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S&P 500 index option tests of...
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Volatility
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McAleer, Michael
98
Bollerslev, Tim
93
Gupta, Rangan
79
Diebold, Francis X.
69
Andersen, Torben
64
Härdle, Wolfgang
56
Chiarella, Carl
52
Cui, Zhenyu
46
Koopman, Siem Jan
45
Todorov, Viktor
43
Lux, Thomas
41
Caporin, Massimiliano
38
Christoffersen, Peter F.
38
Engle, Robert F.
38
Pierdzioch, Christian
38
Bahmani-Oskooee, Mohsen
37
Bekaert, Geert
37
Asai, Manabu
36
Caporale, Guglielmo Maria
36
Aizenman, Joshua
35
Ghysels, Eric
34
Herwartz, Helmut
34
Carr, Peter
32
Fernández-Villaverde, Jesús
32
Hautsch, Nikolaus
31
Aït-Sahalia, Yacine
29
Chang, Chia-Lin
29
Fengler, Matthias R.
29
Jacquier, Antoine (Jack)
29
Zhang, Jin E.
29
Bali, Turan G.
27
Hafner, Christian M.
27
Clark, Todd E.
26
Jacobs, Kris
26
Mumtaz, Haroon
26
Schlag, Christian
26
Andersen, Torben G.
25
Clements, Adam
25
Dijk, Dick van
25
Escobar, Marcos
25
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
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Federal Reserve Bank of St. Louis
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European University Institute / Department of Economics
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Svenska Handelshögskolan <Helsinki>
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Ekonomiska forskningsinstitutet <Stockholm>
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Federal Reserve Bank of New York
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Internationaler Währungsfonds / Research Department
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Rodney L. White Center for Financial Research
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Centre for Growth and Business Cycle Research <Manchester>
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Birkbeck College / Department of Economics
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Institute of Finance and Accounting <London>
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University of Canterbury / Dept. of Economics and Finance
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Chambre de commerce et d'industrie de Paris
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Federal Reserve System / Division of Research and Statistics
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Instituto Valenciano de Investigaciones Económicas
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Brown University / Department of Economics
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Center for Economic Research <Tilburg>
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New York Stock Exchange
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Sonderforschungsbereich 303 Information und die Koordination wirtschaftlicher Aktivitäten, Universität Bonn
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Springer Fachmedien Wiesbaden
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Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
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World Bank
3
Business Information Centre <Toronto>
2
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification <Paris>
2
Centre for Economic Policy Research
2
Centre of Financial Studies
2
Christian-Albrechts-Universität zu Kiel
2
Columbia University / Department of Economics
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Working paper / National Bureau of Economic Research, Inc.
296
The journal of futures markets
247
Journal of banking & finance
227
International journal of theoretical and applied finance
211
NBER working paper series
204
Finance research letters
176
NBER Working Paper
173
Journal of econometrics
172
Quantitative finance
156
Journal of empirical finance
132
Discussion paper / Centre for Economic Policy Research
130
The North American journal of economics and finance : a journal of financial economics studies
127
Energy economics
126
International review of economics & finance : IREF
123
Economic modelling
120
Economics letters
118
International review of financial analysis
116
Applied economics
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Journal of financial economics
114
The review of financial studies
112
Journal of economic dynamics & control
109
Working paper
109
Applied mathematical finance
107
Discussion paper / Tinbergen Institute
107
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
101
Applied financial economics
99
Mathematical finance : an international journal of mathematics, statistics and financial theory
98
Journal of international money and finance
92
The journal of finance : the journal of the American Finance Association
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The European journal of finance
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Computational economics
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International journal of forecasting
86
Applied economics letters
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Research paper series / Swiss Finance Institute
79
The journal of computational finance
75
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
74
Journal of international financial markets, institutions & money
73
Journal of financial and quantitative analysis : JFQA
72
Journal of risk and financial management : JRFM
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Finance and stochastics
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ECONIS (ZBW)
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EconStor
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RePEc
2
ArchiDok
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Other ZBW resources
1
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10
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16,755
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date (oldest first)
1
Post-'87 crash fears in S&P 500 futures options
Bates, David S.
-
1997
Persistent link: https://www.econbiz.de/10000619727
Saved in:
2
A simplified pricing model for volatility futures
Dupoyet, Brice
;
Daigler, Robert T.
;
Chen, Zhiyao
- In:
The journal of futures markets
31
(
2011
)
4
,
pp. 307-339
Persistent link: https://www.econbiz.de/10008908397
Saved in:
3
A simple nonparametric approach to derivative security valuation
Stutzer, Michael J.
- In:
The journal of finance : the journal of the American …
51
(
1996
)
5
,
pp. 1633-1652
Persistent link: https://www.econbiz.de/10001211779
Saved in:
4
Recovering probability distributions from option prices
Jackwerth, Jens Carsten
- In:
The journal of finance : the journal of the American …
51
(
1996
)
5
,
pp. 1611-1631
Persistent link: https://www.econbiz.de/10001211781
Saved in:
5
The price of a smile : hedging and spanning in option markets
Buraschi, Andrea
(
contributor
); …
-
1999
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700533
Saved in:
6
The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun
- In:
Journal of financial economics
63
(
2002
)
1
,
pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
Saved in:
7
The price of a smile : hedging and spanning in option markets
Buraschi, Andrea
;
Jackwerth, Jens Carsten
- In:
The review of financial studies
14
(
2001
)
2
,
pp. 495-527
Persistent link: https://www.econbiz.de/10001570577
Saved in:
8
The economic value of volatility timing
Fleming, Jeff
;
Kirby, Chris
;
Ostdiek, Barbara
- In:
The journal of finance : the journal of the American …
56
(
2001
)
1
,
pp. 329-352
Persistent link: https://www.econbiz.de/10001575075
Saved in:
9
Post-'87 crash fears in the S&P 500 futures option market
Bates, David S.
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 181-238
Persistent link: https://www.econbiz.de/10001437755
Saved in:
10
Volatility estimation for stock index options : a GARCH approach
Chu, Shin-herng
- In:
The quarterly review of economics and finance : journal …
36
(
1996
)
4
,
pp. 431-450
Persistent link: https://www.econbiz.de/10001214235
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