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~isPartOf:"International journal of theoretical and applied finance"
~subject:"ARCH model"
~subject:"Estimation theory"
~subject:"Volatilität"
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ARCH model
Estimation theory
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Markov chain
66
Markov-Kette
66
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29
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29
Option pricing theory
26
Optionspreistheorie
26
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Chan, Leunglung
2
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International journal of theoretical and applied finance
Journal of econometrics
37
Energy economics
35
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
25
Economic modelling
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
23
Journal of empirical finance
20
Applied economics
19
Finance research letters
18
International journal of forecasting
18
The North American journal of economics and finance : a journal of financial economics studies
17
Economics letters
16
Journal of forecasting
16
Working paper / Department of Econometrics and Business Statistics, Monash University
14
Computational economics
13
Discussion paper / Tinbergen Institute
13
Econometric reviews
13
Quantitative finance
13
International review of financial analysis
12
Journal of economic dynamics & control
12
Applied economics letters
11
Review of quantitative finance and accounting
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
International review of economics & finance : IREF
10
Journal of banking & finance
10
Journal of mathematical finance
10
Série des documents de travail / Centre de Recherche en Économie et Statistique
10
The European journal of finance
10
European journal of operational research : EJOR
9
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Applied mathematical finance
7
Economics working paper
7
International journal of finance & economics : IJFE
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
The journal of futures markets
7
Econometrics : open access journal
6
Insurance / Mathematics & economics
6
Journal of risk and financial management : JRFM
6
Research in international business and finance
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Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup
;
Hainaut, Donatien
- In:
International journal of theoretical and applied finance
24
(
2021
)
6/7
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
Saved in:
2
Variance and volatility swaps under a two-factor stochastic volatility model with regime switching
He, Xin-Jiang
;
Zhu, Song-Ping
- In:
International journal of theoretical and applied finance
22
(
2019
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012030900
Saved in:
3
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
4
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
5
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.
;
Liu, Rui Hua
;
Nguyen, D.
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
Saved in:
6
A Dupire equation for a regime-switching model
Elliott, Robert J.
;
Chan, Leunglung
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011403770
Saved in:
7
Volatility derivatives in market models with jumps
Lo, Harry
;
Mijatovi´c, Aleksandar
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1159-1193
Persistent link: https://www.econbiz.de/10009407653
Saved in:
8
On finite dimensional realizations for the term structure of futures prices
Björk, Tomas
;
Blix, Magnus
;
Landén, Camilla
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 281-314
Persistent link: https://www.econbiz.de/10003344282
Saved in:
9
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
10
Detecting and modeling tail dependence
Bellini, Fabio
;
Figà-Talamanca, Gianna
- In:
International journal of theoretical and applied finance
7
(
2004
)
3
,
pp. 269-287
Persistent link: https://www.econbiz.de/10002111461
Saved in:
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