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accessRights:"restricted"
~person:"Kirkby, J. Lars"
~person:"Serletis, Apostolos"
~subject:"Estimation"
~subject:"Markov chain"
~subject:"Volatility"
~type_genre:"Aufsatz in Zeitschrift"
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Estimation
Markov chain
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Markov-Kette
18
Volatilität
10
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8
Theorie
8
Theory
8
Option pricing theory
7
Optionspreistheorie
7
Stochastic process
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4
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Markov Regime Switching
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Markov chain approximation
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Markov regime-switching
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Aufsatz in Zeitschrift
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English
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Kirkby, J. Lars
Serletis, Apostolos
Tsionas, Efthymios G.
17
Gupta, Rangan
14
Cui, Zhenyu
9
Xu, Libo
9
Casarin, Roberto
7
Chang, Kuang-Liang
7
Elliott, Robert J.
7
Legros, Benjamin
7
Li, Lingfei
7
Li, Yong
7
Lunday, Brian J.
7
Ma, Feng
7
Nguyen, Duy
7
Robbins, Matthew J.
7
Shi, Yanlin
7
Siu, Tak Kuen
7
Cavicchioli, Maddalena
6
D'Amico, Guglielmo
6
Dimitrakopoulos, Stefanos
6
Feinberg, Eugene A.
6
Goyal, Vineet
6
Guo, Xianping
6
He, Xin-Jiang
6
Houtum, Geert-Jan van
6
Lee, Hsiang-Tai
6
Leiva-Leon, Danilo
6
Maheu, John M.
6
Wei, Qingda
6
Zhu, Song-Ping
6
Balcilar, Mehmet
5
Banik, A. D.
5
Billio, Monica
5
Blazsek, Szabolcs
5
Ching, Wai Ki
5
Clempner, Julio B.
5
Geng, Na
5
Goutte, Stéphane
5
Guidolin, Massimo
5
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European journal of operational research : EJOR
4
Macroeconomic dynamics
3
Empirical economics : a quarterly journal of the Institute for Advanced Studies
2
Annals of finance
1
Economics letters
1
Insurance / Mathematics & economics
1
Journal of economic dynamics & control
1
Journal of macroeconomics
1
Journal of money, credit and banking : JMCB
1
The North American journal of economics and finance : a journal of financial economics studies
1
The energy journal
1
The journal of computational finance
1
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ECONIS (ZBW)
18
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1
Inflation uncertainty
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 1903-1920
Persistent link: https://www.econbiz.de/10014520073
Saved in:
2
The oil price-macroeconomy dependence
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
65
(
2023
)
6
,
pp. 2501-2520
Persistent link: https://www.econbiz.de/10014388954
Saved in:
3
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
Kirkby, J. Lars
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 961-978
Persistent link: https://www.econbiz.de/10013482166
Saved in:
4
The demand for assets : evidence from the Markov switching normalized quadratic model
Xu, Libo
;
Serletis, Apostolos
- In:
Journal of money, credit and banking : JMCB
54
(
2022
)
4
,
pp. 989-1025
Persistent link: https://www.econbiz.de/10013281375
Saved in:
5
Dependence structure between money and economic activity : a Markov-switching copula VEC approach
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
26
(
2022
)
8
,
pp. 2141-2160
Persistent link: https://www.econbiz.de/10013469790
Saved in:
6
Consumption, leisure, and money
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
25
(
2021
)
6
,
pp. 1412-1441
Persistent link: https://www.econbiz.de/10012618219
Saved in:
7
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:
8
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
9
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
10
Money supply volatility and the macroeconomy
Serletis, Apostolos
;
Xu, Libo
- In:
Macroeconomic dynamics
24
(
2020
)
6
,
pp. 1392-1402
Persistent link: https://www.econbiz.de/10012307284
Saved in:
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