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~subject:"Volatility"
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Volatility
Theorie
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McAleer, Michael
78
Asai, Manabu
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Chiarella, Carl
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Koopman, Siem Jan
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Chan, Joshua
34
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34
Cui, Zhenyu
33
Clark, Todd E.
25
Escobar, Marcos
25
Mumtaz, Haroon
25
Barndorff-Nielsen, Ole E.
23
Marcellino, Massimiliano
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Shephard, Neil G.
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Tauchen, George Eugene
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Fouque, Jean-Pierre
21
Andersen, Torben
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Yu, Jun
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Kang, Boda
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Takahashi, Akihiko
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Gupta, Rangan
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Wong, Hoi Ying
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Grasselli, Martino
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Jacquier, Antoine (Jack)
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Renault, Eric
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Centre for Analytical Finance <Århus>
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
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Conference on Exchange Rates Effects on Corporations <1992, New York, NY>
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Wettbewerbspolitik und Regulierung in einer Globalen Wirtschaftsordnung <Veranstaltung> <2013, Düsseldorf>
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Zentrum für Europäische Wirtschaftsforschung
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International journal of theoretical and applied finance
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Journal of econometrics
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Quantitative finance
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Applied mathematical finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Energy economics
63
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Journal of economic dynamics & control
52
The journal of computational finance
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Finance research letters
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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49
Econometric reviews
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European journal of operational research : EJOR
43
Journal of empirical finance
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Journal of banking & finance
41
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41
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The North American journal of economics and finance : a journal of financial economics studies
40
International journal of financial engineering
38
Insurance / Mathematics & economics
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Economic modelling
35
The journal of futures markets
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Annals of finance
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Economics letters
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Applied economics
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Risks : open access journal
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Research paper series / Swiss Finance Institute
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
27
Journal of risk and financial management : JRFM
26
The European journal of finance
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CAMA working paper series
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NBER working paper series
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CREATES research paper
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International journal of forecasting
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Review of derivatives research
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ECONIS (ZBW)
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EconStor
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1
Other ZBW resources
1
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1
Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn
;
Haussmann, Ulrich G.
- In:
Operations research proceedings 2003 : selected papers …
,
(pp. 387-394)
.
2004
Persistent link: https://www.econbiz.de/10002072557
Saved in:
2
Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert
;
Ceffer, Attila
;
Levendovszky, János
- In:
Computational economics
49
(
2017
)
4
,
pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
Saved in:
3
Mind the cap!-constrained portfolio optimisation in Heston's stochastic volatility model
Escobar, Marcos
;
Kschonnek, M.
;
Zagst, Rudi
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1793-1813
Persistent link: https://www.econbiz.de/10014452471
Saved in:
4
Price volatility and market performance measures : the case of revenue managed goods
Mantin, Benny
;
Rubin, Eran
- In:
Transportation research / E : an international journal
120
(
2018
),
pp. 35-50
Persistent link: https://www.econbiz.de/10011948887
Saved in:
5
Price volatility of revenue managed goods : Implications for demand and price elasticity
Morlotti, Chiara
;
Mantin, Benny
;
Malighetti, Paolo
; …
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1039-1058
Persistent link: https://www.econbiz.de/10014456464
Saved in:
6
Optimal management of DC pension plan in stochastic interest rate and stochastic volatility framework
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 58-66
Persistent link: https://www.econbiz.de/10010402734
Saved in:
7
Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Benth, Fred Espen
;
Hvistendahl Karlsen, Kenneth
; …
- In:
Mathematical finance : an international journal of …
13
(
2003
)
2
,
pp. 215-244
Persistent link: https://www.econbiz.de/10001765678
Saved in:
8
Partial hedging in a stochastic volatility environment
Jonsson, Mattias
- In:
Mathematical finance : an international journal of …
12
(
2002
)
4
,
pp. 375-409
Persistent link: https://www.econbiz.de/10001741949
Saved in:
9
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata
;
Renò, Roberto
- In:
Journal of economic dynamics & control
94
(
2018
),
pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
Saved in:
10
Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming
Consigli, Giorgio
;
Moriggia, Vittorio
;
Vitali, Sebastiano
; …
- In:
Computational Management Science : CMS
15
(
2018
)
3/4
,
pp. 599-632
Persistent link: https://www.econbiz.de/10011923011
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