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~isPartOf:"Journal of banking & finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Volatilität"
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Search: subject:"Stochastic Volatility"
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Volatilität
Volatility
36
Stochastic process
32
Stochastischer Prozess
32
Stochastic volatility
25
Option pricing theory
20
Optionspreistheorie
20
Estimation
12
Schätzung
12
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8
Theory
8
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6
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Markov chain
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EU countries
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EU-Staaten
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Financial crisis
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Monte Carlo simulation
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Option pricing
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Risikomaß
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Risikoprämie
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Risk measure
3
Risk premium
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Robust statistics
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Robustes Verfahren
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Stochastic volatility models
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Baldeaux, Jan
2
Li, Shaoyu
2
Platen, Eckhard
2
Arismendi Zambrano, Juan Carlos
1
Audrino, Francesco
1
Avouyi-Dovi, Sanvi
1
Back, Janis
1
Backwell, Alex
1
Batten, Jonathan A.
1
Bian, Zhicun
1
Branger, Nicole
1
Bregantini, Daniele
1
Będowska-Sójka, Barbara
1
Chan, Tat Lung (Ron)
1
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1
Chen, Dengsheng
1
Chen, Naiwei
1
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1
Chiu, Hsin-Yu
1
Cordis, Adriana S.
1
Deng, Dongya
1
Escobar, Marcos
1
Feng, Yaqin
1
Fengler, Matthias
1
Ferrando, Sebastian
1
Ge̜bka, Bartosz
1
Gong, Xiaoli
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Huang, Henry He
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Ignatieva, Ekaterina
1
Jessen, Cathrine
1
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Journal of banking & finance
The North American journal of economics and finance : a journal of financial economics studies
International journal of theoretical and applied finance
65
Journal of econometrics
44
Quantitative finance
40
Discussion paper / Tinbergen Institute
37
Journal of economic dynamics & control
28
Finance research letters
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Applied mathematical finance
22
CAMA working paper series
22
Working paper
22
Energy economics
21
Computational economics
19
The journal of computational finance
19
European journal of operational research : EJOR
18
Economics letters
17
Journal of mathematical finance
16
Insurance / Mathematics & economics
15
Journal of risk and financial management : JRFM
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Risks : open access journal
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Tinbergen Institute Discussion Paper
15
Economic modelling
14
Finance and stochastics
14
International journal of financial engineering
14
International journal of forecasting
13
Discussion papers / CEPR
12
Econometric reviews
12
Mathematical finance : an international journal of mathematics, statistics and financial theory
12
Annals of finance
11
Applied economics
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Review of derivatives research
11
Documento de trabajo
10
Econometrics : open access journal
9
International review of economics & finance : IREF
9
International review of financial analysis
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Applied economics letters
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ECONIS (ZBW)
36
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31
Are classical option pricing models consistent with observed option second-order moments? : evidence from high-frequency data
Audrino, Francesco
;
Fengler, Matthias
- In:
Journal of banking & finance
61
(
2015
),
pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
Saved in:
32
Robust portfolio choice with derivative trading under
stochastic
volatility
Escobar, Marcos
;
Ferrando, Sebastian
;
Rubtsov, Alexey
- In:
Journal of banking & finance
61
(
2015
),
pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
Saved in:
33
Explicit approximate analytic formulas for timer option pricing with stochastic interest rates
Ma, Jingtang
;
Deng, Dongya
;
Lai, Yongzeng
- In:
The North American journal of economics and finance : a …
34
(
2015
),
pp. 1-21
Persistent link: https://www.econbiz.de/10011539653
Saved in:
34
Discrete stochastic autoregressive volatility
Cordis, Adriana S.
;
Kirby, Chris
- In:
Journal of banking & finance
43
(
2014
),
pp. 160-178
Persistent link: https://www.econbiz.de/10010410013
Saved in:
35
Have the GIPSI settled down? : breaks and multivariate
stochastic
volatility
models for, and not against, the European financial integration
Ge̜bka, Bartosz
;
Karoglou, Michail
- In:
Journal of banking & finance
37
(
2013
)
9
,
pp. 3639-3653
Persistent link: https://www.econbiz.de/10010126309
Saved in:
36
Moment-based estimation of
stochastic
volatility
Bregantini, Daniele
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 4755-4764
Persistent link: https://www.econbiz.de/10010342233
Saved in:
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