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isPartOf:"Journal of econometrics"
~isPartOf:"Review of derivatives research"
~source:"econis"
~subject:"Option pricing theory"
~subject:"Stochastischer Prozess"
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Option pricing theory
Stochastischer Prozess
Volatility
391
Volatilität
391
Theorie
149
Theory
149
Stochastic process
128
Estimation theory
117
Schätztheorie
117
Estimation
111
Schätzung
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Time series analysis
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Optionspreistheorie
88
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Stochastic volatility
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Todorov, Viktor
12
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McAleer, Michael
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Xiu, Dacheng
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2
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Journal of econometrics
Review of derivatives research
International journal of theoretical and applied finance
178
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
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of economic dynamics & control
54
Finance research letters
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Computational economics
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International journal of financial engineering
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European journal of operational research : EJOR
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Econometric reviews
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Journal of empirical finance
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The North American journal of economics and finance : a journal of financial economics studies
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Research paper series / Swiss Finance Institute
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Insurance / Mathematics & economics
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Risks : open access journal
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Annals of finance
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Energy economics
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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
36
Economics letters
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Applied economics
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Journal of financial economics
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CREATES research paper
31
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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1
Implied volatility surfaces : a comprehensive analysis using half a billion option prices
Ulrich, Maxim
;
Zimmer, Lukas
;
Merbecks, Constantin
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014423871
Saved in:
2
Hedging cryptocurrency options
Matic, Jovanka Lili
;
Packham, Natalie
;
Härdle, Wolfgang
- In:
Review of derivatives research
26
(
2023
)
1
,
pp. 91-133
Persistent link: https://www.econbiz.de/10014266383
Saved in:
3
Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities
Muck, Matthias
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 293-314
Persistent link: https://www.econbiz.de/10013457626
Saved in:
4
Asymptotic extrapolation of model-free implied variance : exploring structural underestimation in the VIX Index
Stahl, Philip
- In:
Review of derivatives research
25
(
2022
)
3
,
pp. 315-339
Persistent link: https://www.econbiz.de/10013457627
Saved in:
5
The impact of the leverage effect on the implied volatility smile : evidence for the German option market
Rathgeber, A. W.
;
Stadler, Johannes
;
Stöckl, S.
- In:
Review of derivatives research
24
(
2021
)
2
,
pp. 95-133
Persistent link: https://www.econbiz.de/10012549093
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6
Comparing stochastic volatility specifications for large Bayesian VARs
Chan, Joshua
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1419-1446
Persistent link: https://www.econbiz.de/10014471398
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7
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
8
High-dimensional conditionally Gaussian state space models with missing data
Chan, Joshua
;
Poon, Aubrey
;
Zhu, Dan
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014332310
Saved in:
9
Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
Godin, Frédéric
;
Eghbalzadeh, Ramin
;
Gaillardetz, Patrice
- In:
Review of derivatives research
26
(
2023
)
2/3
,
pp. 171-206
Persistent link: https://www.econbiz.de/10014423872
Saved in:
10
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
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