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accessRights:"restricted"
~isPartOf:"Quantitative finance"
~subject:"Statistische Verteilung"
~subject:"Volatility"
~subject:"Zeitreihenanalyse"
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Statistische Verteilung
Volatility
Zeitreihenanalyse
Markov chain
33
Markov-Kette
33
Theorie
18
Theory
18
Stochastic process
11
Stochastischer Prozess
11
Option pricing theory
10
Optionspreistheorie
10
Portfolio selection
9
Portfolio-Management
9
Volatilität
8
Estimation
7
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Markov chain Monte Carlo
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Aktienmarkt
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Bubbles
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Hidden Markov model
3
Option pricing
3
Spekulationsblase
3
Stochastic volatility
3
Stock market
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Bayes-Statistik
2
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Cui, Zhenyu
2
Asmussen, Søren
1
Bladt, Mogens
1
Bunn, Derek W.
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1
Chen, Wilson Ye
1
Damien, Paul
1
Ding, Kailin
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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1
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1
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1
MacKay, Anne
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Manzano-Herrero, Alberto Pedro
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Quantitative finance
Energy economics
31
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
29
International journal of forecasting
21
Applied economics
19
Journal of econometrics
19
Finance research letters
17
Economic modelling
15
Computational economics
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Economics letters
13
The North American journal of economics and finance : a journal of financial economics studies
13
International review of economics & finance : IREF
12
International review of financial analysis
9
Journal of empirical finance
9
Journal of forecasting
9
Econometric reviews
8
Journal of banking & finance
8
Journal of economic dynamics & control
8
Applied economics letters
6
European journal of operational research : EJOR
6
International journal of theoretical and applied finance
6
Macroeconomic dynamics
6
Research in international business and finance
6
Insurance / Mathematics & economics
5
International journal of finance & economics : IJFE
5
International journal of financial engineering
5
Review of quantitative finance and accounting
5
The European journal of finance
5
Discussion paper / Centre for Economic Policy Research
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
International journal of emerging markets
4
Journal of applied econometrics
4
The journal of futures markets
4
Annals of finance
3
Applied mathematical finance
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
3
Global finance journal
3
International journal of theoretical and applied finance : IJTAF
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Journal of financial econometrics
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ECONIS (ZBW)
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1
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:
2
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:
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
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
Saved in:
5
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:
6
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
Saved in:
7
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
Saved in:
8
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:
9
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
10
A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin
;
Cui, Zhenyu
;
Wang, Yongjin
- In:
Quantitative finance
21
(
2021
)
3
,
pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
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