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SABR volatility model

Known as: SABR (disambiguation) 
In mathematical finance, the SABR model is a stochastic volatility model, which attempts to capture the volatility smile in derivatives markets. The… Expand
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Papers overview

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Highly Cited
2006
Highly Cited
2006
We study the dynamic relation between daily stock returns and daily innovations in optionderived implied volatilities. By… Expand
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Highly Cited
2003
Highly Cited
2003
We analyze a model of directed search in which unemployed job seekers observe all posted wages. We allow for the possibility of… Expand
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Highly Cited
2001
Highly Cited
2001
Abstract We examine “realized” daily equity return volatilities and correlations obtained from high-frequency intraday… Expand
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Highly Cited
2000
Highly Cited
2000
  • H. He
  • 2000
  • Corpus ID: 836754
Swap spreads, the interest rate differentials between the fixed rates on fixed-for-floating swap contracts and the yeilds-to… Expand
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Highly Cited
2000
Highly Cited
2000
Five‐minute returns from FTSE‐100 index futures contracts are used to obtain accurate estimates of daily index volatility from… Expand
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Highly Cited
1999
Highly Cited
1999
 
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Highly Cited
1998
Highly Cited
1998
Abstract This paper explores the effects of foreign exchange intervention by central banks on the behavior of exchange rates. The… Expand
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Highly Cited
1998
Highly Cited
1998
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one… Expand
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Highly Cited
1987
Highly Cited
1987
This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market… Expand
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