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~isPartOf:"Journal of econometrics"
~source:"econis"
~subject:"Estimation"
~subject:"Stochastic volatility"
~subject:"Volatility"
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Estimation
Stochastic volatility
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Derivat
24
Derivative
24
Option pricing theory
15
Optionspreistheorie
15
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13
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11
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Ng, Lilian K.
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Journal of econometrics
The journal of futures markets
69
International journal of theoretical and applied finance
40
Journal of banking & finance
38
Energy economics
36
International review of financial analysis
29
Finance research letters
25
Applied financial economics
24
Applied mathematical finance
24
International review of economics & finance : IREF
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Quantitative finance
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Review of derivatives research
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The European journal of finance
18
Applied economics letters
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Research in international business and finance
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European journal of operational research : EJOR
13
The North American journal of economics and finance : a journal of financial economics studies
13
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12
International journal of financial engineering
12
Economic modelling
11
Journal of financial economics
11
The journal of derivatives : the official publication of the International Association of Financial Engineers
11
Journal of empirical finance
10
Working paper
10
Journal of economic dynamics & control
9
Journal of financial markets
9
Journal of international financial markets, institutions & money
9
Journal of risk and financial management : JRFM
9
Risks : open access journal
9
International journal of bonds and derivatives
8
Review of quantitative finance and accounting
8
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
7
Finance India : the quarterly journal of Indian Institute of Finance
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Finance and economics discussion series
7
Finance and stochastics
7
Mathematical finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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NBER working paper series
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Pacific-Basin finance journal
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Review of Pacific Basin financial markets and policies
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ECONIS (ZBW)
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1
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
2
Variance disparity and market frictions
Park, Yang-Ho
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
Saved in:
3
Option market trading activity and the estimation of the pricing kernel : a Bayesian approach
Barone-Adesi, Giovanni
;
Fusari, Nicola
;
Mira, Antonietta
; …
- In:
Journal of econometrics
216
(
2020
)
2
,
pp. 430-449
Persistent link: https://www.econbiz.de/10012439749
Saved in:
4
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
Saved in:
5
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Saved in:
6
Optimal smoothing in nonparametric conditional quantile derivative function estimation
Lin, Wei
;
Cai, Zongwu
;
Li, Zheng
;
Su, Li
- In:
Journal of econometrics
188
(
2015
)
2
,
pp. 502-513
Persistent link: https://www.econbiz.de/10011503661
Saved in:
7
Learning, confidence, and option prices
Shaliastovich, Ivan
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
Saved in:
8
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
9
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Saved in:
10
Model-based pricing for financial derivatives
Zhu, Ke
;
Ling, Shiqing
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Saved in:
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