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accessRights:"restricted"
~person:"Chang, Kuang-Liang"
~person:"Cui, Zhenyu"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
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Stochastischer Prozess
Volatility
Markov chain
16
Markov-Kette
16
Option pricing theory
9
Optionspreistheorie
9
Volatilität
8
Stochastic process
6
ARCH model
5
ARCH-Modell
5
Multivariate Verteilung
5
Multivariate distribution
5
Capital income
4
Continuous-time Markov chain
4
Derivat
4
Derivative
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Estimation
4
Finance
4
Kapitaleinkommen
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Schätzung
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Statistical distribution
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Statistische Verteilung
4
Option pricing
3
Option trading
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Optionsgeschäft
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Stochastic volatility
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Theorie
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Theory
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Time series analysis
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Zeitreihenanalyse
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Aktienmarkt
2
Börsenkurs
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Exchange rate
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Immobilienfonds
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Jump diffusion
2
Markov process
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Markov switching
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Markov-switching copula
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Chang, Kuang-Liang
Cui, Zhenyu
Kirkby, J. Lars
7
Ma, Feng
7
Nguyen, Duy
7
Elliott, Robert J.
6
Gupta, Rangan
5
Hammoudeh, Shawkat
5
Otranto, Edoardo
5
Serletis, Apostolos
5
Siu, Tak Kuen
5
Xu, Libo
5
Cavicchioli, Maddalena
4
Ching, Wai Ki
4
Dimitrakopoulos, Stefanos
4
Hainaut, Donatien
4
He, Xin-Jiang
4
Ji, Qiang
4
Lee, Hsiang-Tai
4
Li, Leon
4
Lin, Shih-kuei
4
Lu, Xinjie
4
Luo, Jiawen
4
Wang, Jiqian
4
Wei, Qingda
4
Wilfling, Bernd
4
Zhu, Song-Ping
4
Asai, Manabu
3
Bauwens, Luc
3
BenSaïda, Ahmed
3
Casarin, Roberto
3
Chan, Leunglung
3
Chen, Son-nan
3
Chen, Xian
3
Chevallier, Julien
3
Dufays, Arnaud
3
Gapeev, Pavel V.
3
Goutte, Stéphane
3
Kolkiewicz, Adam W.
3
Lee, Chien-chiang
3
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European journal of operational research : EJOR
3
International review of economics & finance : IREF
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Insurance / Mathematics & economics
1
Journal of international money and finance
1
Mathematical methods of operations research : ZOR
1
Quantitative finance
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1
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:
2
The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang
- In:
Journal of international money and finance
133
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
Saved in:
3
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
4
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
5
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
6
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
7
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
8
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
Saved in:
9
A mixed dependence between the exchange rate and international crude oil returns : an application of dynamic mixture copula
Chang, Kuang-Liang
- In:
Emerging markets finance & trade : a journal of the …
53
(
2017
)
10/11/12
,
pp. 2347-2360
Persistent link: https://www.econbiz.de/10011825350
Saved in:
10
Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?
Chang, Kuang-Liang
- In:
International review of economics & finance : IREF
42
(
2016
),
pp. 72-87
Persistent link: https://www.econbiz.de/10011625059
Saved in:
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