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~isPartOf:"Quantitative finance"
~subject:"Volatility"
~type_genre:"Amtliche Publikation"
~type_genre:"Article in journal"
~type_genre:"Conference proceedings"
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Volatility
Theorie
283
Theory
283
Option pricing theory
190
Optionspreistheorie
190
Portfolio selection
188
Portfolio-Management
187
Stochastic process
158
Stochastischer Prozess
158
Volatilität
157
Forecasting model
68
Prognoseverfahren
68
Börsenkurs
61
Estimation
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Share price
61
Schätzung
60
Capital income
56
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56
Derivat
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Derivative
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Option trading
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Optionsgeschäft
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49
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Amtliche Publikation
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157
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2
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Escobar, Marcos
4
Bayer, Christian
3
Felpel, Mike
3
Gatheral, Jim
3
Horvath, Blanka Nora
3
Jacquier, Antoine
3
Kienitz, Jörg
3
McWalter, Thomas A.
3
Radoičić, Radoš
3
Rosenbaum, Mathieu
3
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2
Alexander, Carol
2
Alòs, Elisa
2
Chatterjee, Rupak
2
Cheang, Gerald H. L.
2
Cheng, Yuyang
2
Cui, Zhenyu
2
De Marco, Stefano
2
Forde, Martin
2
Friz, Peter K.
2
Garces, Len Patrick Dominic M.
2
Glasserman, Paul
2
Gobet, Emmanuel
2
Gudkov, Nikolay
2
Gulisashvili, Archil
2
Guyon, Julien
2
Hainaut, Donatien
2
Izzeldin, Marwan
2
Khashanah, Khaldoun
2
Kim, Jeong-Hoon
2
Lillo, Fabrizio
2
Martini, Claude
2
Muguruza, Aitor
2
Pappas, Vasileios
2
Pirjol, Dan
2
Schoutens, Wim
2
Smith, Benjamin
2
Sornette, Didier
2
Tudor, Sebastian F.
2
Wehrli, Alexander
2
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Quantitative finance
Journal of econometrics
263
Journal of banking & finance
213
International journal of theoretical and applied finance
211
Finance research letters
171
Journal of empirical finance
135
Economics letters
130
Economic modelling
129
The journal of futures markets
122
Energy economics
118
Journal of economic dynamics & control
118
The North American journal of economics and finance : a journal of financial economics studies
117
Journal of financial economics
116
International review of financial analysis
114
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
114
Applied economics
111
Applied mathematical finance
107
International review of economics & finance : IREF
103
Mathematical finance : an international journal of mathematics, statistics and financial theory
97
International journal of forecasting
96
Computational economics
87
The European journal of finance
82
Journal of international money and finance
81
Journal of risk and financial management : JRFM
78
Journal of international financial markets, institutions & money
75
Finance and stochastics
74
The review of financial studies
73
Econometric reviews
72
The journal of computational finance
72
Journal of financial econometrics : official journal of the Society for Financial Econometrics
71
Journal of forecasting
71
Applied economics letters
69
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
69
Risks : open access journal
68
European journal of operational research : EJOR
63
Review of derivatives research
63
Applied financial economics
59
Journal of mathematical finance
59
The journal of finance : the journal of the American Finance Association
59
International journal of financial engineering
57
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ECONIS (ZBW)
157
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157
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1
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
2
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
3
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:
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
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang
;
Escobar, Marcos
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 497-519
Persistent link: https://www.econbiz.de/10014232681
Saved in:
6
No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A.
- In:
Quantitative finance
22
(
2022
)
12
,
pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
Saved in:
7
Principled pasting : attaching tails to risk-neutral probability density functions recovered from option prices
Bollinger, Thomas R.
;
Melick, William Robert
;
Thomas, …
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1751-1768
Persistent link: https://www.econbiz.de/10014452468
Saved in:
8
Functional quantization of rough volatility and applications to volatility derivatives
Bonesini, O.
;
Callegaro, Giulia
;
Jacquier, Antoine
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1769-1792
Persistent link: https://www.econbiz.de/10014452470
Saved in:
9
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
10
Delta hedging bitcoin options with a smile
Alexander, Carol
;
Imeraj, Arben
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 799-817
Persistent link: https://www.econbiz.de/10014304354
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