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subject:"Theorie"
~isPartOf:"CREATES research paper"
~language:"eng"
~subject:"Option pricing theory"
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Search: subject_exact:"Volatility"
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Theorie
Option pricing theory
Volatility
101
Volatilität
101
Theory
39
Capital income
25
Kapitaleinkommen
25
Time series analysis
25
Zeitreihenanalyse
25
Stochastic process
22
Stochastischer Prozess
22
Börsenkurs
19
Share price
19
ARCH model
18
ARCH-Modell
18
Estimation
18
Schätzung
18
Forecasting model
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Prognoseverfahren
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Estimation theory
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Schätztheorie
15
Optionspreistheorie
11
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9
Scientific modelling
9
Risikoprämie
8
Risk premium
8
Correlation
7
Korrelation
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USA
7
United States
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Aktienmarkt
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Nichtparametrisches Verfahren
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Nonparametric statistics
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CAPM
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Konjunktur
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Martingal
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Martingale
5
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48
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48
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48
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48
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English
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Santucci de Magistris, Paolo
6
Christoffersen, Peter F.
4
Andersen, Torben
3
Barndorff-Nielsen, Ole E.
3
Bollerslev, Tim
3
Hounyo, Ulrich
3
Jacobs, Kris
3
Lunde, Asger
3
Rossi, Eduardo
3
Todorov, Viktor
3
Veliyev, Bezirgen
3
Veraart, Almut E. D.
3
Bennedsen, Mikkel
2
Caporin, Massimiliano
2
Christensen, Bent Jesper
2
Christensen, Kim
2
Hansen, Peter Reinhard
2
Meddahi, Nour
2
Pakkanen, Mikko S.
2
Podolskij, Mark
2
Tsiaras, Leonidas
2
Andreasen, Martin M.
1
Andreasen, Martin Møller
1
Archakov, Ilya
1
Babaoğlu, Kadir
1
Barletta, Andrea
1
Benzoni, Luca
1
Bolko, Anine E.
1
Bondarenko, Oleg
1
Chang, Bo Young
1
Christiansen, Charlotte
1
Corcuera, José Manual
1
Dias, Gustavo Fruet
1
Dijk, Dick van
1
Dziubinski, Matt
1
Ergemen, Yunus Emre
1
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1
Feunou, Bruno
1
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1
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CREATES research paper
International journal of theoretical and applied finance
204
NBER working paper series
182
Journal of banking & finance
173
Working paper / National Bureau of Economic Research, Inc.
166
Journal of econometrics
160
NBER Working Paper
160
Quantitative finance
145
Finance research letters
118
Applied mathematical finance
105
Journal of economic dynamics & control
104
The journal of futures markets
101
Mathematical finance : an international journal of mathematics, statistics and financial theory
97
Journal of empirical finance
96
Economic modelling
93
Economics letters
93
Discussion paper / Tinbergen Institute
92
Journal of financial economics
91
The North American journal of economics and finance : a journal of financial economics studies
83
Discussion paper / Centre for Economic Policy Research
82
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
82
Applied economics
78
Computational economics
77
International journal of forecasting
77
International review of economics & finance : IREF
77
International review of financial analysis
76
The European journal of finance
76
Working paper
75
Energy economics
74
The journal of computational finance
73
Finance and stochastics
70
Research paper series / Swiss Finance Institute
68
Journal of international money and finance
66
Review of derivatives research
62
The review of financial studies
62
Journal of forecasting
60
European journal of operational research : EJOR
57
Journal of risk and financial management : JRFM
56
Risks : open access journal
56
International journal of financial engineering
55
Applied economics letters
54
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ECONIS (ZBW)
48
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1
A machine learning approach to volatility forecasting
Christensen, Kim
;
Siggaard, Mathias Voldum
;
Veliyev, …
-
2021
Persistent link: https://www.econbiz.de/10012434010
Saved in:
2
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:
3
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:
4
Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller
-
2019
Persistent link: https://www.econbiz.de/10012063989
Saved in:
5
A regime-switching stochastic volatility model for forecasting electricity prices
Exterkate, Peter
;
Knapik, Oskar
-
2017
Persistent link: https://www.econbiz.de/10011624014
Saved in:
6
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
-
2017
Persistent link: https://www.econbiz.de/10011706192
Saved in:
7
Retrieving risk-neutral densities embedded in VIX options : a non-structural approach
Barletta, Andrea
;
Santucci de Magistris, Paolo
; …
-
2016
Persistent link: https://www.econbiz.de/10011524099
Saved in:
8
Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson
;
Leschinski, Christian
;
Will, Michael
-
2016
Persistent link: https://www.econbiz.de/10011474820
Saved in:
9
Volatility discovery
Dias, Gustavo Fruet
;
Scherrer, Cristina Mabel
; …
-
2016
Persistent link: https://www.econbiz.de/10011447786
Saved in:
10
Exponential smoothing, long memory and volatility prediction
Proietti, Tommaso
-
2015
Persistent link: https://www.econbiz.de/10011387619
Saved in:
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