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~isPartOf:"Annual Bank Conference on Development Economics in Europe Proceedings : 1999 - 2000 ; [Conference Governance, Equity and Global Markets ; Conference Development Thinking at the Millennium]"
~isPartOf:"Computational economics"
~isPartOf:"The handbook of mortgage-backed securities"
~language:"bos"
~language:"eng"
~person:"Chen, Cathy W. S."
~person:"Ching, Wai Ki"
~person:"Fabozzi, Frank J."
~person:"Stiglitz, Joseph E."
~subject:"ARCH model"
~subject:"Asset-Backed Securities"
~subject:"CAPM"
~subject:"Finanzmarkt"
~subject:"Theory"
~subject:"Volatility"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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ARCH model
Asset-Backed Securities
CAPM
Finanzmarkt
Theory
Volatility
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14
ARCH-Modell
6
Markov chain
5
Markov-Kette
5
Option pricing theory
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Chen, Cathy W. S.
Ching, Wai Ki
Fabozzi, Frank J.
Stiglitz, Joseph E.
Halkos, George E.
5
Hespeler, Frank
5
Jawadi, Fredj
5
Prigent, Jean-Luc
5
Semmler, Willi
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4
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3
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3
Chen, Shu-Heng
3
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3
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3
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3
Kormilitsina, Anna
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2
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Annual Bank Conference on Development Economics in Europe Proceedings : 1999 - 2000 ; [Conference Governance, Equity and Global Markets ; Conference Development Thinking at the Millennium]
Computational economics
The handbook of mortgage-backed securities
Valuation, financial modeling, and quantitative tools
18
The American economic review
15
The handbook of fixed income securities
15
Investment management and financial management
13
Financial markets and instruments
9
International journal of theoretical and applied finance
9
The journal of fixed income
9
The journal of portfolio management : a publication of Institutional Investor
9
Finance research letters
8
Journal of banking & finance
8
Journal of forecasting
8
The journal of portfolio management : JPM
8
The economic journal : the journal of the Royal Economic Society
7
Applied economics
5
European economic review : EER
5
European journal of operational research : EJOR
5
Journal of economic dynamics & control
5
Journal of public economics
5
Applied financial economics
4
Journal of economic behavior & organization : JEBO
4
Oxford review of economic policy
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
The North American journal of economics and finance : a journal of financial economics studies
4
The journal of fixed income : JFI
4
The quarterly journal of economics
4
Annals of operations research
3
Industrial and corporate change
3
International review of financial analysis
3
Oxford economic papers
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Papers and proceedings of the ... annual congress of the European Economic Association
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Papers and proceedings of the ... annual meeting of the American Economic Association
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Review of quantitative finance and accounting
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The journal of asset management
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The journal of asset management : a major new, international quarterly journal for the financial community
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Applied financial economics letters
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Economics letters
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ECONIS (ZBW)
18
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1
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
2
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
3
Robust solutions to the life-cycle consumption problem
Reus, Lorenzo
;
Fabozzi, Frank J.
- In:
Computational economics
57
(
2021
)
2
,
pp. 481-499
Persistent link: https://www.econbiz.de/10012486926
Saved in:
4
How strong is the relationship among gold and USD exchange rates? : analytics based on structural change models
Dong, Manh Cuong
;
Chen, Cathy W. S.
;
Lee, Sangyoel
; …
- In:
Computational economics
53
(
2019
)
1
,
pp. 343-366
Persistent link: https://www.econbiz.de/10012134682
Saved in:
5
Modeling credit risk with hidden Markov default intensity
Yu, Feng-Hui
;
Lu, Jiejun
;
Gu, Jia-Wen
;
Ching, Wai Ki
- In:
Computational economics
54
(
2019
)
3
,
pp. 1213-1229
Persistent link: https://www.econbiz.de/10012134519
Saved in:
6
On optimal pricing model for multiple dealers in a competitive market
Yang, Qing-Qing
;
Gu, Jia-Wen
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Computational economics
53
(
2019
)
1
,
pp. 397-431
Persistent link: https://www.econbiz.de/10012134689
Saved in:
7
Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Computational economics
53
(
2019
)
2
,
pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
Saved in:
8
Quantile-based inference for tempered stable distributions
Fallahgoul, Hasan A.
;
Veredas, David
;
Fabozzi, Frank J.
- In:
Computational economics
53
(
2019
)
1
,
pp. 51-83
Persistent link: https://www.econbiz.de/10012134536
Saved in:
9
Quanto option pricing with Lévy models
Fallahgoul, Hasan A.
;
Kim, Young Shin
;
Fabozzi, Frank J.
; …
- In:
Computational economics
53
(
2019
)
3
,
pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
Saved in:
10
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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