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~accessRights:"restricted"
~isPartOf:"The journal of futures markets"
~subject:"Capital income"
~subject:"Stochastic process"
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Capital income
Stochastic process
Volatility
88
Volatilität
88
Börsenkurs
30
Share price
30
Option pricing theory
25
Optionspreistheorie
25
Option trading
23
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23
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Agarwalla, Sobhesh Kumar
2
Lai, Yu-Sheng
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Varma, Jayanth Rama
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Alexiou, Lykourgos
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Bansal, Naresh K.
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Chen, Ren-Raw
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The journal of futures markets
Finance research letters
161
The North American journal of economics and finance : a journal of financial economics studies
106
International review of financial analysis
93
Journal of econometrics
93
Quantitative finance
91
International review of economics & finance : IREF
90
Energy economics
87
Applied economics
74
Journal of banking & finance
74
Journal of empirical finance
67
Research in international business and finance
62
Economic modelling
60
International journal of theoretical and applied finance
53
Journal of financial economics
51
Pacific-Basin finance journal
51
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
46
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
46
Computational economics
44
International journal of forecasting
44
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
44
Economics letters
41
Journal of economic dynamics & control
40
Journal of international financial markets, institutions & money
38
Applied economics letters
37
International journal of financial engineering
37
Journal of financial econometrics
36
The European journal of finance
34
European journal of operational research : EJOR
31
Journal of mathematical finance
29
Management science : journal of the Institute for Operations Research and the Management Sciences
29
Journal of financial markets
28
Journal of forecasting
28
The journal of computational finance
28
International journal of finance & economics : IJFE
27
Econometric reviews
26
Emerging markets, finance and trade : EMFT
23
Applied mathematical finance
21
Discussion paper / Centre for Economic Policy Research
21
Working paper / National Bureau of Economic Research, Inc.
21
Journal of international money and finance
20
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ECONIS (ZBW)
17
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1
Revisiting the puzzle of jumps in
volatility
forecasting : the new insights of high-frequency jump intensity
Qu, Hui
;
Wang, Tianyang
;
Shangguan, Peng
;
He, Mengying
- In:
The journal of futures markets
44
(
2024
)
2
,
pp. 218-251
Persistent link: https://www.econbiz.de/10014475461
Saved in:
2
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:
3
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
Saved in:
4
Power-type derivatives for rough
volatility
with jumps
Wang, Liang
;
Xia, Weixuan
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1369-1406
Persistent link: https://www.econbiz.de/10013287974
Saved in:
5
Beta and size equity premia following a high-VIX threshold
Bansal, Naresh K.
;
Connolly, Robert A.
;
Stivers, …
- In:
The journal of futures markets
42
(
2022
)
8
,
pp. 1491-1517
Persistent link: https://www.econbiz.de/10013287992
Saved in:
6
Harvesting the
volatility
smile in a large emerging market : a Dynamic Nelson-Siegel approach
Kumar, Sudarshan
;
Agarwalla, Sobhesh Kumar
;
Varma, …
- In:
The journal of futures markets
43
(
2023
)
11
,
pp. 1615-1644
Persistent link: https://www.econbiz.de/10014432920
Saved in:
7
Sequential Itô-Taylor expansions and characteristic functions of stochastic
volatility
models
Ding, Kailin
;
Cui, Zhenyu
;
Liu, Yanchu
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1750-1769
Persistent link: https://www.econbiz.de/10014433005
Saved in:
8
A stochastic-
volatility
equity-price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first-passage default model
Dai, Tian-Shyr
;
Fan, Chen-Chiang
;
Liu, Liang-Chih
; …
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2103-2134
Persistent link: https://www.econbiz.de/10013465872
Saved in:
9
Option-implied moments and the cross-section of stock returns
Alexiou, Lykourgos
;
Rompolis, Leonidas S.
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 668-691
Persistent link: https://www.econbiz.de/10013187580
Saved in:
10
Pricing VXX options by modeling VIX directly
Lin, Wei
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
5
,
pp. 888-922
Persistent link: https://www.econbiz.de/10013187612
Saved in:
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