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~isPartOf:"Applied economics"
~isPartOf:"Tinbergen Institute Discussion Paper"
~subject:"Börsenkurs"
~subject:"Kapitaleinkommen"
~subject:"Theorie"
~subject:"Volatility"
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Search: subject:"Stochastic Volatility"
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Börsenkurs
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Volatility
Volatilität
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stochastic volatility
23
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19
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Bos, Charles S.
6
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6
Asai, Manabu
3
McAleer, Michael
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Applied economics
Tinbergen Institute Discussion Paper
International journal of theoretical and applied finance
65
Journal of econometrics
44
Quantitative finance
40
Discussion paper / Tinbergen Institute
38
Journal of economic dynamics & control
27
CAMA working paper series
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The North American journal of economics and finance : a journal of financial economics studies
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Economic modelling
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Finance and stochastics
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International journal of financial engineering
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International journal of forecasting
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Risks : open access journal
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The journal of futures markets
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Econometric reviews
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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International review of economics & finance : IREF
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International review of financial analysis
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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EconStor
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ECONIS (ZBW)
11
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1
Is Bitcoin really a currency? : a viewpoint of a
stochastic
volatility
model
Kunimoto, Noriyuki
;
Kakamu, Kazuhiko
- In:
Applied economics
54
(
2022
)
57
,
pp. 6536-6550
Persistent link: https://www.econbiz.de/10013494160
Saved in:
2
Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.
;
Melo, Lívia C. M.
;
Soave, Gian Paulo
- In:
Applied economics
56
(
2024
)
14
,
pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
Saved in:
3
Dynamics and synchronization of global equilibrium interest rates
Beyer, Robert
;
Milivojević, Lazar
- In:
Applied economics
55
(
2023
)
28
,
pp. 3195-3214
Persistent link: https://www.econbiz.de/10014299143
Saved in:
4
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
5
Stochastic
volatility
forecasting of the Finnish housing market
Dufitinema, Josephine
- In:
Applied economics
53
(
2021
)
1
,
pp. 98-114
Persistent link: https://www.econbiz.de/10012416026
Saved in:
6
Consumption and the interest rate : a changing dynamic?
Nordström, Martin
- In:
Applied economics
52
(
2020
)
51
,
pp. 5564-5578
Persistent link: https://www.econbiz.de/10012307780
Saved in:
7
Modelling the dynamics of Bitcoin and Litecoin : GARCH versus
stochastic
volatility
models
Tiwari, Aviral Kumar
;
Kumar, Satish
;
Pathak, Rajesh
- In:
Applied economics
51
(
2019
)
37
,
pp. 4073-4082
Persistent link: https://www.econbiz.de/10012196960
Saved in:
8
A comparison of pricing and hedging performances of equity derivatives models
Lassance, Nathan
;
Vrins, Frédéric
- In:
Applied economics
50
(
2018
)
10
,
pp. 1122-1137
Persistent link: https://www.econbiz.de/10011848262
Saved in:
9
Forecasting Value-at-Risk using Block Structure Multivariate
Stochastic
Volatility
Models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2013
stochastic
volatility
models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value …
Persistent link: https://www.econbiz.de/10010326487
Saved in:
10
Leverage and Feedback Effects on Multifactor Wishart
Stochastic
Volatility
for Option Pricing
Asai, Manabu
;
McAleer, Michael
-
2013
The paper proposes a general asymmetric multifactor Wishart
stochastic
volatility
(AMWSV) diffusion process which …
Persistent link: https://www.econbiz.de/10010326219
Saved in:
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