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Results 21 - 40 of 3,513,316  for All Library Resources

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21
Lifting the Heston model
Lifting the Heston model
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Lifting the Heston model

Quantitative finance, 2019-12 [Peer Reviewed Journal]

Distributed under a Creative Commons Attribution 4.0 International License ;ISSN: 1469-7688 ;EISSN: 1469-7696 ;DOI: 10.1080/14697688.2019.1615113

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22
Volatility Spreads and Expected Stock Returns
Volatility Spreads and Expected Stock Returns
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Volatility Spreads and Expected Stock Returns

Management science, 2009-11, Vol.55 (11), p.1797-1812 [Peer Reviewed Journal]

Copyright 2009 United States of America ;2015 INIST-CNRS ;Copyright Institute for Operations Research and the Management Sciences Nov 2009 ;ISSN: 0025-1909 ;EISSN: 1526-5501 ;DOI: 10.1287/mnsc.1090.1063 ;CODEN: MSCIAM

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23
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
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Estimation of objective and risk-neutral distributions based on moments of integrated volatility

Journal of econometrics, 2011, Vol.160 (1), p.22-32 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2010.03.011

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24
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data
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The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data

The Energy journal (Cambridge, Mass.), 2014-01, Vol.35 (1), p.35-56 [Peer Reviewed Journal]

Copyright © 2014 International Association for Energy Economics ;The Author(s) ;2015 INIST-CNRS ;COPYRIGHT 2014 Sage Publications Ltd. (UK) ;Copyright International Association for Energy Economics 2014 ;ISSN: 0195-6574 ;EISSN: 1944-9089 ;DOI: 10.5547/01956574.35.1.3

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25
Risk Measures with Applications in Finance and Economics
Risk Measures with Applications in Finance and Economics
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Risk Measures with Applications in Finance and Economics

https://creativecommons.org/licenses/by-nc-nd/4.0/legalcode ;ISBN: 3038974447 ;ISBN: 9783038974444 ;ISBN: 3038974439 ;ISBN: 9783038974437 ;DOI: 10.3390/books978-3-03897-444-4

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26
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Journal of econometrics, 2011, Vol.160 (1), p.176-189 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2010.03.029

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27
A model‐free approximation for barrier options in a general stochastic volatility framework
A model‐free approximation for barrier options in a general stochastic volatility framework
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A model‐free approximation for barrier options in a general stochastic volatility framework

The journal of futures markets, 2024-06, Vol.44 (6), p.923-935 [Peer Reviewed Journal]

2024 Wiley Periodicals LLC. ;ISSN: 0270-7314 ;EISSN: 1096-9934 ;DOI: 10.1002/fut.22498

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28
The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks
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The information content of implied volatilities and model-free volatility expectations: Evidence from options written on individual stocks

Journal of banking & finance, 2010-04, Vol.34 (4), p.871-881 [Peer Reviewed Journal]

ISSN: 0378-4266 ;EISSN: 1872-6372 ;DOI: 10.1016/j.jbankfin.2009.09.015

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29
On the skew and curvature of the implied and local volatilities
On the skew and curvature of the implied and local volatilities
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On the skew and curvature of the implied and local volatilities

This is an Accepted Manuscript of an article published by Taylor & Francis in Applied mathematical finance on 09 Oct 2023, available online: http://www.tandfonline.com/10.1080/1350486X.2023.2261459 info:eu-repo/semantics/embargoedAccess ;ISSN: 1350-486X ;EISSN: 1466-4313 ;DOI: 10.1080/1350486X.2023.2261459

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30
Quasi-maximum likelihood estimation of volatility with high frequency data
Quasi-maximum likelihood estimation of volatility with high frequency data
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Quasi-maximum likelihood estimation of volatility with high frequency data

Journal of econometrics, 2010-11, Vol.159 (1), p.235-250 [Peer Reviewed Journal]

ISSN: 0304-4076 ;EISSN: 1872-6895 ;DOI: 10.1016/j.jeconom.2010.07.002

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31
An Improved Composite Forecast For Realized Volatility
An Improved Composite Forecast For Realized Volatility
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An Improved Composite Forecast For Realized Volatility

