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~language:"ces"
~language:"eng"
~person:"Fabozzi, Frank J."
~subject:"ARCH model"
~subject:"Risikomaß"
~type_genre:"Article in journal"
~type_genre:"Article"
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ARCH model
Risikomaß
Theorie
83
Theory
83
Portfolio selection
77
Portfolio-Management
77
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38
United States
38
Option pricing theory
35
Optionspreistheorie
35
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27
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27
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27
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24
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24
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24
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21
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18
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Fabozzi, Frank J.
McAleer, Michael
65
Ma, Feng
62
Gupta, Rangan
48
Hammoudeh, Shawkat
42
Kumar, Dilip
35
Bouri, Elie
34
Kang, Sang Hoon
33
Tiwari, Aviral Kumar
32
Zhang, Yaojie
30
McMillan, David G.
29
Mensi, Walid
28
Nguyen, Duc Khuong
28
Serletis, Apostolos
28
Wang, Ruodu
26
Wang, Yudong
26
Caporin, Massimiliano
25
Hamori, Shigeyuki
25
Yoon, Seong-min
24
Degiannakis, Stavros
23
Francq, Christian
23
Wei, Yu
23
Righi, Marcelo Brutti
22
Chiang, Thomas C.
21
Hafner, Christian M.
21
Liang, Chao
21
Zakoïan, Jean-Michel
21
Choudhry, Taufiq
19
Floros, Christos
19
Guesmi, Khaled
19
Ji, Qiang
19
Račev, Svetlozar T.
19
Teräsvirta, Timo
19
Wu, Xinyu
19
Bali, Turan G.
18
Chang, Chia-Lin
18
Chen, Cathy W. S.
18
Chevallier, Julien
18
Engle, Robert F.
18
Xuan Vinh Vo
18
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Journal of banking & finance
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Annals of economics and finance
2
Computational economics
2
International journal of theoretical and applied finance
2
Annals of operations research
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Energy economics
1
European financial management : the journal of the European Financial Management Association
1
International journal of finance & economics : IJFE
1
International review of financial analysis
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Review of quantitative finance and accounting
1
The journal of alternative investments : JAI
1
The journal of asset management
1
The journal of fixed income
1
The journal of portfolio management : a publication of Institutional Investor
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ECONIS (ZBW)
27
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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
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:
3
Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Hu, Yuan
;
Lindquist, W. Brent
;
Fabozzi, Frank J.
- In:
The journal of alternative investments : JAI
24
(
2021
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10012613090
Saved in:
4
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:
5
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
Saved in:
6
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
Saved in:
7
Portfolio selection in the presence of systemic risk
Biglova, Almira
;
Ortobelli, Sergio
;
Fabozzi, Frank J.
- In:
The journal of asset management
15
(
2014
)
5
,
pp. 285-299
Persistent link: https://www.econbiz.de/10010476238
Saved in:
8
Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
1
,
pp. 103-120
Persistent link: https://www.econbiz.de/10009728412
Saved in:
9
CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 977-988
Persistent link: https://www.econbiz.de/10009708724
Saved in:
10
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander
;
Kim, Young Shin
;
Račev, Svetlozar T.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
2
,
pp. 167-177
Persistent link: https://www.econbiz.de/10009739605
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