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~language:"cat"
~language:"eng"
~language:"ron"
~person:"Fabozzi, Frank J."
~subject:"ARCH-Modell"
~subject:"Stochastischer Prozess"
~type_genre:"Article in journal"
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ARCH-Modell
Stochastischer Prozess
Theorie
83
Theory
83
Portfolio selection
77
Portfolio-Management
77
USA
38
United States
38
Option pricing theory
35
Optionspreistheorie
35
CAPM
27
Volatility
27
Volatilität
27
Capital income
24
Kapitaleinkommen
24
Stochastic process
24
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21
Statistische Verteilung
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18
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Valencian
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Fabozzi, Frank J.
McAleer, Michael
69
Ma, Feng
61
Gupta, Rangan
46
Escudero, Laureano F.
40
Escobar, Marcos
35
Asai, Manabu
32
Bouri, Elie
32
Siu, Tak Kuen
32
Kumar, Dilip
31
Zhang, Yaojie
30
McMillan, David G.
28
Serletis, Apostolos
28
Wong, Wing Keung
28
Kang, Sang Hoon
26
Račev, Svetlozar T.
26
Elliott, Robert J.
25
Gendreau, Michel
25
Hammoudeh, Shawkat
25
Tiwari, Aviral Kumar
25
Wang, Yudong
25
Carr, Peter
24
Degiannakis, Stavros
24
Francq, Christian
24
Hafner, Christian M.
24
Hamori, Shigeyuki
24
Phillips, Peter C. B.
24
Caporin, Massimiliano
23
Hainaut, Donatien
23
Nguyen, Duc Khuong
23
Wei, Yu
23
Yoon, Seong-min
23
Benth, Fred Espen
22
Chevallier, Julien
22
Cui, Zhenyu
22
Kim, Young Shin
21
Liang, Chao
21
Tsionas, Efthymios G.
21
Wallace, Stein W.
21
Yu, Jun
21
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International journal of theoretical and applied finance
5
Computational economics
4
Journal of banking & finance
3
International review of financial analysis
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The journal of fixed income
2
Annals of economics and finance
1
Annals of operations research
1
Applied economics
1
Applied financial economics
1
Econometric reviews
1
Econometric theory
1
Economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
European financial management : the journal of the European Financial Management Association
1
Finance research letters
1
Insurance / Mathematics & economics
1
International journal of finance & economics : IJFE
1
Journal of economic dynamics & control
1
Journal of risk
1
Review of derivatives research
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The journal of trading
1
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ECONIS (ZBW)
35
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1
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
2
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
3
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
Saved in:
4
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
5
Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Finance research letters
28
(
2019
),
pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
Saved in:
6
Pricing derivatives in hermite markets
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Mittnik, Stefan
- In:
International journal of theoretical and applied finance
22
(
2019
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012153100
Saved in:
7
Quanto option pricing with Lévy models
Fallahgoul, Hasan A.
;
Kim, Young Shin
;
Fabozzi, Frank J.
; …
- In:
Computational economics
53
(
2019
)
3
,
pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
Saved in:
8
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
9
Financial markets with no riskless (safe) asset
Račev, Svetlozar T.
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
Saved in:
10
How fat are the tails of equity market indices?
Stoyanov, Stoyan V.
;
Loh, Lixia
;
Fabozzi, Frank J.
- In:
International journal of finance & economics : IJFE
22
(
2017
)
3
,
pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
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