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~isPartOf:"Quantitative finance"
~subject:"Volatility"
~subject:"exchange rate"
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Volatility
exchange rate
Volatilität
183
Option pricing theory
100
Optionspreistheorie
100
Stochastic process
84
Stochastischer Prozess
84
volatility
84
Theorie
46
Theory
46
Estimation
34
Schätzung
33
Börsenkurs
32
Share price
32
Forecasting model
29
Prognoseverfahren
29
Stochastic volatility
28
GARCH
25
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24
Time series analysis
24
Zeitreihenanalyse
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ARCH-Modell
23
Capital income
22
Kapitaleinkommen
22
Option trading
21
Optionsgeschäft
21
Implied volatility
20
Derivat
19
Derivative
19
Option pricing
19
Estimation theory
15
Portfolio selection
15
Portfolio-Management
15
Rough volatility
15
Schätztheorie
15
Black-Scholes model
12
Monte Carlo simulation
12
Monte-Carlo-Simulation
12
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94
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3
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Caiado, Jorge
5
Crato, Nuno
5
Masih, Mansur
5
Onour, Ibrahim
5
Sinha, Pankaj
5
Escobar, Marcos
4
Sornette, Didier
4
Bayer, Christian
3
Camilleri, Silvio John
3
Dumitriu, Ramona
3
Felpel, Mike
3
Gatheral, Jim
3
Ghiba, Nicolae
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
Lillo, Fabrizio
3
Mapa, Dennis S.
3
McWalter, Thomas A.
3
Radoičić, Radoš
3
Rosenbaum, Mathieu
3
Stefanescu, Razvan
3
Wehrli, Alexander
3
Aguilar, Jean-Philippe
2
Alexander, Carol
2
Alòs, Elisa
2
Antonakakis, Nikolaos
2
Asutay, Mehmet
2
Bacha, Obiyathulla
2
Bellini, Fabio
2
Bormetti, Giacomo
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Cheng, Yuyang
2
Cui, Zhenyu
2
De Marco, Stefano
2
Forde, Martin
2
Friz, Peter K.
2
Fukasawa, Masaaki
2
Garces, Len Patrick Dominic M.
2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
94
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MPRA Paper
Quantitative finance
Energy economics
598
Finance research letters
514
NBER working paper series
482
Working paper / National Bureau of Economic Research, Inc.
466
NBER Working Paper
416
International review of financial analysis
398
Applied economics
376
Journal of banking & finance
375
The journal of futures markets
344
Economic modelling
338
International review of economics & finance : IREF
338
The North American journal of economics and finance : a journal of financial economics studies
324
Journal of econometrics
321
Applied financial economics
265
Journal of empirical finance
261
Applied economics letters
257
Research in international business and finance
255
Economics letters
246
International journal of theoretical and applied finance
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Working paper
244
Discussion paper / Centre for Economic Policy Research
238
Journal of international financial markets, institutions & money
235
Journal of international money and finance
221
Discussion paper / Tinbergen Institute
198
Journal of risk and financial management : JRFM
197
Journal of financial economics
184
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
172
CESifo working papers
169
Pacific-Basin finance journal
165
International Journal of Energy Economics and Policy : IJEEP
157
The European journal of finance
152
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
150
IMF working papers
148
Journal of economic dynamics & control
146
International journal of forecasting
140
International journal of finance & economics : IJFE
137
Journal of forecasting
131
The review of financial studies
125
Research paper series / Swiss Finance Institute
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ECONIS (ZBW)
183
RePEc
94
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1
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1
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
2
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
3
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
4
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
5
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
6
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
Saved in:
7
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
8
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
9
Empirical deep hedging
Mikkilä, Oskari
;
Kanniainen, Juho
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 111-122
Persistent link: https://www.econbiz.de/10013490958
Saved in:
10
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.
;
Gassiat, Paul
;
Pigato, Paolo
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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