//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~subject:"CAPM"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Jump diffusion model"
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
CAPM
Optionspreistheorie
47
Option pricing theory
46
Stochastic process
45
Stochastischer Prozess
45
Volatility
33
Volatilität
33
jump-diffusion model
26
Jump-diffusion model
19
Theorie
17
Theory
17
Jump diffusion model
13
Option trading
13
Optionsgeschäft
13
Portfolio selection
12
Portfolio-Management
12
jump diffusion model
12
Börsenkurs
11
Share price
11
Capital income
10
Kapitaleinkommen
10
Statistische Verteilung
10
Statistical distribution
9
Black-Scholes model
7
Black-Scholes-Modell
7
Derivat
7
Derivative
7
Markov chain
7
Markov-Kette
7
Risk
7
Monte Carlo simulation
6
Risiko
6
Schätztheorie
6
Time series analysis
6
Zeitreihenanalyse
6
Bayes-Statistik
5
Bayesian inference
5
Estimation
5
Estimation theory
5
Monte-Carlo-Simulation
5
more ...
less ...
Online availability
All
Undetermined
6
Free
5
Type of publication
All
Article
10
Book / Working Paper
3
Type of publication (narrower categories)
All
Article in journal
10
Aufsatz in Zeitschrift
10
Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
3
Working Paper
3
Language
All
English
13
Author
All
Forbes, Catherine Scipione
4
Maneesoonthorn, Worapree
4
Martin, Gael M.
4
Arshanapalli, Bala Gangadhar
1
Chen Zhou
1
Fabozzi, Frank J.
1
Fadugba, Sunday Emmanuel
1
Gu, Ailing
1
Kostrzewski, Maciej
1
Ku, Hyejin
1
Li, Danping
1
Li, Han
1
Liu, Haibo
1
Muroi, Yoshifumi
1
Nelson, William
1
Nwozo, Chuma Raphael
1
Schneider, Lucas
1
Stübinger, Johannes
1
Suda, Shintaro
1
Tang, Qihe
1
Xiao, Xiao
1
Yuan, Zhongyi
1
Zeng, Yan
1
Zhang, Hai
1
more ...
less ...
Published in...
All
Working paper / Department of Econometrics and Business Statistics, Monash University
3
Insurance / Mathematics & economics
2
Applied economics letters
1
Central European journal of economic modelling and econometrics
1
International review of financial analysis
1
Journal of econometrics
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of mathematical finance
1
Journal of risk and financial management : JRFM
1
more ...
less ...
Source
All
ECONIS (ZBW)
13
Showing
1
-
10
of
13
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Pricing extreme mortality risk in the wake of the COVID-19 pandemic
Li, Han
;
Liu, Haibo
;
Tang, Qihe
;
Yuan, Zhongyi
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 84-106
Persistent link: https://www.econbiz.de/10013534513
Saved in:
2
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
3
Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes
;
Schneider, Lucas
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
2/51
,
pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting
jump-diffusion
model
and …
Persistent link: https://www.econbiz.de/10012022240
Saved in:
4
The Bayesian methods of jump detection : the example of gas and EUA contract prices
Kostrzewski, Maciej
- In:
Central European journal of economic modelling and …
11
(
2019
)
2
,
pp. 107-131
Persistent link: https://www.econbiz.de/10012294576
Saved in:
5
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
6
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
7
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
- In:
Journal of econometrics
219
(
2020
)
2
,
pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
Saved in:
8
The decomposition of jump risks in individual stock returns
Xiao, Xiao
;
Chen Zhou
- In:
Journal of empirical finance
47
(
2018
),
pp. 207-228
Persistent link: https://www.econbiz.de/10012103499
Saved in:
9
Option valuation with liquidity risk and jumps
Zhang, Hai
;
Ku, Hyejin
- In:
Applied economics letters
25
(
2018
)
6
,
pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
Saved in:
10
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan
;
Li, Danping
;
Gu, Ailing
- In:
Insurance / Mathematics & economics
66
(
2016
),
pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->