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accessRights:"restricted"
~person:"Kirkby, J. Lars"
~person:"Serletis, Apostolos"
~subject:"Monetary policy"
~subject:"Stochastic volatility"
~subject:"Stochastischer Prozess"
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Monetary policy
Stochastic volatility
Stochastischer Prozess
Markov chain
18
Markov-Kette
18
Volatility
10
Volatilität
10
Estimation
8
Schätzung
8
Theorie
8
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Option pricing theory
7
Optionspreistheorie
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Stochastic process
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BEKK
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Großbritannien
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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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Multivariate Verteilung
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11
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Kirkby, J. Lars
Serletis, Apostolos
Elliott, Robert J.
7
Nguyen, Duy
7
Cui, Zhenyu
6
Dimitrakopoulos, Stefanos
5
Siu, Tak Kuen
5
Ching, Wai Ki
4
He, Xin-Jiang
4
Wei, Qingda
4
Xu, Libo
4
Zhu, Song-Ping
4
Chan, Leunglung
3
Chen, Son-nan
3
Chen, Xian
3
Gapeev, Pavel V.
3
Goutte, Stéphane
3
Gupta, Rangan
3
Hainaut, Donatien
3
Hur, Joonyoung
3
Kang, Kyu Ho
3
Kolkiewicz, Adam W.
3
Mamon, Rogemar S.
3
Omori, Yasuhiro
3
Rodriguez, Gabriel
3
Wozabal, David
3
Zhu, Dong-Mei
3
Ahsan, Nazmul
2
Antunes, Jorge Junio Moreira
2
Arts, Joachim
2
Asmussen, Søren
2
Ausín, M. Concepción
2
Avanzi, Benjamin
2
Bhatnagar, Shalabh
2
Bianchi, Francesco
2
Bo, Lijun
2
Buchardt, Kristian
2
Casarin, Roberto
2
Cavicchioli, Maddalena
2
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European journal of operational research : EJOR
4
Macroeconomic dynamics
2
Annals of finance
1
Economics letters
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Insurance / Mathematics & economics
1
The journal of computational finance
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ECONIS (ZBW)
11
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
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:
10
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:
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