Similar Search Results

Copula based multivariate semi-Markov models with applications in high-frequency finance

D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777

Persistent link: https://www.econbiz.de/10011812746

Downward migration credit risk problem : a non-homogeneous backward semi-Markov reliability approach

D'Amico, Guglielmo; Janssen, Jacques; Manca, Raimondo - In: Journal of the Operational Research Society : OR 67 (2016) 3, pp. 393-401

Persistent link: https://www.econbiz.de/10011489555

A general framework for time-changed Markov processes and applications

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 273 (2019) 2, pp. 785-800

Persistent link: https://www.econbiz.de/10011987591

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

A general framework for pricing Asian options under Markov processes

Cai, Ning; Song, Yingda; Kou, Steven - In: Operations research 63 (2015) 3, pp. 540-554

Persistent link: https://www.econbiz.de/10011292278

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Endres, Sylvia; Stübinger, Johannes - 2018

This paper develops the regime classification algorithm and applies it within a fully-edged pairs trading framework on minute-by-minute data of the S&P 500 constituents from 1998 to 2015. Specifically, the highly flexible algorithm automatically determines the number of regimes for any...

Persistent link: https://www.econbiz.de/10011845691

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

Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes

Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu - In: European journal of operational research : EJOR 266 (2018) 3, pp. 1134-1139

Persistent link: https://www.econbiz.de/10011812242

A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns

Endres, Sylvia; Stübinger, Johannes - In: Quantitative finance 19 (2019) 10, pp. 1727-1740

Persistent link: https://www.econbiz.de/10012194819

Debtor level collection operations using Bayesian dynamic programming

So, Mee Chi; Mues, Christophe; Almeida-Filho, Adiel T. de; … - In: Journal of the Operational Research Society 70 (2019) 8, pp. 1332-1348

Persistent link: https://www.econbiz.de/10012214217