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~subject:"ARCH model"
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ARCH model
Theorie
43
Theory
43
Option pricing theory
16
Optionspreistheorie
16
Credit risk
15
Kreditrisiko
15
ARCH-Modell
13
Deposit insurance
12
USA
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United States
12
Volatilität
10
Einlagensicherung
9
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9
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8
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8
Schätztheorie
8
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7
Estimation theory
7
Markov chain
7
Schätzung
7
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6
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6
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Monte Carlo simulation
6
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6
Yield curve
6
Zinsstruktur
6
maximum likelihood
5
Credit rating
4
Forecasting model
4
GARCH
4
Kreditwürdigkeit
4
Particle filtering
4
Prognoseverfahren
4
Risk
4
Bank risk
3
Bankrisiko
3
CAPM
3
Index futures
3
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12
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11
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11
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1
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English
13
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Duan, Jin-Chuan
13
Simonato, Jean-Guy
3
Gauthier, Geneviève
2
Pliska, Stanley R.
2
Wang, Yazhen
2
Jacobs, Kris
1
Ritchken, Peter H.
1
Sasseville, Caroline
1
Sun, Zhiqiang
1
Wei, Jason
1
Yu, Min-Teh
1
Zhang, Hua
1
Zhang, Weiqi
1
Zou, Jian
1
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Journal of banking & finance
3
Journal of economic dynamics & control
2
Advances in finance and stochastics : essays in honour of Dieter Sondermann
1
International journal of theoretical and applied finance
1
Journal of empirical finance
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
The journal of computational finance
1
The journal of futures markets
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ECONIS (ZBW)
13
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1
An analytical approximation for the GARCH option pricing model
Duan, Jin-Chuan
;
Gauthier, Geneviève
;
Simonato, Jean-Guy
- In:
The journal of computational finance
2
(
1999
)
4
,
pp. 75-116
Persistent link: https://www.econbiz.de/10001517300
Saved in:
2
American option pricing under GARCH by a Markov chain approximation
Duan, Jin-Chuan
;
Simonato, Jean-Guy
- In:
Journal of economic dynamics & control
25
(
2001
)
11
,
pp. 1689-1718
Persistent link: https://www.econbiz.de/10001599252
Saved in:
3
Pricing Hang Seng Index options around the Asian financial crisis : a GARCH approach
Duan, Jin-Chuan
;
Zhang, Hua
- In:
Journal of banking & finance
25
(
2001
)
11
,
pp. 1989-2014
Persistent link: https://www.econbiz.de/10001617904
Saved in:
4
Option pricing for co-integrated assets
Duan, Jin-Chuan
;
Pliska, Stanley R.
- In:
Advances in finance and stochastics : essays in honour …
,
(pp. 85-99)
.
2002
Persistent link: https://www.econbiz.de/10001672222
Saved in:
5
Approximating American option prices in the GARCH framework
Duan, Jin-Chuan
;
Gauthier, Geneviève
;
Sasseville, Caroline
- In:
The journal of futures markets
23
(
2003
)
10
,
pp. 915-929
Persistent link: https://www.econbiz.de/10001789593
Saved in:
6
Option valuation with co.integrated asset prices
Duan, Jin-Chuan
;
Pliska, Stanley R.
- In:
Journal of economic dynamics & control
28
(
2004
)
4
,
pp. 727-754
Persistent link: https://www.econbiz.de/10001854468
Saved in:
7
Capital standard, forbearance and deposit insurance pricing under GARCH
Duan, Jin-Chuan
;
Yu, Min-Teh
- In:
Journal of banking & finance
23
(
1999
)
11
,
pp. 1691-1706
Persistent link: https://www.econbiz.de/10001415173
Saved in:
8
Executive stock options and incentive effects due to systematic risk
Duan, Jin-Chuan
;
Wei, Jason
- In:
Journal of banking & finance
29
(
2005
)
5
,
pp. 1185-1211
Persistent link: https://www.econbiz.de/10002628560
Saved in:
9
Forward-looking market risk premium
Duan, Jin-Chuan
;
Zhang, Weiqi
- In:
Management science : journal of the Institute for …
60
(
2014
)
2
,
pp. 521-538
Persistent link: https://www.econbiz.de/10010258775
Saved in:
10
Approximating GARCH-Jump models, jump-diffusion processes, and option pricing
Duan, Jin-Chuan
;
Ritchken, Peter H.
;
Sun, Zhiqiang
- In:
Mathematical finance : an international journal of …
16
(
2006
)
1
,
pp. 21-52
Persistent link: https://www.econbiz.de/10003336780
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