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Volatility
Theorie
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Figlewski, Stephen
15
Gao, Bin
4
Ahn, Dong-Hyun
2
Engle, Robert F.
2
Frommherz, Anja
2
Birru, Justin
1
Cumby, Robert
1
Dittmar, Robert F.
1
Gallant, A. Ronald
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Green, Tracy Clifton
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1
Hasbrouck, Joel
1
Huss, Matthias
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Liu, Xihua
1
Wang, Xiaozu
1
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Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
3
Review of derivatives research
2
The journal of derivatives : the official publication of the International Association of Financial Engineers
2
Financial markets, institutions & instruments
1
International review of economics & finance : IREF
1
Journal of econometrics
1
Journal of financial markets
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Review of finance : journal of the European Finance Association
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The Review of Finance, Forthcoming
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Purebred or hybrid? : reproducing the volatility in term structure dynamics
Ahn, Dong-Hyun
;
Dittmar, Robert F.
;
Gallant, A. Ronald
; …
- In:
Journal of econometrics
116
(
2003
)
1/2
,
pp. 147-180
Persistent link: https://www.econbiz.de/10001772146
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2
Locally complete markets, exchange rates and currency options
Ahn, Dong-Hyun
;
Gao, Bin
- In:
Review of derivatives research
6
(
2003
)
1
,
pp. 5-26
Persistent link: https://www.econbiz.de/10001772396
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3
Estimation error in the assessment of financial risk exposure
Figlewski, Stephen
-
2003
Persistent link: https://www.econbiz.de/10001779249
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4
Forecasting volatility
Figlewski, Stephen
- In:
Financial markets, institutions & instruments
6
(
1997
)
1
Persistent link: https://www.econbiz.de/10001217426
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5
What goes into risk-neutral volatility? : empirical estimates of risk and subjectve risk preferences
Figlewski, Stephen
- In:
The journal of portfolio management : a publication of …
43
(
2016
)
1
,
pp. 29-42
Persistent link: https://www.econbiz.de/10011686157
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6
Intraday sentiment and market returns
Gao, Bin
;
Liu, Xihua
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 48-62
Persistent link: https://www.econbiz.de/10012486317
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7
Option pricing model with sentiment
Yang, Chunpeng
;
Gao, Bin
;
Yang, Jianlei
- In:
Review of derivatives research
19
(
2016
)
2
,
pp. 147-164
Persistent link: https://www.econbiz.de/10011927963
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8
Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008
Birru, Justin
;
Figlewski, Stephen
- In:
Journal of financial markets
15
(
2012
)
2
,
pp. 151-180
Persistent link: https://www.econbiz.de/10009614494
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9
Modeling the dynamics of correlations among implied volatilities
Engle, Robert F.
;
Figlewski, Stephen
- In:
Review of finance : journal of the European Finance …
19
(
2015
)
3
,
pp. 991-1018
Persistent link: https://www.econbiz.de/10011405161
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10
Is the "leverage effect" a leverage effect?
Figlewski, Stephen
;
Wang, Xiaozu
-
2000
Persistent link: https://www.econbiz.de/10001554375
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