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Volatility
Stochastischer Prozess
16,868
Stochastic process
16,691
Theorie
9,412
Theory
9,400
Volatilität
3,810
Optionspreistheorie
3,186
Option pricing theory
3,180
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2,076
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1,425
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1,393
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1,012
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1,012
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874
Markov-Kette
874
Risk
808
Risiko
803
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742
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659
Share price
657
Statistical distribution
656
Statistische Verteilung
656
Prognoseverfahren
655
Forecasting model
654
Derivat
639
Derivative
639
Monte-Carlo-Simulation
590
Monte Carlo simulation
589
United States
582
USA
581
CAPM
565
Dynamic programming
559
Bayesian inference
558
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557
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557
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1,499
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McAleer, Michael
66
Asai, Manabu
37
Koopman, Siem Jan
35
Chan, Joshua
34
Todorov, Viktor
34
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
Alòs, Elisa
18
Marcellino, Massimiliano
18
Platen, Eckhard
18
Bos, Charles S.
17
Hafner, Christian M.
17
Martin, Gael M.
17
Renò, Roberto
17
Rodriguez, Gabriel
17
Takahashi, Akihiko
17
Kang, Boda
16
Wong, Hoi Ying
16
Chan, Joshua C. C.
15
Grasselli, Martino
15
Jacquier, Antoine (Jack)
15
Benth, Fred Espen
14
Carr, Peter
14
Forde, Martin
14
Lucas, André
14
Renault, Eric
14
Caporin, Massimiliano
13
Corsi, Fulvio
13
Fabozzi, Frank J.
13
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National Bureau of Economic Research
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Centre for Analytical Finance <Århus>
6
Chambre de commerce et d'industrie de Paris
3
Nuffield College
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
2
International Center for Financial Asset Management and Engineering
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University of Canterbury / Dept. of Economics and Finance
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Econometrisch Instituut <Rotterdam>
1
Ekonomiska forskningsinstitutet <Stockholm>
1
Erasmus Research Institute of Management
1
Federal Reserve Bank of Cleveland
1
Queen Mary College / Department of Economics
1
Rodney L. White Center for Financial Research
1
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
1
University of British Columbia / Finance Division
1
University of Chicago / Graduate School of Business
1
University of Exeter / Department of Economics
1
Universität Ulm
1
Université de Montréal / Département de sciences économiques
1
Weierstraß-Institut für Angewandte Analysis und Stochastik
1
Zentrum für Europäische Wirtschaftsforschung
1
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International journal of theoretical and applied finance
135
Journal of econometrics
104
Quantitative finance
89
Applied mathematical finance
63
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Discussion paper / Tinbergen Institute
56
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
44
Finance research letters
40
European journal of operational research : EJOR
39
Journal of mathematical finance
38
Working paper
36
Insurance / Mathematics & economics
35
International journal of financial engineering
35
Journal of banking & finance
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
32
Annals of finance
31
The journal of futures markets
31
Energy economics
30
Journal of empirical finance
30
Risks : open access journal
30
Research paper series / Swiss Finance Institute
29
Economics letters
27
The North American journal of economics and finance : a journal of financial economics studies
27
CAMA working paper series
24
Review of derivatives research
24
Journal of risk and financial management : JRFM
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
CREATES research paper
22
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
22
Applied economics
21
Economic modelling
20
Econometrics : open access journal
18
Journal of financial economics
18
NBER working paper series
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The European journal of finance
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ECONIS (ZBW)
3,804
RePEc
3
Showing
1
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10
of
3,807
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date (newest first)
date (oldest first)
1
Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
-
2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
Saved in:
2
Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
Saved in:
3
R 2 and idiosyncratic risk are not interchangeable
Li, Bin
;
Rajgopal, Shivaram
;
Venkatachalam, Mohan
- In:
The accounting review : a publication of the American …
89
(
2014
)
6
,
pp. 2261-2295
Persistent link: https://www.econbiz.de/10010469131
Saved in:
4
Disentangled jump-robust realized covariances and correlations with non-synchronous prices
Vander Elst, Harry
;
Veredas, David
-
2014
Persistent link: https://www.econbiz.de/10010418993
Saved in:
5
Noisy news and exchange rates : a SVAR approach
Redl, Chris
- In:
Journal of international money and finance
58
(
2015
),
pp. 150-171
Persistent link: https://www.econbiz.de/10011478251
Saved in:
6
A note on the behavior of Chinese commodity markets
Fan, John Hua
;
Todorova, Neda
- In:
Finance research letters
38
(
2021
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012485380
Saved in:
7
Sensitivity analysis of market and stock returns by considering positive and negative jumps
Theodosiadou, Qurania
;
Polimenis, Vassilis
;
Tsaklidis, …
- In:
Journal of risk finance : the convergence of financial …
17
(
2016
)
4
,
pp. 456-472
Persistent link: https://www.econbiz.de/10011572490
Saved in:
8
Fake news
Brigida, Matt
;
Pratt, William R.
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 564-573
Persistent link: https://www.econbiz.de/10011938199
Saved in:
9
Forecasting the realized volatility in the Chinese stock market : further evidence
Pu, Wang
;
Chen, Yixiang
;
Ma, Feng
- In:
Applied economics
48
(
2016
)
31/33
,
pp. 3116-3130
Persistent link: https://www.econbiz.de/10011616957
Saved in:
10
Modeling volatility risk in equity options market : a statistical approach
Dobi, Doris
;
Avellaneda, Marco
- In:
Options - 45 years since the publication of the …
,
(pp. 257-292)
.
2023
Persistent link: https://www.econbiz.de/10014366655
Saved in:
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