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~isPartOf:"International review of financial analysis"
~isPartOf:"Quantitative finance"
~subject:"Markov switching"
~subject:"Optionspreistheorie"
~subject:"USA"
~subject:"VAR-Modell"
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Search: subject_exact:"Markovsche Kette"
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Markov switching
Optionspreistheorie
USA
VAR-Modell
Markov chain
71
Markov-Kette
71
Theorie
31
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31
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23
Schätzung
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International review of financial analysis
Quantitative finance
International journal of theoretical and applied finance
28
Journal of econometrics
25
Economic modelling
23
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Economics letters
20
Applied economics
17
Energy economics
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European journal of operational research : EJOR
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Working paper
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Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Finance research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The North American journal of economics and finance : a journal of financial economics studies
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Applied economics letters
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Discussion paper / Centre for Economic Policy Research
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Discussion paper / Tinbergen Institute
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Macroeconomic dynamics
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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EUI working paper / ECO
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Finance and stochastics
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International review of economics & finance : IREF
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Journal of forensic economics
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The journal of futures markets
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Working paper / National Bureau of Economic Research, Inc.
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Asia-Pacific financial markets
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Journal of legal economics
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ECONIS (ZBW)
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1
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
2
Implied Markov transition matrices under structural price models
Defourny, Boris
;
Moazeni, Somayeh
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1935-1954
Persistent link: https://www.econbiz.de/10012696797
Saved in:
3
Analysis about the black-scholes asset price under the regime-switching framework
Tian, Ping
;
Zhou, Hang
;
Zhou, Duotai
- In:
International review of financial analysis
88
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014471870
Saved in:
4
The impact of the Russian-Ukrainian war on global financial markets
Izzeldin, Marwan
;
Muradoğlu, Gülnur
;
Pappas, Vasileios
; …
- In:
International review of financial analysis
87
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014457520
Saved in:
5
Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Jin, Xing
;
Hong, Yi
- In:
International review of financial analysis
87
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014457699
Saved in:
6
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
7
Pricing commodity index options
Manzano-Herrero, Alberto Pedro
;
Nastasi, Emanuele
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
Saved in:
8
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
9
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Saved in:
10
A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
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