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~isPartOf:"Energy economics"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Quantitative finance"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Sammlung"
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Markov chain
103
Markov-Kette
103
Volatility
48
Volatilität
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Theorie
47
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47
Estimation
34
Schätzung
34
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Casarin, Roberto
4
Gupta, Rangan
4
Bauwens, Luc
3
Bao Hoang Nguyen
2
Bayer, Christian
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Bormetti, Giacomo
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Chen, Qian
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Chen, Wilson Ye
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Sornette, Didier
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Uddin, Mohammed Gazi Salah
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Wang, Chao
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Energy economics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Quantitative finance
European journal of operational research : EJOR
142
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Operations research letters
52
Mathematics of operations research
51
Operations research
47
International journal of production research
42
Journal of econometrics
41
Risks : open access journal
36
Computational economics
35
Journal of economic dynamics & control
34
Applied economics
33
Economics letters
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Computers & operations research : and their applications to problems of world concern ; an international journal
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International journal of forecasting
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International review of financial analysis
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International review of economics & finance : IREF
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical methods of operations research : ZOR
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Operational research : an international journal
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Opsearch : journal of the Operational Research Society of India
20
The North American journal of economics and finance : a journal of financial economics studies
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Journal of risk and financial management : JRFM
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International journal of theoretical and applied finance
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Journal of forecasting
18
Research in international business and finance
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Journal of empirical finance
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Journal of the Operational Research Society
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IMA journal of management mathematics
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Scandinavian actuarial journal
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103
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1
Regime-switching affine term structures
Celary, Andreas
;
Eksi-Altay, Zehra
;
Krühner, Paul
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 139-155
Persistent link: https://www.econbiz.de/10014551950
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2
Bayesian nonparametric panel Markov-switching GARCH models
Casarin, Roberto
;
Costantini, Mauro
;
Osuntuyi, Anthony
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
1
,
pp. 135-146
Persistent link: https://www.econbiz.de/10014449842
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3
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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4
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
5
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
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6
Bubbles and dependence between international equity markets
Ye, Wuyi
;
Gao, Lingbo
;
Liu, Xiaoquan
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 119-138
Persistent link: https://www.econbiz.de/10014551948
Saved in:
7
Implied Markov transition matrices under structural price models
Defourny, Boris
;
Moazeni, Somayeh
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1935-1954
Persistent link: https://www.econbiz.de/10012696797
Saved in:
8
Pricing commodity index options
Manzano-Herrero, Alberto Pedro
;
Nastasi, Emanuele
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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9
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
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10
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
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