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~isPartOf:"Computational economics"
~isPartOf:"EUI working paper / ECO"
~isPartOf:"Journal of econometrics"
~subject:"Optionspreistheorie"
~subject:"Share price"
~subject:"USA"
~subject:"VAR-Modell"
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Search: subject_exact:"Markovsche Kette"
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Optionspreistheorie
Share price
USA
VAR-Modell
Markov chain
173
Markov-Kette
173
Theorie
99
Theory
99
Monte Carlo simulation
51
Monte-Carlo-Simulation
51
Bayes-Statistik
40
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40
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37
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11
Option pricing theory
11
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Nichtparametrisches Verfahren
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Lütkepohl, Helmut
4
Deschamps, Jean-Philippe
2
Dufour, Jean-Marie
2
Herwartz, Helmut
2
Koop, Gary
2
Lanne, Markku
2
Marcellino, Massimiliano
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Siu, Tak Kuen
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Steel, Mark F. J.
2
Ahsan, Nazmul
1
Ali, Kazim
1
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1
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1
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1
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1
Calvet, Laurent E.
1
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1
Caraglio, Michele
1
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1
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1
Ching, Wai Ki
1
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1
Chávez Casillas, Jonathan A.
1
Clark, Todd E.
1
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1
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Droumaguet, Matthieu
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Filardo, Andrew J.
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Fisher, Adlai
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1
George, Edward I.
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Computational economics
EUI working paper / ECO
Journal of econometrics
International journal of theoretical and applied finance
31
Economic modelling
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
Economics letters
18
Energy economics
18
European journal of operational research : EJOR
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Finance research letters
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Quantitative finance
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Journal of applied econometrics
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Journal of empirical finance
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Working paper
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
14
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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13
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12
International journal of forecasting
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Review of quantitative finance and accounting
12
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Discussion paper / Tinbergen Institute
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International review of economics & finance : IREF
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International review of financial analysis
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working paper / National Bureau of Economic Research, Inc.
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Discussion paper / Centre for Economic Policy Research
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Finance and stochastics
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Insurance / Mathematics & economics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of futures markets
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ECONIS (ZBW)
46
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1
A time-dependent Markovian model of a limit order book
Chávez Casillas, Jonathan A.
- In:
Computational economics
63
(
2024
)
2
,
pp. 679-709
Persistent link: https://www.econbiz.de/10014472546
Saved in:
2
Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik
;
Dijk, Dick van
- In:
Journal of econometrics
236
(
2023
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
Saved in:
3
Scalable inference for a full multivariate stochastic volatility model
Dellaportas, Petros
;
Titsias, Michalis K.
;
Petrova, Katerina
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 501-520
Persistent link: https://www.econbiz.de/10014340078
Saved in:
4
Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha
;
He, Xin-Jiang
- In:
Computational economics
59
(
2022
)
3
,
pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
Saved in:
5
Comment on "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors"
Bognanni, Mark
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 498-505
Persistent link: https://www.econbiz.de/10013442175
Saved in:
6
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
7
A Markov decision process model for optimal trade of options using statistical data
Nasir, Ali
;
Khursheed, Ambreen
;
Ali, Kazim
;
Mustafa, Faisal
- In:
Computational economics
58
(
2021
)
2
,
pp. 327-346
Persistent link: https://www.econbiz.de/10012615007
Saved in:
8
Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul
;
Dufour, Jean-Marie
- In:
Journal of econometrics
224
(
2021
)
1
,
pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
Saved in:
9
Invertibility and VAR representations of time-varying dynamic stochastic general equilibrium models
Cavicchioli, Maddalena
- In:
Computational economics
55
(
2020
)
1
,
pp. 61-86
Persistent link: https://www.econbiz.de/10012222592
Saved in:
10
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
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