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Search: subject:"Jump diffusion model"
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Zeitreihenanalyse
Optionspreistheorie
47
Option pricing theory
46
Stochastic process
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45
Volatility
33
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33
jump-diffusion model
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Jump-diffusion model
19
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Jump diffusion model
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jump diffusion model
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Stübinger, Johannes
3
Endres, Sylvia
2
Forbes, Catherine Scipione
2
Maneesoonthorn, Worapree
2
Martin, Gael M.
2
Chen Zhou
1
Schneider, Lucas
1
Xiao, Xiao
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FAU discussion papers in economics
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of risk and financial management : JRFM
1
Quantitative finance
1
Working paper / Department of Econometrics and Business Statistics, Monash University
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ECONIS (ZBW)
6
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
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