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~isPartOf:"Computational economics"
~isPartOf:"Journal of economic dynamics & control"
~language:"bos"
~language:"eng"
~person:"Atolia, Manoj"
~person:"Boubaker, Heni"
~person:"Fabozzi, Frank J."
~person:"Lin, Sha"
~person:"Stiglitz, Joseph E."
~subject:"Asset-Backed Securities"
~subject:"Finanzmarkt"
~subject:"State space model"
~subject:"Stochastic process"
~subject:"Volatilität"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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Atolia, Manoj
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Fabozzi, Frank J.
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Jawadi, Fredj
5
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Li, Kai
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Computational economics
Journal of economic dynamics & control
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ECONIS (ZBW)
16
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1
A hybrid ARFIMA wavelet artificial neural network model for DJIA index forecasting
Boubaker, Heni
;
Canarella, Giorgio
;
Gupta, Rangan
; …
- In:
Computational economics
62
(
2023
)
4
,
pp. 1801-1843
Persistent link: https://www.econbiz.de/10014437593
Saved in:
2
An analytical approximation formula for barrier option prices under the heston model
He, Xin-Jiang
;
Lin, Sha
- In:
Computational economics
60
(
2022
)
4
,
pp. 1413-1425
Persistent link: https://www.econbiz.de/10013447445
Saved in:
3
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:
4
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:
5
Forecasting volatility for an optimal portfolio with stylized facts using copulas
Karmous, Aida
;
Boubaker, Heni
;
Belkacem, Lotfi
- In:
Computational economics
58
(
2021
)
2
,
pp. 461-482
Persistent link: https://www.econbiz.de/10012615046
Saved in:
6
Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni
- In:
Computational economics
55
(
2020
)
2
,
pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
Saved in:
7
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:
8
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
Saved in:
9
Labor market volatility in the RBC search model : a look at Hagedorn and Manovskii's calibration
Atolia, Manoj
;
Gibson, John
;
Marquis, Milton H.
- In:
Computational economics
52
(
2018
)
2
,
pp. 583-602
Persistent link: https://www.econbiz.de/10012053008
Saved in:
10
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
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