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isPartOf:"Journal of econometrics"
~isPartOf:"Review of quantitative finance and accounting"
~subject:"Optionspreistheorie"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Volatility"
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Optionspreistheorie
Stochastischer Prozess
Volatility
424
Volatilität
424
Theorie
138
Theory
138
Estimation
125
Schätzung
125
Estimation theory
118
Schätztheorie
118
Stochastic process
116
Time series analysis
106
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106
Börsenkurs
103
Capital income
103
Kapitaleinkommen
103
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103
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94
ARCH-Modell
94
Option pricing theory
65
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56
Prognoseverfahren
56
Market microstructure
44
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44
Nichtparametrisches Verfahren
42
Nonparametric statistics
42
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40
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Todorov, Viktor
12
Tauchen, George Eugene
9
Bollerslev, Tim
5
McAleer, Michael
5
Asai, Manabu
4
Xiu, Dacheng
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Clark, Todd E.
3
Gallant, A. Ronald
3
Li, Jia
3
Lin, Shih-kuei
3
Marcellino, Massimiliano
3
Shephard, Neil G.
3
Yu, Jun
3
Amengual, Dante
2
Bakshi, Gurdip S.
2
Bandi, Federico M.
2
Bondarenko, Oleg
2
Boswijk, Herman Peter
2
Cao, Charles Q.
2
Chan, Joshua
2
Chang, Chia-Lin
2
Chen, Ren-Raw
2
Chib, Siddhartha
2
Creal, Drew
2
Dufour, Jean-Marie
2
Francq, Christian
2
Fusari, Nicola
2
Ghysels, Eric
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Gouriéroux, Christian
2
Grynkiv, Iaryna
2
Jensen, Mark J.
2
Kim, Donggyu
2
Kuo, I.-doun
2
Li, Bingxin
2
Maheu, John M.
2
Palmon, Oded
2
Park, Joon Y.
2
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Journal of econometrics
Review of quantitative finance and accounting
International journal of theoretical and applied finance
178
Quantitative finance
119
Journal of banking & finance
90
Applied mathematical finance
87
The journal of futures markets
77
Mathematical finance : an international journal of mathematics, statistics and financial theory
73
The journal of computational finance
70
Discussion paper / Tinbergen Institute
65
Finance and stochastics
60
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
59
Journal of economic dynamics & control
54
Finance research letters
53
Computational economics
52
Review of derivatives research
52
International journal of financial engineering
51
European journal of operational research : EJOR
46
Econometric reviews
45
Journal of mathematical finance
45
Journal of empirical finance
43
The North American journal of economics and finance : a journal of financial economics studies
43
Working paper
42
Research paper series / Swiss Finance Institute
41
Insurance / Mathematics & economics
39
Risks : open access journal
39
Annals of finance
37
Energy economics
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Economics letters
34
Applied economics
33
Journal of financial economics
33
CREATES research paper
31
The European journal of finance
31
Journal of risk and financial management : JRFM
29
Economic modelling
28
International review of economics & finance : IREF
28
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
NBER working paper series
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ECONIS (ZBW)
149
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1
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif
;
Talukdar, Bakhtear
;
Kabir, M. Humayun
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Saved in:
2
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
Saved in:
3
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
4
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
5
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:
6
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
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
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
9
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:
10
Fast and accurate variational inference for models with many latent variables
Loiza-Maya, Ruben
;
Smith, Michael S.
;
Nott, David J.
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 339-362
Persistent link: https://www.econbiz.de/10013463884
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