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~isPartOf:"Applied economics"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"The journal of futures markets"
~subject:"Volatility"
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Volatility
Simulation
380
Theorie
220
Theory
220
Monte Carlo simulation
122
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120
Mathematical programming
80
Mathematische Optimierung
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Balcilar, Mehmet
1
Chen, Langnan
1
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1
Cui, Zhenyu
1
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1
Elliott, Robert J.
1
Fernandes, Mário Correia
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1
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Naghshineh A., Omid
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Applied economics
European journal of operational research : EJOR
The journal of futures markets
Discussion paper / Tinbergen Institute
20
Journal of econometrics
18
Computational economics
16
Econometric reviews
16
International journal of theoretical and applied finance
16
Quantitative finance
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
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12
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12
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11
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
11
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9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
Working paper / Department of Econometrics and Business Statistics, Monash University
9
Finance research letters
8
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7
International journal of forecasting
6
Journal of economic behavior & organization : JEBO
6
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6
CAMA working paper series
5
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
5
Econometric Institute research papers
5
Economics letters
5
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Risks : open access journal
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BERG working paper series
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Finance and stochastics
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
16
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1
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
2
Is Bitcoin really a currency? : a viewpoint of a stochastic volatility model
Kunimoto, Noriyuki
;
Kakamu, Kazuhiko
- In:
Applied economics
54
(
2022
)
57
,
pp. 6536-6550
Persistent link: https://www.econbiz.de/10013494160
Saved in:
3
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:
4
Simulation
schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk
;
Kwok, Yue-Kuen
- In:
European journal of operational research : EJOR
314
(
2024
)
1
,
pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
Saved in:
5
GARCH pricing and hedging of VIX options
Liu, Qiang
;
Jiao, Yuhan
;
Guo, Shuxin
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1039-1066
Persistent link: https://www.econbiz.de/10013287915
Saved in:
6
An agent-based model and detect price manipulation based on intraday transaction data with
simulation
Zare, Mohammad
;
Naghshineh A., Omid
;
Salavati, Erfan
; …
- In:
Applied economics
53
(
2021
)
43
,
pp. 4931-4949
Persistent link: https://www.econbiz.de/10012609914
Saved in:
7
Efficient
simulation
of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
8
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
Saved in:
9
Interactions between real economic and financial sides of the US economy in a regime-switching environment
Safarazi, Soodabeh
;
Hammoudeh, Shawkat
;
Balcilar, Mehmet
- In:
Applied economics
47
(
2015
)
58/60
,
pp. 6493-6518
Persistent link: https://www.econbiz.de/10011412036
Saved in:
10
A multivariate Markov regime-switching high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng
;
Sheu, Her-jiun
;
Lee, Hsiang-Tai
- In:
The journal of futures markets
37
(
2017
)
11
,
pp. 1124-1140
Persistent link: https://www.econbiz.de/10011950956
Saved in:
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