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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Option pricing theory
Stochastic process
Volatility
150
Volatilität
150
Theorie
72
Theory
72
Estimation
61
Schätzung
61
Time series analysis
55
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Chan, Joshua
3
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2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
International journal of theoretical and applied finance
178
Journal of econometrics
122
Quantitative finance
119
Journal of banking & finance
90
Applied mathematical finance
87
The journal of futures markets
77
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 economic dynamics & control
54
Finance research letters
53
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Review of derivatives research
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International journal of financial engineering
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European journal of operational research : EJOR
46
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39
Risks : open access journal
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Annals of finance
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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
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Review of quantitative finance and accounting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
A statistical recurrent stochastic volatility model for stock markets
Trong-Nghia Nguyen
;
Minh-Ngoc Tran
;
Gunawan, David
; …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 414-428
Persistent link: https://www.econbiz.de/10014448201
Saved in:
2
Locally stationary multiplicative volatility modeling
Walsh, Christopher
;
Vogt, Michael
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 497-508
Persistent link: https://www.econbiz.de/10014448258
Saved in:
3
Large hybrid time-varying parameter VARs
Chan, Joshua
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 890-905
Persistent link: https://www.econbiz.de/10014448455
Saved in:
4
Can a machine correct option pricing models?
Almeida, Caio
;
Fan, Jianqing
;
Freire, Gustavo
;
Tang, …
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 995-1009
Persistent link: https://www.econbiz.de/10014448492
Saved in:
5
Overnight GARCH-Itô volatility models
Kim, Donggyu
;
Shin, Minseok
;
Wang, Yazhen
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
4
,
pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Saved in:
6
Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
Saved in:
7
Identification of structural vector autoregressions by stochastic volatility
Bertsche, Dominik
;
Braun, Robin
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
1
,
pp. 328-341
Persistent link: https://www.econbiz.de/10012804115
Saved in:
8
A stochastic volatility model with a general leverage specification
Catania, Leopoldo
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 678-689
Persistent link: https://www.econbiz.de/10013534044
Saved in:
9
A new approach to volatility modeling : the factorial hidden Markov volatility model
Augustyniak, Maciej
;
Bauwens, Luc
;
Dufays, Arnaud
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 696-709
Persistent link: https://www.econbiz.de/10012179366
Saved in:
10
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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