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Search: subject:"Vasicek Model"
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Mean Reversion
482
Mean reversion
480
Theorie
171
Theory
171
Estimation
118
Schätzung
117
Börsenkurs
90
Share price
90
Portfolio selection
80
Portfolio-Management
80
Zeitreihenanalyse
76
Time series analysis
75
Capital income
70
Kapitaleinkommen
70
USA
67
United States
67
Volatility
67
Volatilität
67
Stochastic process
58
Stochastischer Prozess
58
Option pricing theory
52
Optionspreistheorie
52
Unit root test
47
Aktienmarkt
46
Einheitswurzeltest
46
Stock market
46
Vasicek model
42
Kaufkraftparität
37
Purchasing power parity
37
Anlageverhalten
34
Behavioural finance
34
Welt
34
World
34
Yield curve
31
Zinsstruktur
31
mean reversion
30
CAPM
27
Efficient market hypothesis
27
Effizienzmarkthypothese
27
Interest rate
26
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Free
179
Undetermined
117
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Article
334
Book / Working Paper
216
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Article in journal
300
Aufsatz in Zeitschrift
300
Graue Literatur
87
Non-commercial literature
87
Working Paper
83
Arbeitspapier
82
Aufsatz im Buch
19
Book section
19
Hochschulschrift
18
Thesis
13
Article
4
Collection of articles written by one author
4
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4
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2
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2
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1
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1
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English
520
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17
German
13
Spanish
1
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Gil-Alaña, Luis A.
21
Leung, Tim
12
Caporale, Guglielmo Maria
11
Yu, Jun
10
Li, Xin
7
Spierdijk, Laura
7
Stein, Jeremy C.
7
Christensen, Bent Jesper
5
Posch, Olaf
5
Wong, Hoi Ying
5
Bao, Yong
4
Bikker, Jacob A.
4
Bobenrieth H., Eugenio S.
4
Bobenrieth H., Juan R. A.
4
Boltz, Marie
4
Chort, Isabelle
4
Fabozzi, Frank J.
4
Glaeser, Edward L.
4
Holmes, Mark J.
4
Kim, Hyeongwoo
4
Li, Jiao
4
Madan, Dilip B.
4
Narayan, Paresh Kumar
4
Neaime, Simon
4
Platen, Eckhard
4
Smyth, Russell
4
Ullah, Aman
4
Wang, Zheng
4
Wel, Michel van der
4
Wright, Brian D.
4
Yang, Bill Huajian
4
Zakrajšek, Egon
4
Zhou, Qiankun
4
Albrecht, Peter
3
Baharumshah, Ahmad Zubaidi
3
Bikker, Jacob Antoon
3
Canarella, Giorgio
3
Chung, Shing Fung
3
Dias, Daniel
3
Fergusson, Kevin
3
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National Bureau of Economic Research
6
School of Economics, Singapore Management University
4
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
4
Department of Economics and Related Studies, University of York
2
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
2
Queen Mary College / Department of Economics
2
CESifo
1
Carleton University / Department of Economics
1
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
1
Duale Hochschule Baden-Württemberg Stuttgart
1
Eberhard Karls Universität Tübingen
1
Erasmus Research Institute of Management
1
Institut for Nationaløkonomi <Kopenhagen>
1
Institut für Weltwirtschaft
1
Institut für Wirtschaftsforschung Halle
1
Institute of Economic Research, Kyoto University
1
School of Economics and Management, University of Aarhus
1
Technische Universität Kaiserslautern
1
University of Connecticut / Department of Economics
1
Universität Bremen / Fachbereich Wirtschaftswissenschaft
1
Verlag Dr. Hut <München>
1
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International journal of theoretical and applied finance
13
Applied economics
8
Economic modelling
8
Journal of banking & finance
8
CESifo working papers
7
The journal of futures markets
7
Working paper / National Bureau of Economic Research, Inc.
7
Economics letters
6
International review of economics & finance : IREF
6
Applied economics letters
5
Applied financial economics
5
Applied mathematical finance
5
International journal of financial engineering
5
NBER Working Paper
5
NBER working paper series
5
Annals of financial economics
4
European journal of operational research : EJOR
4
Finance research letters
4
Insurance / Mathematics & economics
4
Journal of empirical finance
4
MPRA Paper
4
Risks : open access journal
4
The European journal of finance
4
The journal of asset management
4
Working Papers / School of Economics, Singapore Management University
4
Working paper
4
Computational economics
3
DNB working paper
3
De Nederlandsche Bank Working Paper
3
Discussion paper / Centre for Economic Policy Research
3
Economics and finance working paper series
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Journal of econometrics
3
Journal of financial and quantitative analysis : JFQA
3
Journal of money, credit and banking : JMCB
3
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
3
The financial review : the official publication of the Eastern Finance Association
3
The journal of real estate finance and economics
3
American journal of agricultural economics
2
Asia-Pacific Financial Markets
2
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ECONIS (ZBW)
522
RePEc
23
EconStor
5
Showing
81
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550
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81
Asset pricing with mean reversion : the case of ships
Moutzouris, Ioannis C.
;
Nomikos, Nikos K.
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012221061
Saved in:
82
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
83
Asymmetric mean reversion of Bitcoin price returns
Corbet, Shaen
;
Katsiampa, Paraskevi
- In:
International review of financial analysis
71
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012435719
Saved in:
84
Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization
Turatti, Douglas Eduardo
;
Mendes, Fernando Henrique de …
- In:
Finance research letters
34
(
2020
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012436908
Saved in:
85
Mean reversion of the ibovespa price-earnings ratios
Amorim, Daniel Penido de Lima
;
Camargos, Marcos Antônio de
- In:
Latin American business review
21
(
2020
)
4
,
pp. 327-352
Persistent link: https://www.econbiz.de/10012387722
Saved in:
86
Random LGD adjustments in the Vasicek credit risk model
García-Céspedes, Rubén
;
Moreno, Manuel
- In:
The European journal of finance
26
(
2020
)
18
,
pp. 1856-1875
Persistent link: https://www.econbiz.de/10012314661
Saved in:
87
Optimal decision on dynamic insurance price and investment portfolio of an insurer with multi-dimensional time-varying correlation
Mao, Hong
;
Wen, Zhongkai
- In:
Journal of quantitative economics
18
(
2020
)
1
,
pp. 29-51
Persistent link: https://www.econbiz.de/10012418792
Saved in:
88
On the efficacy of optimized exit rule for mean reversion trading
Lee, Donovan
;
Leung, Tim
- In:
International journal of financial engineering
7
(
2020
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012603008
Saved in:
89
A new method based on range to detect mean reversion
Shaik, Muneer
;
Maheswaran, S.
- In:
IIMB management review
32
(
2020
)
2
,
pp. 208-216
Persistent link: https://www.econbiz.de/10012489711
Saved in:
90
Averaged-calibration-length prediction for currency exchange rates by a time-dependent
Vasicek
model
Serafin, Tomasz
;
Michalak, Anna
;
Bielak, Łukasz
; …
- In:
Theoretical economics letters
10
(
2020
)
3
,
pp. 579-599
Persistent link: https://www.econbiz.de/10012492075
Saved in:
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