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~isPartOf:"Applied economics letters"
~isPartOf:"The journal of corporate finance : contracting, governance and organization"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"ARCH-Modell"
~type_genre:"Aufsatz in Zeitschrift"
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ARCH-Modell
Börsenkurs
615
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615
Option pricing theory
253
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253
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203
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Mazzoni, Thomas
2
Wu, Xinyu
2
Apergis, Emmanuel
1
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1
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1
Baek, Changryong
1
Bautista, Carlos C.
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Applied economics letters
The journal of corporate finance : contracting, governance and organization
The journal of derivatives : the official publication of the International Association of Financial Engineers
Finance research letters
56
International review of economics & finance : IREF
51
The North American journal of economics and finance : a journal of financial economics studies
51
Applied economics
48
Energy economics
46
Research in international business and finance
45
International review of financial analysis
41
Journal of empirical finance
39
Economic modelling
38
Journal of international financial markets, institutions & money
36
Journal of risk and financial management : JRFM
35
Journal of banking & finance
32
Journal of econometrics
29
International journal of forecasting
21
The journal of futures markets
21
International Journal of Energy Economics and Policy : IJEEP
20
Economics letters
18
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
18
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
18
Cogent economics & finance
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of forecasting
17
Review of quantitative finance and accounting
17
International journal of economics and financial issues : IJEFI
15
Global business review
14
International Journal of Financial Studies : open access journal
14
International journal of economics and finance
13
The European journal of finance
13
The empirical economics letters : a monthly international journal of economics
13
Applied financial economics
12
Emerging markets, finance and trade : EMFT
12
International journal of finance & economics : IJFE
12
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of financial econometrics
11
Risks : open access journal
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The journal of applied business research
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ECONIS (ZBW)
32
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1
Ensuring more is better : on the simultaneous application of stock and options data to estimate the GARCH options pricing model
Chang, Charles
;
Cheng, Hung-Wen
;
Fuh, Cheng-Der
- In:
The journal of derivatives : the official publication …
26
(
2018
)
1
,
pp. 7-25
Persistent link: https://www.econbiz.de/10011968669
Saved in:
2
A GARCH parameterization of the volatility surface
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 9-24
Persistent link: https://www.econbiz.de/10011399795
Saved in:
3
Explaining smiles : GARCH option pricing with conditional leptokurtosis and skewness
Lehnert, Thorsten
- In:
The journal of derivatives : the official publication …
10
(
2002
)
3
,
pp. 27-39
Persistent link: https://www.econbiz.de/10001770062
Saved in:
4
Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.
;
López, José A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
3
,
pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
Saved in:
5
GARCH option valuation : theory and evidence
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 8-41
Persistent link: https://www.econbiz.de/10010358127
Saved in:
6
Fast analytic option valuation with GARCH
Mazzoni, Thomas
- In:
The journal of derivatives : the official publication …
18
(
2010
)
1
,
pp. 18-38
Persistent link: https://www.econbiz.de/10008655530
Saved in:
7
Credit spread options valuation under GARCH
Tahani, Nabil
- In:
The journal of derivatives : the official publication …
14
(
2006
)
1
,
pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
Saved in:
8
Exchange options and spread options with stochastically correlated underlyings
Wang, Xingchun
- In:
Applied economics letters
29
(
2022
)
12
,
pp. 1060-1068
Persistent link: https://www.econbiz.de/10013412038
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9
Volatility, maturity and volume in the Indian metals futures
Pati, Pratap Chandra
- In:
Applied economics letters
25
(
2018
)
10
,
pp. 674-680
Persistent link: https://www.econbiz.de/10012129793
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10
Do different time horizons in the volatility of the US stock market significantly affect the China ETF market?
Nie, He
;
Jiang, Yonghong
;
Yang, Baoqing
- In:
Applied economics letters
25
(
2018
)
11
,
pp. 747-751
Persistent link: https://www.econbiz.de/10012129834
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