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isPartOf:"Journal of econometrics"
~isPartOf:"European journal of operational research : EJOR"
~subject:"Nonparametric statistics"
~subject:"Optionspreistheorie"
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Nonparametric statistics
Optionspreistheorie
Volatility
395
Volatilität
395
Theorie
142
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142
Stochastic process
141
Stochastischer Prozess
141
Estimation theory
121
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Todorov, Viktor
8
Tauchen, George Eugene
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Xiu, Dacheng
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Li, Yingying
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2
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Journal of econometrics
European journal of operational research : EJOR
International journal of theoretical and applied finance
157
Quantitative finance
102
Journal of banking & finance
74
The journal of futures markets
73
Applied mathematical finance
72
The journal of computational finance
64
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Review of derivatives research
49
International journal of financial engineering
48
Finance research letters
47
The North American journal of economics and finance : a journal of financial economics studies
45
Finance and stochastics
42
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37
The journal of derivatives : the official publication of the International Association of Financial Engineers
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International review of economics & finance : IREF
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SFB 649 discussion paper
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Economics letters
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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CREATES research paper
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International review of financial analysis
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ECONIS (ZBW)
112
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1
A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo
;
D'Innocenzo, Enzo
;
Guizzardi, …
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
Saved in:
2
Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
3
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
4
Intraday cross-sectional distributions of systematic risk
Andersen, Torben
;
Riva, Raul
;
Thyrsgaard, Martin
; …
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1394-1418
Persistent link: https://www.econbiz.de/10014471397
Saved in:
5
Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
Saved in:
6
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
7
A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej
;
Badescu, Alexandru
;
Bégin, …
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
Saved in:
8
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
9
Testing for the presence of jump components in jump diffusion models
Wang, Bin
;
Zheng, Xu
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 483-509
Persistent link: https://www.econbiz.de/10013464085
Saved in:
10
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
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