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Estimation theory
Volatility
43,984
Volatilität
43,720
Theorie
25,972
Theory
25,409
Stochastischer Prozess
19,668
Stochastic process
19,221
Optionspreistheorie
15,691
Option pricing theory
15,231
Taiwan
14,768
ARCH-Modell
11,739
Börsenkurs
11,689
ARCH model
11,558
Share price
11,512
Schätzung
10,676
Estimation
10,417
Kapitaleinkommen
8,317
Capital income
8,281
Aktienmarkt
6,777
Stock market
6,705
Optionsgeschäft
6,658
Option trading
6,452
USA
6,418
Welt
6,230
United States
6,211
World
6,125
Portfolio-Management
6,117
Portfolio selection
6,084
Zeitreihenanalyse
5,800
Time series analysis
5,663
Risk
5,520
Risiko
5,493
Wechselkurs
5,456
Exchange rate
5,344
Prognoseverfahren
5,279
Forecasting model
5,198
Derivat
4,429
Derivative
4,415
Schätztheorie
4,166
CAPM
3,651
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Free
1,581
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94
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4,083
German
20
Chinese
8
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Phillips, Peter C. B.
39
Koopman, Siem Jan
37
Linton, Oliver
37
Francq, Christian
33
Hafner, Christian M.
31
Zakoïan, Jean-Michel
29
Engle, Robert F.
26
Rahbek, Anders
26
Härdle, Wolfgang
23
Lucas, André
22
Todorov, Viktor
22
Li, Jia
21
Teräsvirta, Timo
21
Kumar, Dilip
20
Tauchen, George Eugene
20
Shephard, Neil G.
19
Audrino, Francesco
18
McAleer, Michael
18
Mykland, Per A.
18
Nelson, Daniel B.
18
Andersen, Torben
17
Lütkepohl, Helmut
17
Maheswaran, S.
17
Li, Yingying
16
Renault, Eric
16
Swanson, Norman R.
16
Takahashi, Akihiko
16
Aït-Sahalia, Yacine
15
Bollerslev, Tim
15
Ghysels, Eric
15
Gouriéroux, Christian
15
Pedersen, Rasmus Søndergaard
15
Reiß, Markus
15
Sentana, Enrique
15
Spokojnyj, Vladimir G.
15
Tsionas, Efthymios G.
15
Wolf, Michael
15
Yu, Jun
15
Bauwens, Luc
14
Blasques, Francisco
14
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
25
National Bureau of Economic Research
20
Birkbeck College / Department of Economics
5
Ekonomiska forskningsinstitutet <Stockholm>
4
Centre for Analytical Finance <Århus>
3
Econometrisch Instituut <Rotterdam>
3
Rodney L. White Center for Financial Research
3
European University Institute / Department of Economics
2
Federal Reserve System / Division of Research and Statistics
2
University of Chicago / Graduate School of Business / Department of Economics
2
University of Exeter / Department of Economics
2
Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung
1
Banque de France / Direction des Etudes Economiques et de la Recherche
1
Center for Economic Analysis of Human Behavior and Social Institutions, National Bureau of Economic Research, inc.
