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subject:"Theorie"
~isPartOf:"Applied mathematical finance"
~isPartOf:"CREATES research paper"
~language:"eng"
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Search: subject_exact:"Volatility"
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Theorie
Volatility
216
Volatilität
216
Option pricing theory
83
Optionspreistheorie
83
Stochastic process
83
Stochastischer Prozess
83
Theory
83
Capital income
29
Kapitaleinkommen
29
Time series analysis
28
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28
Estimation
27
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Derivat
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stochastic volatility
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Portfolio selection
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Avellaneda, Marco
5
Santucci de Magistris, Paolo
5
Barndorff-Nielsen, Ole E.
3
Bollerslev, Tim
3
Hounyo, Ulrich
3
Lunde, Asger
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Rossi, Eduardo
3
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3
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3
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2
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Bennedsen, Mikkel
2
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2
Christensen, Bent Jesper
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2
Forsyth, Peter A.
2
Hansen, Peter Reinhard
2
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Meddahi, Nour
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Muni, Adviti
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Bhar, Ramaprasad
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Applied mathematical finance
CREATES research paper
NBER working paper series
172
Working paper / National Bureau of Economic Research, Inc.
161
NBER Working Paper
155
Journal of econometrics
125
Journal of banking & finance
109
Economics letters
82
Journal of empirical finance
81
Discussion paper / Tinbergen Institute
79
Discussion paper / Centre for Economic Policy Research
78
Economic modelling
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Finance research letters
77
International journal of theoretical and applied finance
76
International journal of forecasting
73
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Mathematical finance : an international journal of mathematics, statistics and financial theory
72
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71
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70
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67
Journal of international money and finance
64
International review of financial analysis
60
The European journal of finance
58
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57
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57
International review of economics & finance : IREF
56
Energy economics
55
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Econometric reviews
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46
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The North American journal of economics and finance : a journal of financial economics studies
45
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of finance : the journal of the American Finance Association
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Computational economics
42
Finance and stochastics
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Journal of monetary economics
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The journal of futures markets
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ECONIS (ZBW)
83
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1
The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.
;
Kort, J. P. de
;
Kandhai, B. D.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
Saved in:
2
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
-
2021
Persistent link: https://www.econbiz.de/10012434010
Saved in:
3
The incremental information in the yield curve about future interest rate risk
Christensen, Bent Jesper
;
Kjær, Mads Markvart
; …
-
2021
-
This version: June 28, 2021
Persistent link: https://www.econbiz.de/10012621334
Saved in:
4
Roughness in spot variance? : a GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
Bolko, Anine E.
;
Christensen, Kim
;
Pakkanen, Mikko S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012318238
Saved in:
5
Pricing the excess volatility in foreign exchange risk premium and forward rate bias
Swan, Tina T.
;
Swan, Bruce Q.
;
Chen, Xinfu
- In:
Applied mathematical finance
29
(
2022
)
1
,
pp. 33-61
Persistent link: https://www.econbiz.de/10013554066
Saved in:
6
On regularized optimal execution problems and their singular limits
Souza, Max O.
;
Thamsten, Y.
- In:
Applied mathematical finance
29
(
2022
)
2
,
pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
Saved in:
7
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
8
Structural clustering of volatility regimes for dynamic trading strategies
Prakash, Arjun
;
James, Nick
;
Menzies, Max
;
Francis, Gilad
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 236-274
Persistent link: https://www.econbiz.de/10013171071
Saved in:
9
Trading signals in VIX futures
Avellaneda, Marco
;
Li, Thomas Nanfeng
;
Papanicolaou, Andrew
- In:
Applied mathematical finance
28
(
2021
)
3
,
pp. 275-298
Persistent link: https://www.econbiz.de/10013171072
Saved in:
10
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
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