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isPartOf:"Journal of econometrics"
~isPartOf:"The journal of futures markets"
~subject:"Optionspreistheorie"
~subject:"Stochastischer Prozess"
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Optionspreistheorie
Stochastischer Prozess
Volatility
665
Volatilität
665
Theorie
164
Theory
164
Estimation
162
Schätzung
162
USA
151
United States
151
Börsenkurs
135
Share price
135
Stochastic process
133
Estimation theory
120
Schätztheorie
120
Option pricing theory
110
Time series analysis
106
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106
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104
ARCH-Modell
104
Capital income
99
Kapitaleinkommen
99
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82
Prognoseverfahren
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71
Index-Futures
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Optionsgeschäft
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Derivat
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Derivative
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Market microstructure
43
Marktmikrostruktur
43
Nichtparametrisches Verfahren
42
Nonparametric statistics
42
Statistical distribution
41
Statistische Verteilung
41
Stochastic volatility
35
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Todorov, Viktor
12
Tauchen, George Eugene
9
Bollerslev, Tim
5
McAleer, Michael
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Asai, Manabu
4
Xiu, Dacheng
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Carriero, Andrea
3
Clark, Todd E.
3
Gallant, A. Ronald
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Li, Jia
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Marcellino, Massimiliano
3
Shephard, Neil G.
3
Yu, Jun
3
Zhang, Jin E.
3
Amengual, Dante
2
Bali, Turan G.
2
Bandi, Federico M.
2
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2
Boswijk, Herman Peter
2
Byun, Suk Joon
2
Chan, Joshua
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Chang, Chia-Lin
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Chib, Siddhartha
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Creal, Drew
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Dufour, Jean-Marie
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2
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2
Grynkiv, Iaryna
2
Huang, Zhuo
2
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Journal of econometrics
The journal of futures markets
International journal of theoretical and applied finance
178
Quantitative finance
119
Journal of banking & finance
90
Applied mathematical finance
87
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
Review of quantitative finance and accounting
27
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
27
NBER working paper series
25
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ECONIS (ZBW)
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1
Calibration in the "real world" of a partially specified stochastic volatility model
Fatone, Lorella
;
Mariani, Francesca
;
Zirilli, Francesco
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
Saved in:
2
Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal
;
Herold, Michael
;
Muck, Matthias
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
Saved in:
3
Term spreads of implied volatility smirk and variance risk premium
Guo, Wei
;
Ruan, Xinfeng
;
Gehricke, Sebastian A.
;
Zhang, …
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 829-857
Persistent link: https://www.econbiz.de/10014293246
Saved in:
4
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
5
Forecasting realized volatility : new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
6
Option pricing with state-dependent pricing kernel
Tong, Chen
;
Hansen, Peter Reinhard
;
Huang, Zhuo
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1409-1433
Persistent link: https://www.econbiz.de/10013287978
Saved in:
7
The information content of the volatility index options trading volume
Gu, Chen
;
Guo, Xu
;
Kurov, Alexander
;
Stan, Raluca
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1721-1737
Persistent link: https://www.econbiz.de/10013465809
Saved in:
8
Can technical indicators based on underlying assets help to predict implied volatility index
Shi, Yafeng
;
Shi, Yanlong
;
Ying, Tingting
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 57-74
Persistent link: https://www.econbiz.de/10014475424
Saved in:
9
Revisiting the puzzle of jumps in volatility forecasting : the new insights of high-frequency jump intensity
Qu, Hui
;
Wang, Tianyang
;
Shangguan, Peng
;
He, Mengying
- In:
The journal of futures markets
44
(
2024
)
2
,
pp. 218-251
Persistent link: https://www.econbiz.de/10014475461
Saved in:
10
Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
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