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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Optionspreistheorie"
~type_genre:"Article in journal"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"Volatilität"
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Optionspreistheorie
Volatility
110
Volatilität
110
Theorie
45
Theory
45
ARCH model
40
ARCH-Modell
40
Estimation
34
Schätzung
34
Stochastic process
32
Stochastischer Prozess
32
Börsenkurs
26
Share price
26
Time series analysis
24
Zeitreihenanalyse
24
Capital income
23
Forecasting model
23
Kapitaleinkommen
23
Prognoseverfahren
23
Estimation theory
16
Schätztheorie
16
USA
12
United States
12
stochastic volatility
10
Aktienmarkt
9
Nichtparametrisches Verfahren
9
Nonparametric statistics
9
Option pricing theory
9
Stock market
9
Correlation
8
Korrelation
8
Market microstructure
8
Marktmikrostruktur
8
Risikomaß
7
Risikoprämie
7
Risk measure
7
Risk premium
7
Noise Trading
6
Noise trading
6
Statistical distribution
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Article in journal
Aufsatz in Zeitschrift
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English
9
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Wu, Liuren
2
Badescu, Alexandru
1
Bandi, Federico M.
1
Byoun, Soku
1
Carr, Peter
1
Cui, Zhenyu
1
Durham, Garland B.
1
Hao, Jinji
1
Huang, Xin
1
Kwok, Chuck C. Y.
1
Madan, Dilip B.
1
Ortega, Juan-Pablo
1
Park, Hun Y.
1
Perron, Benoit
1
Tauchen, George Eugene
1
Zhang, Jin E.
1
Zhu, Jingyi
1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
International journal of theoretical and applied finance
156
Quantitative finance
100
The journal of futures markets
77
Journal of banking & finance
74
Applied mathematical finance
72
The journal of computational finance
62
Mathematical finance : an international journal of mathematics, statistics and financial theory
60
Review of derivatives research
49
International journal of financial engineering
47
Finance research letters
43
European journal of operational research : EJOR
40
Finance and stochastics
40
Journal of econometrics
39
The North American journal of economics and finance : a journal of financial economics studies
38
The journal of derivatives : the official publication of the International Association of Financial Engineers
36
Computational economics
35
Journal of economic dynamics & control
35
Journal of mathematical finance
35
Risks : open access journal
28
Insurance / Mathematics & economics
26
Journal of financial economics
26
Review of quantitative finance and accounting
26
Annals of finance
24
International review of economics & finance : IREF
22
The European journal of finance
22
Applied economics
21
Decisions in economics and finance : DEF ; a journal of applied mathematics
19
Energy economics
19
Management science : journal of the Institute for Operations Research and the Management Sciences
19
Journal of empirical finance
18
Journal of risk and financial management : JRFM
18
Asia-Pacific financial markets
16
Economic modelling
16
International review of financial analysis
16
Journal of financial and quantitative analysis : JFQA
15
Asia-Pacific journal of financial studies
14
Mathematics and financial economics
14
The journal of finance : the journal of the American Finance Association
14
Applied financial economics
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
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1
Non-affine GARCH option pricing models, variance-dependent kernels, and diffusion limits
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 602-648
Persistent link: https://www.econbiz.de/10011987648
Saved in:
2
Simple robust hedging with nearby contracts
Wu, Liuren
;
Zhu, Jingyi
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
1
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011658670
Saved in:
3
Recovering statistical theory in the context of model calibrations
Madan, Dilip B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 260-292
Persistent link: https://www.econbiz.de/10011339334
Saved in:
4
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
Saved in:
5
Risk-neutral modeling with affine and nonaffine models
Durham, Garland B.
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
4
,
pp. 650-681
Persistent link: https://www.econbiz.de/10010233868
Saved in:
6
GARCH option pricing models, the CBOE VIX, and variance risk premium
Hao, Jinji
;
Zhang, Jin E.
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
3
,
pp. 556-580
Persistent link: https://www.econbiz.de/10009786515
Saved in:
7
Long memory and the relation between implied and realized volatility
Bandi, Federico M.
;
Perron, Benoit
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
4
,
pp. 636-670
Persistent link: https://www.econbiz.de/10003565756
Saved in:
8
The relative contribution of jumps to total price variance
Huang, Xin
;
Tauchen, George Eugene
- In:
Journal of financial econometrics : official journal of …
3
(
2005
)
4
,
pp. 456-499
Persistent link: https://www.econbiz.de/10003154293
Saved in:
9
Expectations hypothesis of the term structure of implied volatility : evidence from foreign currency and stock index options
Byoun, Soku
;
Kwok, Chuck C. Y.
;
Park, Hun Y.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 126-151
Persistent link: https://www.econbiz.de/10002221002
Saved in:
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