1
Chambre de commerce et d'industrie de Paris
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Cowles Commission for Research in Economics
1
European Commission / Statistical Office of the European Communities
1
Federal Reserve Bank of Cleveland
1
Federal Reserve System / Board of Governors
1
Gottfried Wilhelm Leibniz Universität Hannover
1
HFDF <1, 1995, Zürich>
1
HFDF <2, 1998, Zürich>
1
Leibniz-Institut für Agrarentwicklung in Transformationsökonomien
1
Leonard N. Stern School of Business / Information Systems Department
1
London School of Economics and Political Science
1
New York University / Mathematical Finance Seminar
1
New York University Mathematical Finance Seminar
1
Nuffield College
1
Oxford Financial Research Centre
1
School of Economics <Bundoora, Victoria> / Department of Economics
1
Shakai-Keizai-Kenkyūsho <Osaka>
1
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
1
Springer Fachmedien Wiesbaden
1
State University of New York at Albany / Department of Economics
1
Suntory and Toyota International Centres for Economics and Related Disciplines
1
Symposium on Operations Research <24, 1999, Magdeburg>
1
Umeå Universitet / Institutionen för Nationalekonomi
1
Universitat Pompeu Fabra / Departament d'Economia i Empresa
1
University of Chicago / Graduate School of Business
1
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Journal of econometrics
233
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
99
Economics letters
81
Econometric theory
69
Discussion paper / Tinbergen Institute
65
Econometric reviews
54
Journal of empirical finance
53
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
43
CREATES research paper
42
Journal of financial econometrics : official journal of the Society for Financial Econometrics
39
European journal of operational research : EJOR
38
Finance research letters
36
Computational economics
33
Econometrics : open access journal
33
Quantitative finance
32
Economic modelling
31
Journal of forecasting
31
International journal of forecasting
29
The econometrics journal
29
SFB 649 discussion paper
27
Discussion papers of interdisciplinary research project 373
25
International journal of theoretical and applied finance
25
Journal of financial econometrics
25
Journal of risk and financial management : JRFM
24
Mathematics of operations research
23
Journal of banking & finance
22
Applied economics
21
Cowles Foundation discussion paper
20
Working paper
20
NBER Working Paper
19
Finance and stochastics
18
Journal of time series econometrics
18
The journal of computational finance
18
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
17
Insurance / Mathematics & economics
17
Journal of mathematical finance
17
Operations research
17
Série des documents de travail / Centre de Recherche en Économie et Statistique
17
Applied economics letters
16
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
16
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ECONIS (ZBW)
4,114
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4,114
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date (oldest first)
1
Exploring forecast error and the informational content of implied
volatility
in the
Taiwan
market
Lee, Yen-Hsien
;
Lin, Chi-tai
;
Chiang, Shu-mei
- In:
Asia-Pacific journal of financial studies
41
(
2012
)
5
,
pp. 590-609
Persistent link: https://www.econbiz.de/10009665556
Saved in:
2
Estimating and using GARCH models with VIX data for option valuation
Kanniainen, Juho
;
Lin, Binghuan
;
Yang, Hanxue
- In:
Journal of banking & finance
43
(
2014
),
pp. 200-211
Persistent link: https://www.econbiz.de/10010410004
Saved in:
3
On the relationship of implied, realized and historical
volatility
: evidence from NSE equity index options
Padhi, Puja
;
Shaikh, Imlak
- In:
Journal of business economics and management
15
(
2014
)
5
,
pp. 915-934
Persistent link: https://www.econbiz.de/10010484378
Saved in:
4
Long memory and
volatility
behaviour in Paris option market
Souissi, Nessim
;
Aloulou, Abderrahmen
- In:
International journal of bonds and derivatives
1
(
2015
)
4
,
pp. 273-283
Persistent link: https://www.econbiz.de/10011546734
Saved in:
5
Dynamic interaction between historical and implied
volatility
in the Indian option market
Viswanathan, T.
;
Sriram, R.
;
Mukherjee, Prathana
- In:
International journal of public sector performance …
8
(
2021
)
1/2
,
pp. 128-144
Persistent link: https://www.econbiz.de/10012696739
Saved in:
6
Monte-Carlo Valuation of Options Under Uncertain
Volatility
: A Local Quadratic Kernel Regression-Based Method
Gocsei, Arnaud
-
2012
We present a non-parametric Monte-Carlo method for computing the price of an option in an uncertain
volatility
model …
Persistent link: https://www.econbiz.de/10013101251
Saved in:
7
Bias reduction in spot
volatility
estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
8
Estimating the parameters of stochastic
volatility
models using option price data
Hurn, Stan
;
Lindsay, Kenneth A.
;
McClelland, Andrew
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
4
,
pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
Saved in:
9
A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic
volatility
, stochastic interest rate, and return processes
Jagannathan, Raj
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
Saved in:
10
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
Saved in:
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