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~isPartOf:"Applied financial economics"
~isPartOf:"Econometric reviews"
~isPartOf:"Finance and stochastics"
~isPartOf:"Journal of empirical finance"
~subject:"Capital income"
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Search: subject:"Stochastischer Prozess"
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Capital income
Stochastic process
347
Stochastischer Prozess
347
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136
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Option pricing theory
97
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Raggi, Davide
2
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1
Asai, Manabu
1
Bermudez, P. de Zea
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1
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Applied financial economics
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13
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Insurance / Mathematics & economics
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International review of financial analysis
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
31
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1
A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of empirical finance
70
(
2023
),
pp. 322-341
Persistent link: https://www.econbiz.de/10014423714
Saved in:
2
Dynamic factor, leverage and realized covariances in multivariate stochastic volatility
Yamauchi, Yuta
;
Omori, Yasuhiro
- In:
Econometric reviews
42
(
2023
)
6
,
pp. 513-539
Persistent link: https://www.econbiz.de/10014305574
Saved in:
3
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
4
The time-varying asymmetry of exchange rate returns : a stochastic volatility : stochastic skewness model
Iseringhausen, Martin
- In:
Journal of empirical finance
58
(
2020
),
pp. 275-292
Persistent link: https://www.econbiz.de/10012430700
Saved in:
5
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
6
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
7
Dynamic portfolio allocation with time-varying jump risk
Zhou, Chunyang
;
Wu, Chongfeng
;
Wang, Yudong
- In:
Journal of empirical finance
50
(
2019
),
pp. 113-124
Persistent link: https://www.econbiz.de/10012169946
Saved in:
8
"On the (Ab)use of Omega?"
Caporin, Massimiliano
;
Costola, Michele
;
Jannin, Gregory
; …
- In:
Journal of empirical finance
46
(
2018
),
pp. 11-33
Persistent link: https://www.econbiz.de/10012103452
Saved in:
9
The microstructural foundations of leverage effect and rough volatility
El Euch, Omar
;
Fukasawa, Masaaki
;
Rosenbaum, Mathieu
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 241-280
Persistent link: https://www.econbiz.de/10011945670
Saved in:
10
Bayesian analysis of multivariate stochastic volatility with skew return distribution
Nakajima, Jouchi
- In:
Econometric reviews
36
(
2017
)
5
,
pp. 546-562
Persistent link: https://www.econbiz.de/10011795262
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