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Detecting money market bubbles
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Volatility
Theorie
138
Theory
138
Portfolio selection
95
Portfolio-Management
95
Stochastischer Prozess
66
Stochastic process
64
growth optimal portfolio
61
Volatilität
49
Option pricing theory
41
Optionspreistheorie
41
Benchmarking
36
Derivat
34
Derivative
34
Hedging
34
benchmark approach
33
Börsenkurs
23
Share price
23
CAPM
22
Aktienindex
21
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21
Yield curve
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Zinsstruktur
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fair pricing
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minimal market model
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Bewertung
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Evaluation
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stochastic volatility
18
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16
Arbitrage pricing
16
Statistical distribution
16
Statistische Verteilung
16
Benchmark approach
15
Estimation
15
Martingal
15
Martingale
15
Risiko
15
Risikoprämie
15
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15
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English
49
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Platen, Eckhard
31
Ignatieva, Ekaterina
11
Baldeaux, Jan
6
Grasselli, Martino
4
Ignatieva, Katja
4
Fonseca, José da
3
Gnoatto, Alessandro
3
Rudd, Ralph
3
Schweizer, Martin
3
Ziveyi, Jonathan
3
Badran, Alexander
2
Breymann, Wolfgang
2
Chan, Leunglung
2
Da Fonseca, José
2
Gudkov, Nikolay
2
Guo, Zhi
2
Heath, David C.
2
Kienitz, Jörg
2
Lüthi, David
2
McWalter, Thomas A.
2
Alexeev, Vitali
1
Baldeaux, jan
1
Barkhagen, Mathias
1
Blomvall, Jörgen
1
Chen, Jun
1
Guo, Zhi Jun
1
Hofmann, Norbert
1
Härdle, Wolfgang
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1
Mosegaard Christensen, Morton
1
Ponomareva, Natalia
1
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Research Paper Number: 250, Quantitative Finance Research Centre, University of Technology, Sydney
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ECONIS (ZBW)
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Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
2
Pricing currency derivatives under the benchmark approach
Baldeaux, Jan
;
Grasselli, Martino
;
Platen, Eckhard
- In:
Journal of banking & finance
53
(
2015
),
pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
Saved in:
3
Modelling co-movements and tail dependency in the international stock market via copulae
Ignatieva, Katja
;
Platen, Eckhard
-
2009
Persistent link: https://www.econbiz.de/10008662352
Saved in:
4
Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management
Ignatieva, Ekaterina
-
2012
Persistent link: https://www.econbiz.de/10009548356
Saved in:
5
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
Saved in:
6
Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay
;
Ignatieva, Ekaterina
- In:
Energy economics
98
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
Saved in:
7
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:
8
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
Fonseca, José da
;
Ignatieva, Ekaterina
;
Ziveyi, Jonathan
- In:
Energy economics
56
(
2016
),
pp. 215-228
Persistent link: https://www.econbiz.de/10011664232
Saved in:
9
Volatility spillovers and connectedness among credit default swap sector indexes
Fonseca, José da
;
Ignatieva, Ekaterina
- In:
Applied economics
50
(
2018
)
36
,
pp. 3923-3936
Persistent link: https://www.econbiz.de/10012060164
Saved in:
10
Commodity currencies and commodity prices : modelling static and time-varying dependence
Ignatieva, Ekaterina
;
Ponomareva, Natalia
- In:
Applied economics
49
(
2017
)
15
,
pp. 1491-1512
Persistent link: https://www.econbiz.de/10011813615
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