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subject:"Volatility"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~isPartOf:"Review of quantitative finance and accounting"
~subject:"Bank"
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Search: subject_exact:"Markov chain"
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Volatility
Bank
Markov chain
34
Markov-Kette
34
Volatilität
17
Theorie
12
Theory
12
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8
Share price
8
Stochastic process
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Chiarella, Carl
5
Dias, José G.
2
Kang, Boda
2
Alfeus, Mesias
1
Amidu, Mohammed
1
Baek, In-Seok
1
Baldeaux, Jan
1
Chen, Son-nan
1
Chewlow, Les
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Chiang, Mi-Hsiu
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Costabile, Massimo
1
Dean, Warren G.
1
Faff, Robert W.
1
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1
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1
Harvey, Simon K.
1
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Leccadito, Arturo
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Platen, Eckhard
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Review of quantitative finance and accounting
Energy economics
33
Economic modelling
21
Journal of econometrics
20
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Finance research letters
16
Journal of empirical finance
16
Applied economics
15
The North American journal of economics and finance : a journal of financial economics studies
14
International journal of forecasting
13
International review of financial analysis
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Quantitative finance
11
International review of economics & finance : IREF
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Economics letters
9
International journal of theoretical and applied finance
9
Journal of mathematical finance
9
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8
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8
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8
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8
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8
Discussion paper / Tinbergen Institute
7
Econometric reviews
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International journal of finance & economics : IJFE
7
International journal of financial engineering
6
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The journal of futures markets
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Research in international business and finance
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SFB 649 discussion paper
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ECONIS (ZBW)
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1
Regime switching rough Heston model
Alfeus, Mesias
;
Overbeck, Ludger
-
2018
Persistent link: https://www.econbiz.de/10011778197
Saved in:
2
Option pricing under stock market cycles with jump risks : evidence from the S&P 500 index
Wang, Shin-yun
;
Chuang, Ming-Che
;
Lin, Shih-kuei
;
Shyu, …
- In:
Review of quantitative finance and accounting
56
(
2021
)
1
,
pp. 25-51
Persistent link: https://www.econbiz.de/10012432624
Saved in:
3
Detecting money market bubbles
Baldeaux, Jan
;
Ignatieva, Ekaterina
;
Platen, Eckhard
-
2016
Persistent link: https://www.econbiz.de/10011778131
Saved in:
4
Humps in the volatility structure of the crude oil futures market
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
-
2012
Persistent link: https://www.econbiz.de/10009564452
Saved in:
5
Particle filters for Markov switching stochastic volatility models
Yun, Bao
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009564477
Saved in:
6
Sources of time varying return comovements during different economic regimes : evidence from the emerging Indian equity market
Poshakwale, Sunil S.
;
Mandal, Anandadeep
- In:
Review of quantitative finance and accounting
48
(
2017
)
4
,
pp. 859-892
Persistent link: https://www.econbiz.de/10011796919
Saved in:
7
Earnings quality and the heterogeneous relation between earnings and stock returns
Isidro, Helena
;
Dias, José G.
- In:
Review of quantitative finance and accounting
49
(
2017
)
4
,
pp. 1143-1165
Persistent link: https://www.econbiz.de/10011797598
Saved in:
8
Estimating behavioural heterogeneity under regime switching
Chiarella, Carl
;
He, Xue-zhong
;
Huang, Weihong
;
Zheng, …
-
2011
Persistent link: https://www.econbiz.de/10009564621
Saved in:
9
Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy
Chiang, Mi-Hsiu
;
Li, Chang-Yi
;
Chen, Son-nan
- In:
Review of quantitative finance and accounting
46
(
2016
)
3
,
pp. 459-482
Persistent link: https://www.econbiz.de/10011595469
Saved in:
10
The persistence of profits of banks in Africa
Amidu, Mohammed
;
Harvey, Simon K.
- In:
Review of quantitative finance and accounting
47
(
2016
)
1
,
pp. 83-108
Persistent link: https://www.econbiz.de/10011595550
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