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~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Option pricing theory"
~subject:"Stochastic process"
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Option pricing theory
Stochastic process
Volatility
104
Volatilität
104
ARCH model
45
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44
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44
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42
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Abbara, Omar
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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
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60
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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52
International journal of financial engineering
51
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The North American journal of economics and finance : a journal of financial economics studies
43
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Research paper series / Swiss Finance Institute
41
Insurance / Mathematics & economics
39
Risks : open access journal
39
Annals of finance
37
Energy economics
37
The journal of derivatives : the official publication of the International Association of Financial Engineers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Economics letters
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Journal of financial economics
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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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International review of economics & finance : IREF
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1
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
2
Asymmetry in stochastic volatility models with threshold and time-dependent correlation
Schäfers, Torben
;
Teng, Long
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
2
,
pp. 131-146
Persistent link: https://www.econbiz.de/10014288879
Saved in:
3
Are multifractal processes suited to forecasting electricity price volatility? : evidence from Australian intraday data
Segnon, Mawuli
;
Lau, Chi Keung
;
Wilfling, Bernd
;
Gupta, …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
1
,
pp. 73-98
Persistent link: https://www.econbiz.de/10013334628
Saved in:
4
The discontinuation of the EUR/CHF minimum exchange rate : information from option-implied break probabilities
Funke, Michael
;
Loermann, Julius
;
Moessner, Richhild
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 63-79
Persistent link: https://www.econbiz.de/10012594159
Saved in:
5
An effcient exact Bayesian method for state space models with stochastic volatility
Huang, Yu-Fan
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012507436
Saved in:
6
Constrained interest rates and changing dynamics at the zero lower bound
Bäurle, Gregor
;
Kaufmann, Daniel
;
Kaufmann, Sylvia
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012198531
Saved in:
7
Fiscal policy uncertainty and US output
Popiel, Michal Ksawery
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012198646
Saved in:
8
Dissecting skewness under affine jump-diffusions
Zhen, Fang
;
Zhang, Jin E.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012299592
Saved in:
9
An efficient sequential learning algorithm in regime-switching environments
Kim, Jaeho
;
Lee, Sunhyung
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10012054894
Saved in:
10
Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications
Phillip, Andrew
;
Chan, Jennifer S. K.
;
Peiris, Shelton
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011897536
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