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Search: subject:"mean reverting"
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Volatility
Mean Reversion
482
Mean reversion
482
Theorie
184
Theory
182
Estimation
108
Schätzung
108
Börsenkurs
97
Share price
97
Volatilität
88
Zeitreihenanalyse
83
Stochastischer Prozess
82
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82
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81
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78
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77
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73
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73
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68
United States
68
Einheitswurzeltest
47
Unit root test
47
Aktienmarkt
46
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46
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37
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37
Welt
35
World
35
Anlageverhalten
34
Behavioural finance
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Derivat
32
Derivative
32
mean reversion
31
Efficient market hypothesis
28
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Glaeser, Edward L.
4
Marcus, Alan J.
3
Wong, Hoi Ying
3
Chung, Shing Fung
2
Funahashi, Hideharu
2
Hamana, Elias
2
Huang, Jian
2
Jensen, Mark J.
2
Kobayashi, Masahito
2
Lejay, Antoine
2
Li, Jiao
2
Lutz, Björn
2
Nathanson, Charles
2
Nathanson, Charles G.
2
Nielsen, Ole Linnemann
2
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2
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2
Pun, Chi Seng
2
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2
Adkins, Lee Chester
1
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1
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1
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1
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1
Bao, Qunfang
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1
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1
Bobenrieth H., Juan R. A.
1
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1
Channar, Zahid Ali
1
Chao, Wan-ling
1
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1
Chen, Ting-Fu
1
Chi, Qishui
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Chiu, Hsin-Yu
1
Cho, Dooyeon
1
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1
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1
Universität Bremen / Fachbereich Wirtschaftswissenschaft
1
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International journal of theoretical and applied finance
5
Applied mathematical finance
3
European journal of operational research : EJOR
3
International journal of financial engineering
3
The North American journal of economics and finance : a journal of financial economics studies
3
Working paper / National Bureau of Economic Research, Inc.
3
Economic modelling
2
NBER Working Paper
2
NBER working paper series
2
The journal of futures markets
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An analysis of long-term influences on financial markets, uncertainty and the sustainability of fiscal balances
1
Annals of finance
1
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1
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Computational Management Science : CMS
1
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Copernican Journal of Finance & Accounting : CJF&A
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1
Econometric Institute research papers
1
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1
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1
Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]
1
Financial analysts journal : FAJ
1
Fisher College of Business working paper series
1
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty
1
HKS Working Paper
1
International journal of bonds and derivatives
1
International review of economics & finance : IREF
1
International review of financial analysis
1
International transactions in operational research : a journal of the International Federation of Operational Research Societies
1
Journal of banking & finance
1
Journal of economic interaction and coordination
1
Journal of economics and finance
1
Journal of emerging market finance
1
Journal of international economics
1
Konzeption eines Handelssystems auf Basis des Mean-Reversion-Effektes der Volatilität
1
Lecture Notes in Economics and Mathematical Systems
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Lecture notes in economics and mathematical systems : LNEMS
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ECONIS (ZBW)
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41
Pricing derivatives with fractional volatility
Funahashi, Hideharu
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
Saved in:
42
Asynchronous ADRs : overnight vs intraday returns and trading strategies
Kang, Jamie
;
Leung, Tim
- In:
Studies in economics and finance
34
(
2017
)
4
,
pp. 580-596
Persistent link: https://www.econbiz.de/10011961106
Saved in:
43
Does the Hurst index matter for option prices under fractional volatility?
Funahashi, Hideharu
;
Kijima, Masaaki
- In:
Annals of finance
13
(
2017
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10011944961
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44
Speculative behavior in a housing market : boom and bust
Zheng, Min
;
Wang, Hefei
;
Wang, Chengzhang
;
Wang, Shouyang
- In:
Economic modelling
61
(
2017
),
pp. 50-64
Persistent link: https://www.econbiz.de/10011736700
Saved in:
45
An empirical study on the stock price volatility of small and medium enterprise board in China
Chi, Qishui
;
Huo, Jieyi
- In:
Research in world economy
8
(
2017
)
2
,
pp. 12-24
Persistent link: https://www.econbiz.de/10011784337
Saved in:
46
Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas
;
Lee, Geoffrey
;
Zhu, Zili
- In:
International journal of theoretical and applied finance
19
(
2016
)
5
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
Saved in:
47
Long memory and fractional cointegration relationship between physical and financial oil markets
Ghorbel, Achraf
;
Souissi, Nessim
- In:
International journal of bonds and derivatives
2
(
2016
)
2
,
pp. 133-151
Persistent link: https://www.econbiz.de/10011587541
Saved in:
48
Trading VIX futures under mean reversion with regime switching
Li, Jiao
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011588132
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49
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
Jensen, Mark J.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
20
(
2016
)
4
,
pp. 455-475
Persistent link: https://www.econbiz.de/10011649139
Saved in:
50
Pricing options on forwards in energy markets : the role of mean reversion's speed
Schmeck, Maren Diane
- In:
International journal of theoretical and applied finance
19
(
2016
)
8
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011686772
Saved in:
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