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Rough-heston local-volatility...
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Schätzung
Volatility
42,752
Volatilität
42,506
Theorie
26,572
Theory
26,060
Stochastischer Prozess
19,165
Stochastic process
18,719
Optionspreistheorie
15,363
Option pricing theory
14,903
Börsenkurs
10,576
Share price
10,414
Estimation
10,123
Markov chain
9,293
Markov-Kette
9,014
ARCH-Modell
7,466
ARCH model
7,390
Kapitaleinkommen
7,377
Capital income
7,345
Aktienmarkt
5,850
Stock market
5,784
Welt
5,782
World
5,685
USA
5,531
Zeitreihenanalyse
5,473
Portfolio-Management
5,443
Portfolio selection
5,414
United States
5,366
Time series analysis
5,356
Wechselkurs
5,183
Exchange rate
5,080
Prognoseverfahren
5,009
Forecasting model
4,938
Risk
4,904
Risiko
4,878
Optionsgeschäft
4,549
Option trading
4,529
Derivat
3,917
Derivative
3,908
Schätztheorie
3,734
Estimation theory
3,690
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Free
3,944
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2,942
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Article
5,820
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4,532
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5,554
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286
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259
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55
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31
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19
Sammelwerk
19
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10
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8
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8
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8
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6
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5
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5
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4
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3
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2
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1
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10,138
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192
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6
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McAleer, Michael
86
Gupta, Rangan
84
Caporale, Guglielmo Maria
60
Pierdzioch, Christian
50
Hautsch, Nikolaus
43
Härdle, Wolfgang
41
Gil-Alaña, Luis A.
39
Todorov, Viktor
39
Bollerslev, Tim
38
Döpke, Jörg
35
Herwartz, Helmut
35
Belke, Ansgar
34
Koopman, Siem Jan
33
Bahmani-Oskooee, Mohsen
32
Ma, Feng
32
Engle, Robert F.
31
Asai, Manabu
28
Balcilar, Mehmet
28
Chan, Joshua
27
Lux, Thomas
27
Wohar, Mark E.
27
Buch, Claudia M.
26
Cheung, Yin-Wong
26
Chang, Chia-Lin
25
Dijk, Dick van
23
Andersen, Torben
22
Kelly, Bryan T.
22
Rodriguez, Gabriel
22
Hafner, Christian M.
21
Lütkepohl, Helmut
21
Conrad, Christian
20
Marcellino, Massimiliano
20
Kumar, Dilip
19
Mittnik, Stefan
19
Pesaran, M. Hashem
19
Spagnolo, Nicola
19
Tauchen, George Eugene
19
Aghion, Philippe
18
Miller, Stephen M.
18
Diebold, Francis X.
17
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National Bureau of Economic Research
92
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
23
Federal Reserve Bank of St. Louis
6
Institut für Weltwirtschaft
6
University of Canterbury / Dept. of Economics and Finance
6
Forschungsinstitut zur Zukunft der Arbeit
5
Centre for Analytical Finance <Århus>
4
Ekonomiska forskningsinstitutet <Stockholm>
3
Federal Reserve Bank of Cleveland
3
Federal Reserve Bank of New York
3
Kansantaloustieteen Laitos <Tampere>
3
Springer Fachmedien Wiesbaden
3
Verlag Dr. Kovač
3
Australian National University / Faculty of Economics and Commerce
2
Bonn Graduate School of Economics
2
Centre for Economic Policy Research
2
Chambre de commerce et d'industrie de Paris
2
Goethe-Universität Frankfurt am Main
2
Institute of European Finance <Bangor, Gwynedd>
2
Internationaler Währungsfonds / Research Department
2
Queen Mary College / Department of Economics
2
Rodney L. White Center for Financial Research
2
Shaker Verlag
2
Suntory-Toyota International Centre for Economics and Related Disciplines
2
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
2
University of Reading / Department of Economics
2
University of Strathclyde / Department of Economics
2
Universität Hannover / Wirtschaftswissenschaftliche Fakultät
2
Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
2
Volkswirtschaftliches Forschungszentrum <Frankfurt, Main>
2
Aarhus Universitet / Afdeling for Nationaløkonomi
1
American Enterprise Institute for Public Policy Research
1
Bank of Communications <Schanghai> / Financial Research Center / Research Group
1
Berliner Handels- und Frankfurter Bank
1
Birkbeck College / Department of Economics
1
Boston College / Department of Economics
1
Brandenburgische Technische Universität Cottbus / Lehrstuhl Energiewirtschaft
1
Bundesanstalt für Geowissenschaften und Rohstoffe
1
Business Information Centre <Toronto>
1
Center for Economic Analysis of Human Behavior and Social Institutions, National Bureau of Economic Research, inc.
1
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Journal of econometrics
155
Applied economics
142
Economic modelling
132
Energy economics
129
Finance research letters
119
International review of economics & finance : IREF
105
Economics letters
95
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
95
Working paper
95
Journal of empirical finance
93
Journal of banking & finance
91
The North American journal of economics and finance : a journal of financial economics studies
91
International review of financial analysis
89
NBER working paper series
89
The journal of futures markets
88
Working paper / National Bureau of Economic Research, Inc.
88
Applied economics letters
86
Applied financial economics
86
NBER Working Paper
83
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
77
Discussion paper / Tinbergen Institute
74
Journal of international money and finance
67
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
67
International journal of forecasting
63
CESifo working papers
61
Discussion paper / Centre for Economic Policy Research
57
The European journal of finance
57
Journal of international financial markets, institutions & money
56
International journal of finance & economics : IJFE
55
Research in international business and finance
48
Econometric reviews
47
Journal of economic dynamics & control
47
Journal of risk and financial management : JRFM
46
Journal of financial economics
43
SFB 649 discussion paper
43
International journal of economics and finance
41
Journal of financial econometrics : official journal of the Society for Financial Econometrics
41
Journal of applied econometrics
40
Journal of forecasting
40
Discussion paper
36
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Source
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ECONIS (ZBW)
10,112
EconStor
232
USB Cologne (EcoSocSci)
6
USB Cologne (business full texts)
1
OLC EcoSci
1
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1
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
2
Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun
;
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Shyu, …
- In:
Review of quantitative finance and accounting
56
(
2021
)
1
,
pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
Saved in:
3
Impact of
volatility
jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
4
Regime-switching stochastic
volatility
model : estimation and calibration to VIX options
Goutte, Stéphane
;
Ismail, Amine
;
Pham, Huyên
- In:
Applied mathematical finance
24
(
2017
)
1/2
,
pp. 38-75
Persistent link: https://www.econbiz.de/10011746993
Saved in:
5
Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of banking & finance
83
(
2017
),
pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
Saved in:
6
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
7
Estimating stochastic
volatility
with jumps and asymmetry in Asian markets
Saranya, K.
;
Prasanna, P. Krishna
- In:
Finance research letters
25
(
2018
),
pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
Saved in:
8
Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.
;
Ramezani, Cyrus A.
- In:
Annals of financial economics
9
(
2014
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
Saved in:
9
Humps in the
volatility
structure of the crude oil futures market : new evidence
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
Energy economics
40
(
2013
),
pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
Saved in:
10
A fractal version of the Hull-White interest rate model
Hainaut, Donatien
- In:
Economic modelling
31
(
2013
),
pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
Saved in:
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