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accessRights:"restricted"
~isPartOf:"Quantitative finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Theorie"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Search: subject_exact:"Markov chain"
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Theorie
Volatility
Zeitreihenanalyse
Markov chain
53
Markov-Kette
53
Theory
20
Volatilität
18
Estimation
14
Schätzung
14
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
13
Optionspreistheorie
13
Portfolio selection
12
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10
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Finanzkrise
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Markov chain Monte Carlo
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Markov regime switching
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Markov switching
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Chen, Qian
2
Gerlach, Richard
2
Gupta, Rangan
2
Sornette, Didier
2
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2
Abergel, Frédéric
1
Al-Aradi, Ali
1
Arellano, Miguel Ataurima
1
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1
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1
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1
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1
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1
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Quantitative finance
The North American journal of economics and finance : a journal of financial economics studies
European journal of operational research : EJOR
96
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
40
Energy economics
34
International journal of production research
29
Journal of econometrics
29
Operations research
28
Journal of economic dynamics & control
27
Mathematics of operations research
26
Operations research letters
26
International journal of forecasting
24
Economics letters
23
Insurance / Mathematics & economics
23
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
Computational economics
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20
Finance research letters
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Computers & operations research : and their applications to problems of world concern ; an international journal
18
Discussion paper / Centre for Economic Policy Research
17
International review of economics & finance : IREF
16
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Journal of empirical finance
14
Operational research : an international journal
14
International review of financial analysis
13
Journal of forecasting
13
Econometric reviews
11
Journal of banking & finance
11
Scandinavian actuarial journal
11
Applied economics letters
10
IMA journal of management mathematics
10
International journal of production economics
10
International journal of theoretical and applied finance
10
Journal of the Operational Research Society
10
Macroeconomic dynamics
10
Journal of mathematical finance
9
Research in international business and finance
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SpringerLink / Bücher
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Opsearch : journal of the Operational Research Society of India
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ECONIS (ZBW)
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
5
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
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6
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Saved in:
7
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
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8
Effective Markovian projection : application to CMS spread options and mid-curve swaptions
Felpel, Mike
;
Kienitz, Jörg
;
McWalter, Thomas A.
- In:
Quantitative finance
22
(
2022
)
6
,
pp. 1169-1192
Persistent link: https://www.econbiz.de/10013367891
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9
Bayesian estimation of electricity price risk with a multi-factor mixture of densities
Kang, Li
;
Walker, Stephen G.
;
Damien, Paul
;
Bunn, Derek W.
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1535-1544
Persistent link: https://www.econbiz.de/10013367927
Saved in:
10
Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model
Tan, Chia-Yen
;
Koh, You-Beng
;
Ng, Kok-Haur
;
Ng, Kooi-Huat
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012821468
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