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subject:"Volatility"
subject:"Volatilität"
~isPartOf:"The journal of futures markets"
~subject:"ARCH model"
~subject:"United States"
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Volatility
Volatilität
ARCH model
United States
Estimation
188
Schätzung
188
USA
82
Theorie
39
Theory
39
Börsenkurs
37
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37
Commodity derivative
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Option pricing theory
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Wang, George H. K.
4
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Dhaene, Geert
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The journal of futures markets
Working paper / National Bureau of Economic Research, Inc.
1,524
Discussion paper series / IZA
433
Discussion paper / Centre for Economic Policy Research
418
Applied economics
381
NBER working paper series
219
Applied economics letters
216
CESifo working papers
208
Working paper
183
Economic modelling
178
Energy economics
175
Finance and economics discussion series
173
The review of economics and statistics
173
Applied financial economics
164
International review of economics & finance : IREF
155
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
155
NBER Working Paper
155
The American economic review
153
Journal of econometrics
152
The journal of finance : the journal of the American Finance Association
151
Finance research letters
149
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
144
Journal of banking & finance
138
The North American journal of economics and finance : a journal of financial economics studies
135
Journal of international money and finance
134
Economics letters
131
International review of financial analysis
124
Journal of applied econometrics
117
Journal of empirical finance
108
Discussion paper / Tinbergen Institute
101
Discussion paper
97
Journal of money, credit and banking : JMCB
92
The review of financial studies
92
Journal of international financial markets, institutions & money
90
Journal of financial and quantitative analysis : JFQA
82
Research in international business and finance
81
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
80
Journal of financial economics
79
Journal of monetary economics
78
American economic journal : a journal of the American Economic Association
76
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1
Credit default swaps and firm risk
Lin, Hai
;
Binh Hoang Nguyen
;
Wang, Junbo
;
Zhang, Cheng
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
Saved in:
2
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:
3
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:
4
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:
5
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
Saved in:
6
High-frequency trading and market quality : evidence from account-level futures data
Coughlan, John
;
Orlov, Alexei G.
- In:
The journal of futures markets
43
(
2023
)
8
,
pp. 1126-1160
Persistent link: https://www.econbiz.de/10014339377
Saved in:
7
Optimal futures hedging by using realized semicovariances : the information contained in signed high-frequency returns
Lai, Yu-Sheng
- In:
The journal of futures markets
43
(
2023
)
5
,
pp. 677-701
Persistent link: https://www.econbiz.de/10014293180
Saved in:
8
Trading around the clock : revisit volatility spillover between crude oil and equity markets in different trading sessions
Hao, Jing
;
He, Feng
;
Ma, Feng
;
Fu, Tong
- In:
The journal of futures markets
43
(
2023
)
6
,
pp. 771-791
Persistent link: https://www.econbiz.de/10014293226
Saved in:
9
Use of high-frequency data to evaluate the performance of dynamic hedging strategies
Lai, Yu-Sheng
- In:
The journal of futures markets
42
(
2022
)
1
,
pp. 104-124
Persistent link: https://www.econbiz.de/10012796298
Saved in:
10
Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar
;
Saurav, Sumit
;
Varma, Jayanth Rama
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
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