Journal of Statistical and Econometric Methods, 2014-01, Vol.3 (1)

2014. This work is published under http://creativecommons.org/licenses/by/2.5/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2241-0384 ;EISSN: 2241-0376

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32
Maxing out: Stocks as lotteries and the cross-section of expected returns
Maxing out: Stocks as lotteries and the cross-section of expected returns
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Maxing out: Stocks as lotteries and the cross-section of expected returns

Journal of financial economics, 2011-02, Vol.99 (2), p.427-446 [Peer Reviewed Journal]

ISSN: 0304-405X ;EISSN: 1879-2774 ;DOI: 10.1016/j.jfineco.2010.08.014

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33
Spot and forward volatility in foreign exchange
Spot and forward volatility in foreign exchange
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Spot and forward volatility in foreign exchange

Journal of financial economics, 2011-06, Vol.100 (3), p.496-513 [Peer Reviewed Journal]

ISSN: 0304-405X ;EISSN: 1879-2774 ;DOI: 10.1016/j.jfineco.2011.01.007

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34
Empirical determinants of exchange-rate volatility: evidence from selected Asian economies
Empirical determinants of exchange-rate volatility: evidence from selected Asian economies
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Empirical determinants of exchange-rate volatility: evidence from selected Asian economies

Journal of Chinese economic and foreign trade studies, 2022-02, Vol.15 (1), p.63-86 [Peer Reviewed Journal]

Emerald Publishing Limited ;Emerald Publishing Limited 2021 ;ISSN: 1754-4408 ;EISSN: 1754-4416 ;DOI: 10.1108/JCEFTS-04-2021-0017

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35
Commodity Market Finance
Commodity Market Finance
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Commodity Market Finance

ISBN: 9783036590288 ;ISBN: 3036590293 ;ISBN: 3036590285 ;ISBN: 9783036590295 ;DOI: 10.3390/books978-3-0365-9028-8

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36
Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs
Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs
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Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs

Annals of operations research, 2022-06, Vol.313 (1), p.495-524 [Peer Reviewed Journal]

The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021 ;The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2021. ;COPYRIGHT 2022 Springer ;ISSN: 0254-5330 ;EISSN: 1572-9338 ;DOI: 10.1007/s10479-021-04367-8 ;PMID: 34812215

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37
Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market
Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market
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Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market

Empirical economics, 2024-03, Vol.66 (3), p.1191-1222 [Peer Reviewed Journal]

The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature 2023. Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. ;ISSN: 0377-7332 ;EISSN: 1435-8921 ;DOI: 10.1007/s00181-023-02493-9

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38
Value-at-Risk Forecasting using Realized Volatility Models and GARCH-type Models
Value-at-Risk Forecasting using Realized Volatility Models and GARCH-type Models
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Value-at-Risk Forecasting using Realized Volatility Models and GARCH-type Models

Seonmul yeongu (Online), 2013-05, Vol.21 (2), p.135-167 [Peer Reviewed Journal]

2013 Emerald Publishing Limited. This work is published under https://creativecommons.org/licenses/by-nc/3.0/legalcode (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 2713-6647 ;ISSN: 1229-988X ;EISSN: 2713-6647 ;DOI: 10.1108/JDQS-02-2013-B0001

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39
Volatility in the stock market: ANN versus parametric models
Volatility in the stock market: ANN versus parametric models
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Article 		Add to My Research

Volatility in the stock market: ANN versus parametric models

Annals of operations research, 2021-04, Vol.299 (1-2), p.1101-1127 [Peer Reviewed Journal]

Springer Science+Business Media, LLC, part of Springer Nature 2019 ;COPYRIGHT 2021 Springer ;Springer Science+Business Media, LLC, part of Springer Nature 2019. ;ISSN: 0254-5330 ;EISSN: 1572-9338 ;DOI: 10.1007/s10479-019-03374-0

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40
Volatility of volatility is (also) rough
Volatility of volatility is (also) rough
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Volatility of volatility is (also) rough

The journal of futures markets, 2019-05, Vol.39 (5), p.600-611 [Peer Reviewed Journal]

2019 Wiley Periodicals, Inc. ;ISSN: 0270-7314 ;EISSN: 1096-9934 ;DOI: 10.1002/fut.21995

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