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Search: subject:"Fractional Brownian Motion"
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Fractional Brownian motion
123
Stochastischer Prozess
89
Stochastic process
86
fractional Brownian motion
81
Optionspreistheorie
46
Option pricing theory
45
Theorie
40
Volatility
39
Volatilität
39
Theory
36
Time series analysis
19
Zeitreihenanalyse
19
Hurst exponent
16
Long memory
11
long memory
11
Arbitrage
10
Option pricing
10
Fractional Brownian Motion
9
Malliavin calculus
9
Black-Scholes-Modell
8
Transaction costs
8
Transaktionskosten
8
Black-Scholes model
7
Estimation theory
7
Forecasting model
7
Gaussian process
7
Portfolio selection
7
Portfolio-Management
7
Prognoseverfahren
7
Schätztheorie
7
Discrete Fourier transform
6
Whittle likelihood
6
option pricing
6
stochastic volatility
6
Derivat
5
Derivative
5
Fractional Gaussian noise
5
Multivariate stochastic volatility
5
Sub-fractional Brownian motion
5
fractional integration
5
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Undetermined
166
Free
69
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Article
186
Book / Working Paper
74
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Article in journal
72
Aufsatz in Zeitschrift
72
Working Paper
14
Arbeitspapier
9
Graue Literatur
9
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9
Aufsatz im Buch
4
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4
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3
Conference paper
2
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2
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1
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136
English
124
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Asai, Manabu
6
McAleer, Michael
6
Mišura, Julija S.
6
Phillips, Peter C.B.
6
Bassler, Kevin E.
5
Gunaratne, Gemunu H.
5
McCauley, Joseph L.
5
Rostek, Stefan
5
Yu, Jun
5
Gorostiza, Luis G.
4
Härdle, Wolfgang
4
Reveiz, Alejandro
4
Rosenbaum, Mathieu
4
Tindel, Samy
4
Ayache, Antoine
3
Björk, Tomas
3
Bojdecki, Tomasz
3
Breton, A. Le
3
Davidson, James
3
Garavaglia, M.
3
Garcin, Matthieu
3
Hall, Peter
3
Hashimzade, Nigar
3
Hult, Henrik
3
Jing, Bingyi
3
Kleinow, Torsten
3
Kleptsyna, M.L.
3
Marinucci, D
3
Michna, Zbigniew
3
Pérez, D.G.
3
Robinson, Peter M.
3
Rosso, O.A.
3
Schmidt, Peter
3
Schöbel, Rainer
3
Shokrollahi, Foad
3
Wang, Xiaohu
3
Xiang, Yun
3
Zhang, Chen
3
Zunino, L.
3
Ausloos, M.
2
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
7
Cowles Foundation for Research in Economics, Yale University
6
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
4
Départment des sciences administratives, Université du Québec en Outaouais (UQO)
3
London School of Economics (LSE)
3
School of Economics and Management, University of Aarhus
3
BANCO DE LA REPÚBLICA
2
Banco de la Republica de Colombia
2
Business School, University of Exeter
2
EconWPA
2
HAL
2
Agricultural and Applied Economics Association - AAEA
1
CTS - Centre for Transport Studies Stockholm (KTH and VTI)
1
Department of Economics and Business, Universitat Pompeu Fabra
1
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
1
Ehrvervøkonomisk Institut, Institut for Økonomi
1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Facultat d'Economia i Empresa, Universitat de Barcelona
1
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
Institut für Weltwirtschaft (IfW)
1
Institute of Economic Research, Kyoto University
1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
1
Tinbergen Instituut
1
Wirtschaftswissenschaftlichen Fakultät, Eberhard-Karls-Universität Tübingen
1
World Scientific Publishing Co. Pte. Ltd.
1
Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie
1
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Published in...
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Physica A: Statistical Mechanics and its Applications
33
Statistical Inference for Stochastic Processes
22
Stochastic Processes and their Applications
18
Statistics & Probability Letters
13
Quantitative finance
8
MPRA Paper
7
Cowles Foundation Discussion Papers
6
International journal of theoretical and applied finance
6
Advances in Economic and Financial Research - DOFIN Working Paper Series
4
Econometric reviews
4
Finance and Stochastics
4
Journal of mathematical finance
4
Risk and decision analysis
4
CREATES Research Papers
3
Computational economics
3
Finance and stochastics
3
International journal of financial engineering
3
LSE Research Online Documents on Economics
3
Mathematics and Computers in Simulation (MATCOM)
3
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
3
RePAd Working Paper Series
3
Risks : open access journal
3
Agricultural finance review
2
Annals of finance
2
BORRADORES DE ECONOMIA
2
Borradores de Economia
2
Discussion Papers / Business School, University of Exeter
2
Economic Modelling
2
Economic modelling
2
Finance
2
Financial innovation : FIN
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
Mathematical finance
2
Mathematics and financial economics
2
Mathematics of operations research
2
Quantitative Finance
2
SSE/EFI Working Paper Series in Economics and Finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
Tübinger Diskussionsbeiträge
2
Working Papers / HAL
2
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Source
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RePEc
163
ECONIS (ZBW)
88
EconStor
6
BASE
3
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11
Optimal stop-loss rules in markets with long-range dependence
Xiang, Yun
;
Deng, Shijie
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 253-263
Persistent link: https://www.econbiz.de/10014551974
Saved in:
12
On the optimal forecast with the
fractional
Brownian
motion
Wang, Xiaohu
;
Yu, Jun
;
Zhang, Chen
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 337-346
Persistent link: https://www.econbiz.de/10014552006
Saved in:
13
Implied roughness in the term structure of oil market volatility
Alfeus, Mesias
;
Nikitopoulos, Christina Sklibosios
; …
- In:
Quantitative finance
24
(
2024
)
3/4
,
pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
Saved in:
14
Discrete fourier transforms of fractional processes with econometric applications
Phillips, Peter C. B.
-
2021
Persistent link: https://www.econbiz.de/10012807741
Saved in:
15
Multivariate
fractional
Brownian
motion
and generalizations of SABR model
Musiela, Marek
- In:
Options - 45 years since the publication of the …
,
(pp. 73-87)
.
2023
Persistent link: https://www.econbiz.de/10014366588
Saved in:
16
Buy rough, sell smooth
Glasserman, Paul
;
He, Pu
- In:
Options - 45 years since the publication of the …
,
(pp. 89-125)
.
2023
Persistent link: https://www.econbiz.de/10014366595
Saved in:
17
Volatility is rough
Gatheral, Jim
;
Jaisson, Thibault
;
Rosenbaum, Mathieu
- In:
Options - 45 years since the publication of the …
,
(pp. 127-172)
.
2023
Persistent link: https://www.econbiz.de/10014366596
Saved in:
18
Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 73-95)
.
2023
Persistent link: https://www.econbiz.de/10014313249
Saved in:
19
Latent local-to-unity models
Wang, Xiaohu
;
Yu, Jun
- In:
Econometric reviews
42
(
2023
)
7
,
pp. 586-611
Persistent link: https://www.econbiz.de/10014321656
Saved in:
20
Pairs trading with fractional Ornstein-Uhlenbeck spread model
Xiang, Yun
;
Zhao, Yonghong
;
Deng, Shijie
- In:
Applied economics
55
(
2023
)
23
,
pp. 2607-2623
Persistent link: https://www.econbiz.de/10014295156
Saved in:
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