Seo, Sang Byung
-
2013
the mean and
volatility
of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … turns out to be crucial to the model's ability to explain both equity
volatility
and option prices. We explore different …
Persistent link: https://www.econbiz.de/10013073202
Saved in:
10
Time-Varying Uncertainty and Jump Intensities : Why Should Variance Jumps Be Different?
Kraftschik, Alexander
-
2017
uncertainty of the underlying. Transferring this intuition to
volatility
jumps requires that in affine models the variance jump …
Persistent link: https://www.econbiz.de/10012957054
Saved in:
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