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~subject:"Kreditderivat"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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Kreditderivat
Statistical distribution
Volatility
8
Volatilität
8
Theorie
7
Theory
7
Cointegration
5
Estimation
5
Kointegration
5
Schätzung
5
Börsenkurs
4
Share price
4
Time series analysis
4
Zeitreihenanalyse
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Forecasting model
3
Fractional cointegration
3
Option pricing theory
3
Option trading
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Optionsgeschäft
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Optionspreistheorie
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Prognoseverfahren
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Statistische Verteilung
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ARCH model
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ARCH-Modell
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CDS
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Credit derivative
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Estimation theory
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Portfolio selection
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Risk-neutral moments
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Schätztheorie
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State space model
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VAR model
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Aufsatz in Zeitschrift
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English
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Santucci de Magistris, Paolo
5
Caporin, Massimiliano
3
Rossi, Eduardo
2
Barletta, Andrea
1
Catania, Leopoldo
1
Di Mari, Roberto
1
Natvik, Gisle J.
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Ravazzolo, Francesco
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Violante, Francesco
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Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Dynamic discrete mixtures for high-frequency prices
Catania, Leopoldo
;
Di Mari, Roberto
;
Santucci de …
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 559-577
Persistent link: https://www.econbiz.de/10013533453
Saved in:
2
A non-structural investigation of VIX risk neutral density
Barletta, Andrea
;
Santucci de Magistris, Paolo
; …
- In:
Journal of banking & finance
99
(
2019
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012162287
Saved in:
3
The bank-sovereign nexus : evidence from a non-bailout episode
Caporin, Massimiliano
;
Natvik, Gisle J.
;
Ravazzolo, …
- In:
Journal of empirical finance
53
(
2019
),
pp. 181-196
Persistent link: https://www.econbiz.de/10012171688
Saved in:
4
Chasing volatility : a persistent multiplicative error model with jumps
Caporin, Massimiliano
;
Rossi, Eduardo
;
Santucci de …
- In:
Journal of econometrics
198
(
2017
)
1
,
pp. 122-145
Persistent link: https://www.econbiz.de/10011818372
Saved in:
5
Volatility jumps and their economic determinants
Caporin, Massimiliano
;
Rossi, Eduardo
;
Santucci de …
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 29-80
Persistent link: https://www.econbiz.de/10011588534
Saved in:
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