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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Search: subject_exact:"Volatility"
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Option pricing theory
Stochastic process
Volatility
110
Volatilität
110
Theorie
45
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45
ARCH model
40
ARCH-Modell
40
Estimation
34
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Barndorff-Nielsen, Ole E.
3
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Shephard, Neil G.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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
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Discussion paper / Tinbergen Institute
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Finance and stochastics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Finance research letters
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Computational economics
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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
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The North American journal of economics and finance : a journal of financial economics studies
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Insurance / Mathematics & economics
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Risks : open access journal
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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Economics letters
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CREATES research paper
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The European journal of finance
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Journal of risk and financial management : JRFM
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Economic modelling
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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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Bayesian dynamic modeling of high-frequency integer price changes
Barra, István
;
Borowska, Agnieszka
;
Koopman, Siem Jan
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
3
,
pp. 384-424
Persistent link: https://www.econbiz.de/10011987788
Saved in:
2
Fractionally integrated COGARCH processes
Haug, Stephan
;
Klüppelberg, Claudia
;
Straub, German
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
4
,
pp. 599-628
Persistent link: https://www.econbiz.de/10011988000
Saved in:
3
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
4
Indirect inference estimation of mixed frequency stochastic volatility state space models using MIDAS regressions and ARCH models
Gagliardini, Patrick
;
Ghysels, Eric
;
Rubin, M.
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 509-560
Persistent link: https://www.econbiz.de/10011987633
Saved in:
5
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
6
Simple robust hedging with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
Saved in:
7
On the observed-data deviance information criterion for volatility modeling
Chan, Joshua
;
Grant, Angelia L.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 772-802
Persistent link: https://www.econbiz.de/10011623867
Saved in:
8
The HESSIAN method for models with leverage-like effects
Djegnéné, Barnabé
;
McCausland, William J.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 722-755
Persistent link: https://www.econbiz.de/10011339247
Saved in:
9
Recovering statistical theory in the context of model calibrations
Madan, Dilip B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 260-292
Persistent link: https://www.econbiz.de/10011339334
Saved in:
10
Disentangling continuous volatility from jumps in long-run risk-return relationships
Jacquier, Eric
;
Okou, Cédric
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 544-583
Persistent link: https://www.econbiz.de/10010391947
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