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~person:"Bandi, Federico M."
~person:"Bonomelli, Marco"
~person:"Chib, Siddhartha"
~person:"Kirkpinar, Aysegul"
~subject:"Dynamische Wirtschaftstheorie"
~subject:"Volatility"
~type_genre:"Aufsatz im Buch"
~type_genre:"Textbook"
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Dynamische Wirtschaftstheorie
Volatility
Markov chain
6
Markov-Kette
6
Theorie
4
Theory
4
Volatilität
3
Monte Carlo simulation
2
Monte-Carlo-Simulation
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Portfolio selection
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Portfolio-Management
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1991-1993
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ARCH model
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ARCH-Modell
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Commodity derivative
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Kapitaleinkommen
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Markov switching model
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Oil price
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Rohstoffderivat
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Rohstoffmarkt
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Sharpe ratio
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Bandi, Federico M.
Bonomelli, Marco
Chib, Siddhartha
Kirkpinar, Aysegul
Aoki, Masanao
2
Chiarella, Carl
2
Fiaschi, Davide
2
Kang, Boda
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Lavezzi, Andrea Mario
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Sass, Jörn
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Giacometti, Rosella
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Hahn, Markus
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Contemporary issues in business economics and finance
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Stochastic optimization: theory and applications
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Volatility spillover analysis in commodity markets : volatility spillover from oil prices to precious metals under different regimes
Kirkpinar, Aysegul
- In:
Contemporary issues in business economics and finance
,
(pp. 45-56)
.
2020
Persistent link: https://www.econbiz.de/10012313140
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2
Joint tails impact in stochastic volatility portfolio selection models
Bonomelli, Marco
;
Giacometti, Rosella
;
Ortobelli Lozza, …
- In:
Stochastic optimization: theory and applications
,
(pp. 833-848)
.
2020
Persistent link: https://www.econbiz.de/10012290845
Saved in:
3
Nonstationary continuous-time processes
Bandi, Federico M.
;
Phillips, Peter C. B.
-
2010
Persistent link: https://www.econbiz.de/10003900634
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