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VIX derivatives, hedging and v...
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Volatilität
21
Volatility
20
Theorie
15
Theory
15
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
11
Optionspreistheorie
11
Capital income
9
Kapitaleinkommen
9
Aktienindex
8
Hedging
8
Stock index
8
Börsenkurs
7
Share price
7
Jump-diffusion models
6
Markov chain
6
Markov-Kette
6
Modellierung
6
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6
Statistical distribution
6
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6
Monte Carlo simulation
5
Monte-Carlo-Simulation
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Option trading
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Optionsgeschäft
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USA
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4
Estimation
4
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Risiko
4
Risk
4
Schätzung
4
Stock market
4
VIX
4
EU countries
3
EU-Staaten
3
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3
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3
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26
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13
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36
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29
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6
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English
39
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26
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Kaeck, Andreas
43
Alexander, Carol
32
Seeger, Norman
27
Schlag, Christian
8
Rodrigues, Paulo Jorge Maurício
7
Rodrigues, Paulo
5
Branger, Nicole
4
Nogueira, Leonardo M.
4
Pollastri, Alessandro
4
Krautheim, Eva
3
Frey, Roman
2
Heck, Daniel F.
2
Ignatieva, Katja
2
Johannes, Michael S.
2
Nigbur, Tobias
2
Dubinsky, Andrew
1
Fries, Christian
1
Fries, Christian P.
1
Ignatieva, Ekaterina
1
Johannes, Michael
1
Leur, Michiel van de
1
Lucas, André
1
Schneider, Eva
1
Schwarz, Claudia
1
Stroud, Jonathan R
1
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1
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Henley Business School, University of Reading
4
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Journal of banking & finance
7
The journal of futures markets
6
ICMA Centre Discussion Papers in Finance
4
Discussion paper / ICMA Centre, Henley Business School, University of Reading
3
Journal of Futures Markets
3
Journal of economic dynamics & control
3
European financial management : the journal of the European Financial Management Association
2
International review of financial analysis
2
Journal of Banking & Finance
2
Journal of empirical finance
2
Review of finance : journal of the European Finance Association
2
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1
European journal of operational research : EJOR
1
Georgetown McDonough School of Business Research Paper
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International Review of Financial Analysis
1
Journal of Economic Dynamics and Control
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ECONIS (ZBW)
42
RePEc
12
OLC EcoSci
9
EconStor
1
USB Cologne (EcoSocSci)
1
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1
Option pricing of earnings announcement risks
Dubinsky, Andrew
;
Johannes, Michael
;
Kaeck, Andreas
; …
- In:
The review of financial studies
32
(
2019
)
2
,
pp. 646-687
Persistent link: https://www.econbiz.de/10012033514
Saved in:
2
Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of banking & finance
83
(
2017
),
pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
Saved in:
3
Model complexity and out-of-sample performance : evidence from S&P 500 index returns
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of economic dynamics & control
90
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974016
Saved in:
4
Variance-of-variance risk premium
Kaeck, Andreas
- In:
Review of finance : journal of the European Finance …
22
(
2018
)
4
,
pp. 1549-1579
Persistent link: https://www.econbiz.de/10012005754
Saved in:
5
Essays on market frictions and model misspecification in asset pricing
Seeger, Norman
-
2009
Persistent link: https://www.econbiz.de/10003863665
Saved in:
6
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:
7
Hedging under model misspecification : all risk factors are equal, but some are more equal than others ...
Branger, Nicole
;
Krautheim, Eva
;
Schlag, Christian
; …
- In:
The journal of futures markets
32
(
2012
)
5
,
pp. 397-430
Persistent link: https://www.econbiz.de/10010218780
Saved in:
8
Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian
;
Nigbur, Tobias
;
Seeger, Norman
- In:
Journal of empirical finance
42
(
2017
),
pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
Saved in:
9
Network, market, and book-based systemic risk rankings
Leur, Michiel van de
;
Lucas, André
;
Seeger, Norman
- In:
Journal of banking & finance
78
(
2017
),
pp. 84-90
Persistent link: https://www.econbiz.de/10011815120
Saved in:
10
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
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