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Volatilität
Theorie
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13
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Ignatieva, Ekaterina
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Ignatieva, Katja
7
Platen, Eckhard
5
Fonseca, José da
3
Ziveyi, Jonathan
3
Alexeev, Vitali
2
Baldeaux, Jan
2
Da Fonseca, José
2
Gudkov, Nikolay
2
Wong, Patrick
2
Chen, Jun
1
McCulloch, James
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Ponomareva, Natalia
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Energy economics
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Asia-Pacific financial markets
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of empirical finance
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Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 265
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management
Ignatieva, Ekaterina
-
2012
Persistent link: https://www.econbiz.de/10009548356
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2
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
Saved in:
3
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
Fonseca, José da
;
Ignatieva, Ekaterina
;
Ziveyi, Jonathan
- In:
Energy economics
56
(
2016
),
pp. 215-228
Persistent link: https://www.econbiz.de/10011664232
Saved in:
4
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
5
Commodity currencies and commodity prices : modelling static and time-varying dependence
Ignatieva, Ekaterina
;
Ponomareva, Natalia
- In:
Applied economics
49
(
2017
)
15
,
pp. 1491-1512
Persistent link: https://www.econbiz.de/10011813615
Saved in:
6
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Gudkov, Nikolay
;
Ignatieva, Ekaterina
;
Ziveyi, Jonathan
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
Saved in:
7
Jump activity analysis for affine jump-diffusion models : evidence from the commodity market
Fonseca, José da
;
Ignatieva, Ekaterina
- In:
Journal of banking & finance
99
(
2019
),
pp. 45-62
Persistent link: https://www.econbiz.de/10012162294
Saved in:
8
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
- In:
Journal of banking & finance
87
(
2018
),
pp. 369-379
Persistent link: https://www.econbiz.de/10011962562
Saved in:
9
Volatility spillovers and connectedness among credit default swap sector indexes
Fonseca, José da
;
Ignatieva, Ekaterina
- In:
Applied economics
50
(
2018
)
36
,
pp. 3923-3936
Persistent link: https://www.econbiz.de/10012060164
Saved in:
10
Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay
;
Ignatieva, Ekaterina
- In:
Energy economics
98
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
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