//--> //--> //-->
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:"Capital income"
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
Capital income
Optionspreistheorie
47
Option pricing theory
46
Stochastic process
46
Stochastischer Prozess
45
Volatility
33
Volatilität
33
jump-diffusion model
27
Jump-diffusion model
19
Theorie
17
Theory
17
Jump diffusion model
14
CAPM
13
Option trading
13
Optionsgeschäft
13
Portfolio selection
12
Portfolio-Management
12
jump diffusion model
12
Börsenkurs
11
Share price
11
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
Monte Carlo simulation
7
Risk
7
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
Free
5
Undetermined
3
Type of publication
All
Article
7
Book / Working Paper
3
Type of publication (narrower categories)
All
Article in journal
7
Aufsatz in Zeitschrift
7
Arbeitspapier
3
Graue Literatur
3
Non-commercial literature
3
Working Paper
3
Language
All
English
10
Author
All
Stübinger, Johannes
3
Endres, Sylvia
2
Forbes, Catherine Scipione
2
Maneesoonthorn, Worapree
2
Martin, Gael M.
2
Arshanapalli, Bala Gangadhar
1
Chen Zhou
1
Chin, Seong Tah
1
Fabozzi, Frank J.
1
Juma, Mussa
1
Lee, Min Cherng
1
Lee, Yen-Hsien
1
Liew, Kian Wah
1
Nelson, William
1
Schneider, Lucas
1
Xiao, Xiao
1
Xiao, Yuewen
1
Zhao, Jing
1
more ...
less ...
Published in...
All
Working paper / Department of Econometrics and Business Statistics, Monash University
2
Cogent economics & finance
1
FAU discussion papers in economics
1
Finance research letters
1
International review of financial analysis
1
Investment management and financial innovations
1
Journal of empirical finance
1
Journal of risk and financial management : JRFM
1
Quantitative finance
1
more ...
less ...
Source
All
ECONIS (ZBW)
10
Showing
1
-
10
of
10
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
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:
2
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:
3
Price dynamics of individual stocks : jumps and information
Xiao, Yuewen
;
Zhao, Jing
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012485357
Saved in:
4
Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Juma, Mussa
;
Lee, Min Cherng
;
Chin, Seong Tah
;
Liew, …
- In:
Cogent economics & finance
5
(
2017
)
1
,
pp. 1-17
prices from calibrated Black–Scholes model to that of calibrated
jump-diffusion
model
. Although both models assume constant …
Persistent link: https://www.econbiz.de/10011881290
Saved in:
5
Pairs trading with a mean-reverting
jump-diffusion
model
on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
-
2017
This paper develops a pairs trading framework based on a mean-reverting
jump-diffusion
model
and applies it to minute …
Persistent link: https://www.econbiz.de/10011640333
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
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:
8
Pairs trading with a mean-reverting
jump-diffusion
model
on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
Saved in:
9
Day-of-the-week and jump effects in international investment sentiment indices
Lee, Yen-Hsien
- In:
Investment management and financial innovations
11
(
2014
)
2
,
pp. 60-68
Persistent link: https://www.econbiz.de/10010392833
Saved in:
10
The role of jump dynamics in the risk-return relationship
Arshanapalli, Bala Gangadhar
;
Fabozzi, Frank J.
; …
- In:
International review of financial analysis
29
(
2013
),
pp. 212-218
Persistent link: https://www.econbiz.de/10010244955
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->