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Stochastic process
Volatility
40,731
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Wechselkurs
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26,481
Theorie
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McAleer, Michael
66
Asai, Manabu
37
Koopman, Siem Jan
35
Todorov, Viktor
34
Chan, Joshua
33
Cui, Zhenyu
33
Chiarella, Carl
29
Clark, Todd E.
25
Mumtaz, Haroon
25
Escobar, Marcos
24
Barndorff-Nielsen, Ole E.
23
Shephard, Neil G.
23
Tauchen, George Eugene
23
Fouque, Jean-Pierre
21
Andersen, Torben
20
Carriero, Andrea
19
Nguyen, Duy
19
Yu, Jun
19
Marcellino, Massimiliano
18
Platen, Eckhard
18
Alòs, Elisa
17
Bos, Charles S.
17
Hafner, Christian M.
17
Martin, Gael M.
17
Rodriguez, Gabriel
17
Takahashi, Akihiko
17
Kang, Boda
16
Renò, Roberto
16
Wilfling, Bernd
16
Wong, Hoi Ying
16
Carr, Peter
15
Chan, Joshua C. C.
15
Grasselli, Martino
15
Jacquier, Antoine (Jack)
15
Benth, Fred Espen
14
Forde, Martin
14
Lucas, André
14
Renault, Eric
14
Caporin, Massimiliano
13
Corsi, Fulvio
13
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National Bureau of Economic Research
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Centre for Analytical Finance <Århus>
6
Chambre de commerce et d'industrie de Paris
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Nuffield College
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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International Center for Financial Asset Management and Engineering
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1
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Federal Reserve Bank of Cleveland
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1
Zentrum für Europäische Wirtschaftsforschung
1
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International journal of theoretical and applied finance
135
Journal of econometrics
104
Quantitative finance
88
Applied mathematical finance
61
Discussion paper / Tinbergen Institute
56
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
55
The journal of computational finance
50
Mathematical finance : an international journal of mathematics, statistics and financial theory
49
Computational economics
48
Finance and stochastics
47
Journal of economic dynamics & control
47
Econometric reviews
45
European journal of operational research : EJOR
39
Journal of mathematical finance
39
Working paper
37
Finance research letters
36
Insurance / Mathematics & economics
36
International journal of financial engineering
36
Journal of banking & finance
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
The journal of futures markets
32
Annals of finance
31
Energy economics
30
Journal of empirical finance
30
Research paper series / Swiss Finance Institute
30
Risks : open access journal
30
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
26
CAMA working paper series
24
Review of derivatives research
24
CREATES research paper
23
Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Economic modelling
21
Applied economics
20
NBER working paper series
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Journal of financial economics
19
Applied financial economics
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Econometrics : open access journal
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ECONIS (ZBW)
3,866
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1
Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic
volatility
Bos, Charles S.
-
2008
Persistent link: https://www.econbiz.de/10003645209
Saved in:
2
A range-based multivariate stochastic
volatility
model for exchange rates
Tims, Ben
;
Mahieu, Ronald J.
- In:
Econometric reviews
25
(
2006
)
2/3
,
pp. 409-424
Persistent link: https://www.econbiz.de/10003355802
Saved in:
3
Malliavin calculus for the estimation of the U.S. dollar/euro exchange rate when the
volatility
is stochastic
Abutaleb, Ahmed
;
Papaioannou, Michael G.
- In:
Global information technology and competitive financial …
,
(pp. 71-101)
.
2006
Persistent link: https://www.econbiz.de/10003380428
Saved in:
4
Poisson jumps and long memory
volatility
process in high frequency European exchange rates
Han, Young Wook
- In:
Seoul journal of economics
20
(
2007
)
2
,
pp. 202-222
Persistent link: https://www.econbiz.de/10003499986
Saved in:
5
Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic
volatility
Bos, Charles S.
-
2008
When analysing the
volatility
related to high frequency financial data, mostly non-parametric approaches based on … stochastic
volatility
. Estimation of the model delivers measures of daily variation outperforming their non …
Persistent link: https://www.econbiz.de/10011374428
Saved in:
6
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
1999
methods. The effects of several model characteristics(unit roots, GARCH, stochastic
volatility
, heavy tailed …
Persistent link: https://www.econbiz.de/10011302131
Saved in:
7
Daily exchange rate behaviour and hedging of currency risk
Bos, Charles S.
;
Mahieu, Ronald J.
;
Dijk, Herman K. van
-
2001
methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic
volatility
, heavy taileddisturbance …
Persistent link: https://www.econbiz.de/10011313921
Saved in:
8
Computational finance for stochastic
volatility
and correlation
Ma, Jun
- In:
Financial asset pricing : theory, global policy and dynamics
,
(pp. 123-152)
.
2011
Persistent link: https://www.econbiz.de/10009520341
Saved in:
9
Exchange rate returns standardized by realized
volatility
are (nearly) Gaussian
Andersen, Torben
(
contributor
)
- In:
Multinational finance journal : MF ; quarterly …
4
(
2000
)
3/4
,
pp. 159-179
Persistent link: https://www.econbiz.de/10001636380
Saved in:
10
A range-based multivariate model for exchange rate
volatility
Tims, Ben
(
contributor
);
Mahieu, Ronald J.
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001765941
Saved in:
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