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Statistische Verteilung
Volatility
40,945
Volatilität
40,677
Theorie
18,064
Theory
17,563
Optionspreistheorie
14,814
Option pricing theory
14,355
ARCH-Modell
10,588
Schätzung
10,536
ARCH model
10,407
Börsenkurs
10,317
Estimation
10,288
Share price
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Kapitaleinkommen
8,341
Capital income
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World
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5,144
Forecasting model
5,071
Wechselkurs
4,878
Exchange rate
4,778
Zeitreihenanalyse
4,434
Time series analysis
4,314
Portfolio-Management
4,077
Portfolio selection
4,045
Risk
3,772
Risiko
3,734
Schätztheorie
3,634
Estimation theory
3,566
Optionsgeschäft
3,347
Derivat
3,345
Derivative
3,335
Option trading
3,325
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Free
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Dijk, Herman K. van
49
Ravazzolo, Francesco
45
Fabozzi, Frank J.
43
Härdle, Wolfgang
39
Račev, Svetlozar T.
38
Opschoor, Anne
34
Lucas, André
33
McAleer, Michael
33
Casarin, Roberto
30
Hoogerheide, Lennart
30
Mitchell, James
30
Paolella, Marc S.
30
Einmahl, John H. J.
29
Nadarajah, Saralees
27
Phillips, Peter C. B.
27
Hoogerheide, Lennart F.
26
Landsman, Zinoviy
25
Bottazzi, Giulio
24
Linton, Oliver
24
Ardia, David
23
Griffiths, William E.
23
Swanson, Norman R.
22
Corradi, Valentina
21
Koopman, Siem Jan
20
Kotz, Samuel
20
Perote, Javier
20
Diebold, Francis X.
19
Fischer, Matthias
19
Bollerslev, Tim
18
Dijk, Dick van
18
Fagiolo, Giorgio
18
Furman, Edward
18
Grassi, Stefano
18
Kim, Young Shin
18
Lux, Thomas
18
Madan, Dilip B.
18
Segers, Johan
18
Wu, Ximing
18
Okhrin, Yarema
17
van Dijk, H. K.
17
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National Bureau of Economic Research
50
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
17
Center for Economic Research <Tilburg>
7
London School of Economics and Political Science
6
European University Institute / Department of Economics
5
Centre for Analytical Finance <Århus>
4
Econometrisch Instituut <Rotterdam>
4
Rutgers University / Department of Economics
4
Scuola superiore Sant'Anna di studi universitari e di perfezionamento / Laboratory of Economics and Management
4
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
3
Federal Reserve Bank of Cleveland
3
Federal Reserve Bank of St. Louis
3
Robert Schuman Centre for Advanced Studies
3
State University of New York at Albany / Department of Economics
3
University of California Davis / Department of Economics
3
University of Cambridge / Department of Applied Economics
3
University of Cambridge / Faculty of Economics
3
University of Canterbury / Dept. of Economics and Finance
3
University of York / Department of Economics and Related Studies
3
World Bank
3
Boston College / Department of Economics
2
California Agricultural Experiment Station / Department of Agricultural and Resource Economics
2
Centre for Microdata Methods and Practice <London>
2
Chamber of Commerce of the United States of America
2
Deutsches Institut für Wirtschaftsforschung
2
Federal Reserve Bank of Chicago
2
Federal Reserve Bank of New York
2
International Center for Financial Asset Management and Engineering
2
OECD
2
Suntory-Toyota International Centre for Economics and Related Disciplines
2
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
2
The Wharton Financial Institutions Center
2
Trinity College Dublin / Department of Economics
2
Umeå Universitet / Institutionen för Nationalekonomi
2
Universitat Pompeu Fabra / Departament d'Economia i Empresa
2
University of California, San Diego / Department of Economics
2
University of New England / Department of Econometrics
2
University of Southampton / Department of Economics
2
University of Warwick / Department of Economics
2
Arbeitsmarktservice Österreich
1
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Insurance / Mathematics & economics
195
Journal of econometrics
169
Discussion paper / Tinbergen Institute
115
Economics letters
97
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
84
International journal of forecasting
83
Risks : open access journal
79
European journal of operational research : EJOR
67
International journal of theoretical and applied finance
62
Econometric reviews
59
Journal of banking & finance
56
Finance research letters
53
Applied economics
51
Econometric theory
51
Working paper
44
Discussion paper / Center for Economic Research, Tilburg University
43
Journal of forecasting
43
NBER Working Paper
43
Applied economics letters
42
Economic modelling
42
NBER working paper series
42
Tinbergen Institute Discussion Paper
42
CEMMAP working papers / Centre for Microdata Methods and Practice
41
Quantitative finance
41
The journal of operational risk
41
Working paper / National Bureau of Economic Research, Inc.
41
Computational economics
40
Journal of empirical finance
40
Working papers
40
Scandinavian actuarial journal
38
International review of financial analysis
37
Statistical papers
37
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
35
Journal of applied econometrics
34
Journal of the American Statistical Association : JASA
34
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
34
The European journal of finance
33
Journal of economic dynamics & control
31
Management science : journal of the Institute for Operations Research and the Management Sciences
31
Research paper series / Swiss Finance Institute
31
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ECONIS (ZBW)
8,285
EconStor
221
OLC EcoSci
4
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1
Option valuation with
volatility
components, fat tails, and nonlinear pricing kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
-
2015
Persistent link: https://www.econbiz.de/10011398641
Saved in:
2
Skewed generalized error distribution of financial assets and option pricing
Theodossiou, Panayiotis
- In:
Multinational finance journal : MF ; quarterly …
19
(
2015
)
3/4
,
pp. 223-266
Persistent link: https://www.econbiz.de/10011434223
Saved in:
3
Model-based pricing for financial derivatives
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Saved in:
4
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
5
Option Valuation with
Volatility
Components, Fat Tails, and Non-Monotonic Pricing Kernels
Babaoglu, Kadir
-
2017
We nest multiple
volatility
components, fat tails and a U-shaped pricing kernel in a single option model and compare … two-factor models. A second
volatility
component improves the option fit by 9% on average. Fat tails improve option fit by …
Persistent link: https://www.econbiz.de/10012970627
Saved in:
6
Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?
Pan, Ging-Ginq
;
Shiu, Yung-Ming
;
Wu, Tu-Cheng
- In:
Journal of financial markets
57
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013188762
Saved in:
7
Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying
volatility
Hodoshima, Jiro
;
Yamawake, Toshiyuki
- In:
Finance research letters
28
(
2019
),
pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
Saved in:
8
Option valuation with
volatility
components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir
;
Christoffersen, Peter F.
;
Heston, …
- In:
Review of asset pricing studies
8
(
2018
)
2
,
pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Saved in:
9
Calibrating the Italian smile with time-varying
volatility
and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
10
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
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