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~isPartOf:"The journal of futures markets"
~subject:"Capital income"
~subject:"Stochastic process"
~subject:"Stock index"
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Capital income
Stochastic process
Stock index
Volatility
344
Volatilität
344
USA
128
United States
128
Option pricing theory
78
Optionspreistheorie
78
Börsenkurs
72
Share price
72
Index futures
68
Index-Futures
68
Option trading
63
Optionsgeschäft
63
Estimation
60
Schätzung
60
Commodity derivative
51
Rohstoffderivat
51
Derivat
46
Derivative
46
Theorie
44
Theory
44
ARCH model
38
ARCH-Modell
38
Forecasting model
34
Prognoseverfahren
34
Hedging
29
Kapitaleinkommen
29
Stochastischer Prozess
29
Welt
29
World
29
Handelsvolumen der Börse
27
Trading volume
27
Aktienindex
23
Yield curve
23
Zinsstruktur
23
Capital market returns
20
Kapitalmarktrendite
20
Aktienmarkt
19
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78
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78
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78
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English
78
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Bali, Turan G.
3
Zhang, Jin E.
3
Agarwalla, Sobhesh Kumar
2
Doran, James S.
2
Elliott, Robert J.
2
Fatone, Lorella
2
Illueca, M.
2
Koutmos, Gregory
2
Lafuente, J. A.
2
Lai, Yu-Sheng
2
Mariani, Francesca
2
Peterson, David R.
2
Stivers, Christopher T.
2
Varma, Jayanth Rama
2
Zirilli, Francesco
2
Abhyankar, Abhay
1
Albert, Pascal
1
Alexiou, Lykourgos
1
Antoniou, Antonios
1
Badshah, Ihsan Ullah
1
Baillie, Richard
1
Bansal, Naresh K.
1
Bhanot, Karan
1
Brooks, Robert D.
1
Chatrath, Arjun
1
Chen, Ren-Raw
1
Choudhry, Taufiq
1
Christie-David, Rohan
1
Chuderewicz, Russell P.
1
Connolly, Robert A.
1
Corrado, Charles Joseph
1
Crato, Nuno
1
Cui, Zhenyu
1
Dai, Tian-Shyr
1
Daigler, Robert T.
1
Das, Debojyoti
1
Dawson, Paul
1
Delisle, R. Jared
1
Dias, José Carlos
1
Ding, Kailin
1
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The journal of futures markets
Finance research letters
188
Journal of econometrics
158
Journal of banking & finance
153
International review of financial analysis
146
International journal of theoretical and applied finance
145
The North American journal of economics and finance : a journal of financial economics studies
133
Journal of empirical finance
128
International review of economics & finance : IREF
125
Energy economics
119
Applied financial economics
107
Applied economics
105
Quantitative finance
101
Economic modelling
99
Journal of financial economics
96
NBER working paper series
92
Research in international business and finance
92
Discussion paper / Tinbergen Institute
91
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
90
Journal of risk and financial management : JRFM
88
Applied economics letters
84
Journal of international financial markets, institutions & money
79
Working paper
78
Working paper / National Bureau of Economic Research, Inc.
75
NBER Working Paper
72
Pacific-Basin finance journal
70
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
67
Economics letters
66
International journal of forecasting
65
Applied mathematical finance
64
Journal of economic dynamics & control
62
Research paper series / Swiss Finance Institute
61
The European journal of finance
60
Econometric reviews
56
Journal of forecasting
56
Mathematical finance : an international journal of mathematics, statistics and financial theory
53
Computational economics
52
Journal of financial econometrics : official journal of the Society for Financial Econometrics
50
The journal of computational finance
50
Review of quantitative finance and accounting
48
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ECONIS (ZBW)
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1
Calibration in the "real world" of a partially specified stochastic
volatility
model
Fatone, Lorella
;
Mariani, Francesca
;
Zirilli, Francesco
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
Saved in:
2
Forecasting realized
volatility
: new evidence from time-varying jumps in VIX
Dutta, Anupam
;
Das, Debojyoti
- In:
The journal of futures markets
42
(
2022
)
12
,
pp. 2165-2189
Persistent link: https://www.econbiz.de/10013465875
Saved in:
3
Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal
;
Herold, Michael
;
Muck, Matthias
- In:
The journal of futures markets
43
(
2023
)
12
,
pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
Saved in:
4
Hedging options in a hidden Markov-switching local-
volatility
model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
5
VIX option-implied
volatility
slope and VIX futures returns
Yoon, Jungah
;
Ruan, Xinfeng
;
Zhang, Jin E.
- In:
The journal of futures markets
42
(
2022
)
6
,
pp. 1002-1038
Persistent link: https://www.econbiz.de/10013287910
Saved in:
6
Can technical indicators based on underlying assets help to predict implied
volatility
index
Shi, Yafeng
;
Shi, Yanlong
;
Ying, Tingting
- In:
The journal of futures markets
44
(
2024
)
1
,
pp. 57-74
Persistent link: https://www.econbiz.de/10014475424
Saved in:
7
Revisiting the puzzle of jumps in
volatility
forecasting : the new insights of high-frequency jump intensity
Qu, Hui
;
Wang, Tianyang
;
Shangguan, Peng
;
He, Mengying
- In:
The journal of futures markets
44
(
2024
)
2
,
pp. 218-251
Persistent link: https://www.econbiz.de/10014475461
Saved in:
8
Performance comparison of alternative stochastic
volatility
models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia
;
Dias, José Carlos
;
Nunes, …
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
Saved in:
9
Lottery and bubble stocks and the cross-section of option-implied tail risks
Agarwalla, Sobhesh Kumar
;
Saurav, Sumit
;
Varma, Jayanth Rama
- In:
The journal of futures markets
42
(
2022
)
2
,
pp. 231-249
Persistent link: https://www.econbiz.de/10012817879
Saved in:
10
Power-type derivatives for rough
volatility
with jumps
Wang, Liang
;
Xia, Weixuan
- In:
The journal of futures markets
42
(
2022
)
7
,
pp. 1369-1406
Persistent link: https://www.econbiz.de/10013287974
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