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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~isPartOf:"The journal of computational finance"
~subject:"Volatilität"
~type:"article"
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Volatilität
Yield curve
85
Zinsstruktur
85
Option pricing theory
30
Optionspreistheorie
30
Interest rate
23
Zins
23
Volatility
18
Estimation
17
Interest rate derivative
17
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18
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Jung, Hojin
3
Kim, Dong H.
3
Kim, Jong-Min
3
Gupta, Rangan
2
Wohar, Mark E.
2
Ahdida, Abdelkoddousse
1
Alfonsi, Aurélien
1
Andersen, Leif B. G.
1
Balcilar, Mehmet
1
Briani, Maya
1
Brotherton-Ratcliffe, Rupert
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1
Deng, Dongya
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Grzelak, Lech A.
1
Hui, Cho H.
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Jabłecki, Juliusz
1
Kiesel, Rüdiger
1
Lai, Yongzeng
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Lin, Shih-kuei
1
Lo, Chi-Fai
1
Lutz, Matthias
1
Ma, Jingtang
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Nautz, Dieter
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Ng, Leslie
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Reisinger, Christoph
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Risse, Marian
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Wang, Shin-yun
1
Wang, Shixuan
1
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1
Zanette, Antonino
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The North American journal of economics and finance : a journal of financial economics studies
The journal of computational finance
Journal of banking & finance
24
The journal of futures markets
23
International journal of theoretical and applied finance
17
Journal of financial economics
15
Journal of international money and finance
14
Journal of empirical finance
13
The review of financial studies
13
Economic modelling
11
Quantitative finance
11
Economics letters
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The journal of fixed income
10
Applied financial economics
9
Applied mathematical finance
9
Finance research letters
9
Journal of financial and quantitative analysis : JFQA
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Energy economics
8
Journal of econometrics
7
The journal of finance : the journal of the American Finance Association
7
International review of financial analysis
6
Journal of international financial markets, institutions & money
6
Journal of money, credit and banking : JMCB
6
The European journal of finance
6
The journal of derivatives : the official publication of the International Association of Financial Engineers
6
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
6
Asia-Pacific financial markets
5
Emerging markets, finance and trade : EMFT
5
Finance and stochastics
5
Insurance / Mathematics & economics
5
International journal of forecasting
5
International review of economics & finance : IREF
5
Journal of risk and financial management : JRFM
5
Macroeconomics and finance in emerging market economies
5
Review of derivatives research
5
Applied economics
4
Computational economics
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
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ECONIS (ZBW)
18
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1
Exchange rate dynamics and US dollar-denominated sovereign bond prices in emerging markets
Hui, Cho H.
;
Lo, Chi-Fai
;
Chau, Po-Hon
- In:
The North American journal of economics and finance : a …
44
(
2018
),
pp. 109-128
Persistent link: https://www.econbiz.de/10012036515
Saved in:
2
Estimating yield spreads volatility using GARCH-type models
Kim, Jong-Min
;
Kim, Dong H.
;
Jung, Hojin
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012822078
Saved in:
3
Applications of machine learning for corporate bond yield spread forecasting
Kim, Jong-Min
;
Kim, Dong H.
;
Jung, Hojin
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013188180
Saved in:
4
Modeling non-normal corporate bond yield spreads by copula
Kim, Jong-Min
;
Kim, Dong H.
;
Jung, Hojin
- In:
The North American journal of economics and finance : a …
53
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012642431
Saved in:
5
Oil price uncertainty and movements in the US government bond risk premia
Balcilar, Mehmet
;
Gupta, Rangan
;
Wang, Shixuan
;
Wohar, …
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012654789
Saved in:
6
The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom : evidence from a nonparametric causality-in-quantiles test using over...
Gupta, Rangan
;
Risse, Marian
;
Volkman, David A.
;
Wohar, …
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 391-405
Persistent link: https://www.econbiz.de/10012117890
Saved in:
7
A nonparametric local volatility model for swaptions smile
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
The journal of computational finance
21
(
2017/2018
)
5
,
pp. 35-62
Persistent link: https://www.econbiz.de/10011860899
Saved in:
8
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston-Cox-Ingersoll-Ross model
Cozma, Andrei
;
Reisinger, Christoph
- In:
The journal of computational finance
20
(
2016/2017
)
3
,
pp. 109-149
Persistent link: https://www.econbiz.de/10011689688
Saved in:
9
Smile with the Gaussian term structure model
Ahdida, Abdelkoddousse
;
Alfonsi, Aurélien
;
Palidda, Ernesto
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 115-157
Persistent link: https://www.econbiz.de/10011691616
Saved in:
10
Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei
;
Wang, Shin-yun
;
Chen, Carl R.
;
Xu, Lian-Wen
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
Saved in:
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