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Bayesian failure-rate modeling and preventive maintenance optimization
Belyi, Dmitriy; Popova, Elmira; Morton, David P.; … - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1085-1093
Persistent link: https://www.econbiz.de/10011802470
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Multivariate dependence analysis via tree copula models : an application to one-year forward energy contracts
Bassetti, Federico; De Giuli, Maria Elena; Nicolino, Enrica - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1107-1121
Persistent link: https://www.econbiz.de/10011866878
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Estimating stochastic discount factor models with hidden regimes : applications to commodity pricing
Giampietro, Marta; Guidolin, Massimo; Pedio, Manuela - In: European journal of operational research : EJOR 265 (2018) 2, pp. 685-702
Persistent link: https://www.econbiz.de/10011811481
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Long-run wavelet-based correlation for financial time series
Conlon, Thomas; Cotter, John; Gençay, Ramazan - In: European journal of operational research : EJOR 271 (2018) 2, pp. 676-696
Persistent link: https://www.econbiz.de/10011890368
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Clustering financial time series : new insights from an extended hidden Markov model
Dias, José G.; Vermunt, Jeroen K.; Ramos, Sofia B. - In: European journal of operational research : EJOR 243 (2015) 3, pp. 852-864
Persistent link: https://www.econbiz.de/10010513848
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Modeling and forecasting exchange rate volatility in time-frequency domain
Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - In: European journal of operational research : EJOR 251 (2016) 1, pp. 329-340
Persistent link: https://www.econbiz.de/10011446589
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On moment non-explosions for Wishart-based stochastic volatility models
Fonseca, José da - In: European journal of operational research : EJOR 254 (2016) 3, pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
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Multivariate FX models with jumps : triangles, Quantos and implied correlation
Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory - In: European journal of operational research : EJOR 260 (2017) 3, pp. 1181-1199
Persistent link: https://www.econbiz.de/10011714363
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 290 (2021) 3, pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249