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~isPartOf:"Quantitative finance"
~language:"eng"
~subject:"CAPM"
~subject:"Volatility"
~type_genre:"Article in journal"
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CAPM
Volatility
Theorie
283
Theory
283
Option pricing theory
190
Optionspreistheorie
190
Portfolio selection
190
Portfolio-Management
187
Volatilität
183
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158
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158
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Escobar, Marcos
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Sornette, Didier
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Bayer, Christian
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Felpel, Mike
3
Gatheral, Jim
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Horvath, Blanka Nora
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2
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Gulisashvili, Archil
2
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2
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International Conference on Futures and Other Derivatives <7., 2018, Schanghai>
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Quantitative finance
Finance research letters
660
Energy economics
621
Journal of banking & finance
621
International review of financial analysis
510
Journal of financial economics
459
Applied economics
457
The journal of futures markets
415
International review of economics & finance : IREF
414
Economic modelling
411
Journal of empirical finance
396
The North American journal of economics and finance : a journal of financial economics studies
390
Journal of econometrics
376
The journal of finance : the journal of the American Finance Association
346
Economics letters
340
Applied financial economics
334
The review of financial studies
330
International journal of theoretical and applied finance
310
Journal of international financial markets, institutions & money
310
Applied economics letters
304
Journal of international money and finance
301
Journal of economic dynamics & control
299
Research in international business and finance
289
Pacific-Basin finance journal
255
Journal of risk and financial management : JRFM
235
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
235
The European journal of finance
224
Journal of financial and quantitative analysis : JFQA
217
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
189
Review of quantitative finance and accounting
185
Mathematical finance : an international journal of mathematics, statistics and financial theory
179
International journal of finance & economics : IJFE
167
Management science : journal of the Institute for Operations Research and the Management Sciences
167
International Journal of Energy Economics and Policy : IJEEP
166
Finance and stochastics
144
International journal of forecasting
144
Applied mathematical finance
141
Journal of monetary economics
139
International journal of economics and finance
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ECONIS (ZBW)
228
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228
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1
Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik
;
Hacini, Mehdi-Vincent
;
Somefun, Koye
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10014551942
Saved in:
2
Physics-informed convolutional transformer for predicting volatility surface
Kim, Soohan
;
Yun, Seok-Bae
;
Bae, Hyeong-Ohk
;
Lee, Muhyun
; …
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 203-220
Persistent link: https://www.econbiz.de/10014551964
Saved in:
3
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
4
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
5
Can volatility solve the naive portfolio puzzle?
Curran, Michael
;
O'Sullivan, Patrick
;
Zalla, Ryan
- In:
Quantitative finance
23
(
2023
)
11
,
pp. 1545-1560
Persistent link: https://www.econbiz.de/10014419177
Saved in:
6
Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe
;
Kirkby, Justin Lars
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
Saved in:
7
Coupled GARCH(1,1) model
Nie, Huasheng
;
Waelbroeck, Henri
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 759-776
Persistent link: https://www.econbiz.de/10014304344
Saved in:
8
Cryptocurrency factor momentum
Fieberg, Christian
;
Liedtke, Gerrit
;
Metko, Daniel
; …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1853-1869
Persistent link: https://www.econbiz.de/10014452477
Saved in:
9
Deep weighted Monte Carlo : a hybrid option pricing framework using neural networks
Kunsági-Máté, Sándor
;
Fáth, Gábor
;
Csabai, István
; …
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 615-629
Persistent link: https://www.econbiz.de/10014304287
Saved in:
10
A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi
;
Takada, Hideyuki
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 169-185
Persistent link: https://www.econbiz.de/10013490963
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