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Volatility and variance swaps...
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Time series analysis
Volatility
40,917
Volatilität
40,649
Theorie
21,357
Theory
20,848
Stochastischer Prozess
17,211
Stochastic process
16,770
Optionspreistheorie
14,810
Option pricing theory
14,351
Börsenkurs
9,986
Share price
9,825
Schätzung
9,672
Estimation
9,454
Kapitaleinkommen
7,524
Capital income
7,494
ARCH-Modell
6,669
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6,595
Aktienmarkt
6,021
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5,958
USA
5,375
Welt
5,262
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5,203
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5,161
Wechselkurs
4,803
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4,701
Prognoseverfahren
4,337
Forecasting model
4,268
Portfolio-Management
4,247
Portfolio selection
4,216
Zeitreihenanalyse
4,135
Derivat
3,758
Derivative
3,750
Risk
3,727
Risiko
3,693
Optionsgeschäft
3,389
Option trading
3,364
CAPM
2,749
volatility
2,646
Finanzmarkt
2,590
Financial market
2,526
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1,500
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1,221
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Koopman, Siem Jan
57
McAleer, Michael
57
Caporale, Guglielmo Maria
54
Gil-Alaña, Luis A.
54
Härdle, Wolfgang
42
Phillips, Peter C. B.
42
Lux, Thomas
37
Gupta, Rangan
33
Bollerslev, Tim
30
Gao, Jiti
27
Hafner, Christian M.
27
Lucas, André
27
Andersen, Torben
24
Taylor, Robert
24
Chan, Joshua
22
Tauchen, George Eugene
21
Hallin, Marc
20
Todorov, Viktor
20
Sibbertsen, Philipp
19
Asai, Manabu
18
Blasques, Francisco
18
Chang, Chia-Lin
18
Dijk, Dick van
18
Rodriguez, Gabriel
18
Bos, Charles S.
16
Caporin, Massimiliano
16
Kim, Donggyu
16
Yu, Jun
16
Hansen, Peter Reinhard
15
Hounyo, Ulrich
15
Li, Jia
15
Lütkepohl, Helmut
15
Teräsvirta, Timo
15
Bauwens, Luc
14
Cavaliere, Giuseppe
14
Hautsch, Nikolaus
14
Allen, David E.
13
Barigozzi, Matteo
13
Harvey, Andrew C.
13
Kilian, Lutz
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>
7
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
6
Ekonomiska forskningsinstitutet <Stockholm>
5
Centre for Growth and Business Cycle Research <Manchester>
4
Gottfried Wilhelm Leibniz Universität Hannover
3
Université de Montréal / Département de sciences économiques
3
Christian-Albrechts-Universität zu Kiel
2
Econometrisch Instituut <Rotterdam>
2
European University Institute / Department of Economics
2
Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
2
Springer International Publishing
2
Aarhus Universitet / Afdeling for Nationaløkonomi
1
Bundesanstalt für Geowissenschaften und Rohstoffe
1
Business Information Centre <Toronto>
1
Center for Economic Research <Tilburg>
1
Centre for Quantitative Economics & Computing
1
Chambre de commerce et d'industrie de Paris
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
EconWPA
1
European University Institute / Department of Law
1
Hamburgisches WeltWirtschaftsInstitut
1
Institut for Finansiering <Frederiksberg>
1
Institute of Finance and Accounting <London>
1
International Statistical Institute
1
International Workshop on Statistics and Finance <1999, Hongkong>
1
Internationaler Währungsfonds / Asia and Pacific Department
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Internationaler Währungsfonds / Western Hemisphere Department
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Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Leonard N. Stern School of Business / Information Systems Department
1
London School of Economics and Political Science
1
New York University / Mathematical Finance Seminar
1
New York University Mathematical Finance Seminar
1
Nuffield College
1
Queen Mary College / Department of Economics
1
Rodney L. White Center for Financial Research
1
School of Accounting, Finance and Economics <Perth, Western Australia>
1
Springer Fachmedien Wiesbaden
1
Thailand Econometric Society
1
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Journal of econometrics
141
Discussion paper / Tinbergen Institute
95
Energy economics
77
International journal of forecasting
66
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
66
Economic modelling
65
Econometric reviews
50
Journal of empirical finance
49
Finance research letters
47
Economics letters
46
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
43
Journal of forecasting
37
Applied economics
36
CREATES research paper
36
Econometric theory
34
International review of financial analysis
32
Quantitative finance
32
The North American journal of economics and finance : a journal of financial economics studies
32
Working paper
32
Computational economics
30
International review of economics & finance : IREF
30
Journal of financial econometrics
27
Journal of risk and financial management : JRFM
27
Journal of banking & finance
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
Research in international business and finance
24
SFB 649 discussion paper
24
Working paper / Department of Econometrics and Business Statistics, Monash University
24
Applied economics letters
23
Econometrics : open access journal
20
Journal of economic dynamics & control
20
CESifo working papers
19
The econometrics journal
19
CAMA working paper series
18
Journal of applied econometrics
17
Applied financial economics
16
Economics working paper
16
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
16
Cowles Foundation discussion paper
15
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
15
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ECONIS (ZBW)
4,015
RePEc
2
Showing
1
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10
of
4,017
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date (oldest first)
1
Purely discontinuous Lévy processes and power variation : inference for integrated
volatility
and the scale parameter
Woerner, Jeannette H. C.
-
2003
Persistent link: https://www.econbiz.de/10009581651
Saved in:
2
Volatility
is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
Saved in:
3
Volatility
is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
Saved in:
4
On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
Saved in:
5
Implied filtering densities on the hidden state of stochastic
volatility
Fuertes, Carlos
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
Saved in:
6
Modeling intraday stochastic
volatility
and conditional duration contemporaneously with regime shifts
Trojan, Sebastian
-
2014
Persistent link: https://www.econbiz.de/10010437483
Saved in:
7
Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.
;
Shephard, Neil G.
-
2000
Persistent link: https://www.econbiz.de/10009581672
Saved in:
8
Stochastic dynamical modelling of spot freight rates
Benth, Fred Espen
;
Koekebakker, Steen
;
Taib, Che Mohd …
- In:
IMA journal of management mathematics
26
(
2015
)
3
,
pp. 273-297
Persistent link: https://www.econbiz.de/10011405425
Saved in:
9
Long-memory version of stochastic
volatility
jump-diffusion model with stochastic intensity
Fallah, Somayeh
;
Mehrdoust, Farshid
- In:
Estudios de economía aplicada : revista promovida por …
38
(
2020
)
2
,
pp. 109-120
Persistent link: https://www.econbiz.de/10012616833
Saved in:
10
Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina
;
Wong, Patrick
- In:
Energy economics
108
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
Saved in:
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