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~language:"eng"
~person:"Fabozzi, Frank J."
~subject:"ARCH-Modell"
~type_genre:"Article in journal"
~type_genre:"Sammlung"
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ARCH-Modell
Theorie
83
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83
Portfolio selection
77
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77
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38
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38
Option pricing theory
35
Optionspreistheorie
35
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27
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26
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26
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24
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24
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Fabozzi, Frank J.
Ma, Feng
65
McAleer, Michael
49
Gupta, Rangan
45
Bouri, Elie
35
Zhang, Yaojie
33
Kumar, Dilip
31
McMillan, David G.
28
Serletis, Apostolos
27
Kang, Sang Hoon
26
Wang, Yudong
26
Degiannakis, Stavros
24
Hammoudeh, Shawkat
24
Tiwari, Aviral Kumar
24
Francq, Christian
23
Hamori, Shigeyuki
23
Liang, Chao
23
Wei, Yu
23
Yoon, Seong-min
23
Hafner, Christian M.
21
Nguyen, Duc Khuong
21
Wu, Xinyu
20
Zakoïan, Jean-Michel
20
Caporin, Massimiliano
19
Floros, Christos
19
Teräsvirta, Timo
19
Chiang, Thomas C.
18
Guesmi, Khaled
18
Karanasos, Menelaos
18
Lucey, Brian M.
18
Mensi, Walid
18
Xuan Vinh Vo
18
Brooks, Robert
17
Chevallier, Julien
17
Choudhry, Taufiq
17
Engle, Robert F.
17
Malik, Farooq
17
Hsing, Yu
16
Huang, Zhuo
16
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16
Asai, Manabu
15
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Journal of banking & finance
3
Computational economics
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
Annals of economics and finance
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
International journal of finance & economics : IJFE
1
International review of financial analysis
1
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ECONIS (ZBW)
13
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1
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13
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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
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:
4
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:
5
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
Saved in:
6
The role of jump dynamics in the risk-return relationship
Arshanapalli, Bala Gangadhar
;
Fabozzi, Frank J.
; …
- In:
International review of financial analysis
29
(
2013
),
pp. 212-218
Persistent link: https://www.econbiz.de/10010244955
Saved in:
7
Time series analysis for financial market meltdowns
Kim, Young Shin
;
Račev, Svetlozar T.
;
Bianchi, Michele …
- In:
Journal of banking & finance
35
(
2011
)
8
,
pp. 1879-1891
Persistent link: https://www.econbiz.de/10009247416
Saved in:
8
Tempered stable and tempered infinitely divisible GARCH models
Kim, Young Shin
;
Račev, Svetlozar T.
;
Bianchi, Michele …
- In:
Journal of banking & finance
34
(
2010
)
9
,
pp. 2096-2109
Persistent link: https://www.econbiz.de/10008732109
Saved in:
9
A new approach for using Lévy processes for determining high-frequency value-at-risk predictions
Sun, Wei
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
European financial management : the journal of the …
15
(
2009
)
2
,
pp. 340-361
Persistent link: https://www.econbiz.de/10003824799
Saved in:
10
A new approach to modeling co-movement of international equity markets : evidence of unconditional copula-based stimulation of tail dependence
Sun, Wei
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
; …
- In:
Empirical economics : a journal of the Institute for …
36
(
2009
)
1
,
pp. 201-229
Persistent link: https://www.econbiz.de/10003804574
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