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~subject:"Markov-Kette"
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Markov-Kette
CAPM
18,977
Theorie
17,000
Theory
16,803
Optionspreistheorie
14,779
Option pricing theory
14,321
Markov chain
7,853
Volatilität
6,654
Volatility
6,580
Kapitaleinkommen
5,934
Capital income
5,920
Schätzung
5,419
Estimation
5,366
Portfolio-Management
5,082
Portfolio selection
5,058
Börsenkurs
4,653
Share price
4,622
Stochastischer Prozess
4,341
Stochastic process
4,287
Risikoprämie
3,530
Risk premium
3,514
Rohstoffpreis
3,437
Commodity price
3,268
USA
3,057
United States
3,005
Optionsgeschäft
2,930
Option trading
2,911
Derivat
2,903
Derivative
2,901
Risk
2,850
Risiko
2,840
Welt
2,414
World
2,356
Aktienmarkt
2,122
Stock market
2,081
Prognoseverfahren
1,871
Forecasting model
1,855
Zinsstruktur
1,758
Yield curve
1,744
Hedging
1,662
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Free
2,405
Undetermined
2,145
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Article
4,683
Book / Working Paper
2,876
Journal
1
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Article in journal
4,375
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1,656
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1,656
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1,607
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1,595
Aufsatz im Buch
285
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285
Hochschulschrift
158
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132
Conference paper
36
Konferenzbeitrag
36
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35
Sammlung
35
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25
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25
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20
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20
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15
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13
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10
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10
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10
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7
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6
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6
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4
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4
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3
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3
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3
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English
7,431
German
79
French
27
Spanish
7
Polish
5
Portuguese
3
Undetermined
3
Croatian
2
Italian
1
Dutch
1
Swedish
1
Chinese
1
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Author
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Elliott, Robert J.
47
Casarin, Roberto
42
Billio, Monica
39
Waggoner, Daniel F.
37
Siu, Tak Kuen
33
Dijk, Herman K. van
28
Guidolin, Massimo
28
Gupta, Rangan
28
Stachurski, John
27
Tsionas, Efthymios G.
27
Zha, Tao
27
Bauwens, Luc
25
Lütkepohl, Helmut
24
Piger, Jeremy Max
24
Reffett, Kevin L.
24
Sola, Martin
24
Kaufmann, Sylvia
23
Balbus, Lukasz
22
Dufays, Arnaud
22
Kim, Chang-jin
22
Chauvet, Marcelle
21
Chib, Siddhartha
21
Cui, Zhenyu
21
Kohn, Robert
21
Krolzig, Hans-Martin
21
Paap, Richard
21
Rady, Sven
21
Doraszelski, Ulrich
20
Ravazzolo, Francesco
20
Frühwirth-Schnatter, Sylvia
19
Leiva-Leon, Danilo
19
D'Amico, Guglielmo
18
Dijk, Dick van
18
Farmer, Roger E. A.
18
Kamihigashi, Takashi
18
Lux, Thomas
18
Chiarella, Carl
17
Funke, Michael
17
Guo, Xianping
17
Guérin, Pierre
17
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National Bureau of Economic Research
28
Ekonomiska forskningsinstitutet <Stockholm>
10
Federal Reserve Bank of St. Louis
10
Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
7
Centre for Analytical Finance <Århus>
6
California Agricultural Experiment Station / Department of Agricultural and Resource Economics
4
Econometrisch Instituut <Rotterdam>
4
European University Institute / Department of Law
4
Springer Fachmedien Wiesbaden
4
Christian-Albrechts-Universität zu Kiel
3
European University Institute / Department of Economics
3
University of British Columbia / Finance Division
3
University of Melbourne / Department of Economics
3
University of Reading / Department of Economics
3
University of Strathclyde / Department of Economics
3
Centre for Actuarial Studies
2
Centre for Growth and Business Cycle Research <Manchester>
2
Federal Reserve Bank of New York
2
Forschungsinstitut zur Zukunft der Arbeit
2
Instituto Valenciano de Investigaciones Económicas
2
London School of Economics and Political Science
2
National Institute of Economic and Social Research
2
Nationalekonomiska Institutionen <Lund>
2
Social Systems Research Institute
2
State University of New York at Albany / Department of Economics
2
Universität Hannover / Wirtschaftswissenschaftliche Fakultät
2
Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
2
Université de Montréal / Département de sciences économiques
2
Aarhus Universitet / Afdeling for Nationaløkonomi
1
Bonn Graduate School of Economics
1
Brown University / Department of Economics
1
Center for Economic Research <Tilburg>
1
Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
1
Danmarks Nationalbank
1
Department of Agricultural Economics, Cornell University Agricultural Experiment Station, New York State College of Agriculture and Life Sciences, Cornell University
1
Deutschland <Bundesrepublik> / Bundeswehr / Hochschule Hamburg / Fachbereich Wirtschafts- und Organisationswissenschaften
1
Eidgenössische Technische Hochschule Zürich
1
Europäische Kommission / Gemeinsame Forschungsstelle
1
Federal Reserve Bank of Atlanta
1
Federal Reserve Bank of Kansas City / Research Division
1
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Published in...
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European journal of operational research : EJOR
214
Journal of econometrics
116
Operations research letters
85
Economic modelling
80
Mathematics of operations research
75
Mathematical methods of operations research
73
Discussion paper / Tinbergen Institute
72
Journal of economic dynamics & control
71
International journal of production research
69
Economics letters
67
International journal of theoretical and applied finance
66
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
62
Operations research
62
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
57
Insurance / Mathematics & economics
56
Energy economics
55
Working paper
54
Applied economics
52
International journal of production economics
51
Computers & operations research : and their applications to problems of world concern ; an international journal
46
Computational economics
45
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
45
Journal of economic theory
45
Journal of forecasting
43
Discussion paper / Centre for Economic Policy Research
41
International journal of forecasting
41
Applied economics letters
39
Série des documents de travail / Centre de Recherche en Économie et Statistique
39
Quantitative finance
38
Finance research letters
37
Risks : open access journal
36
Dynamic games and applications : DGA
35
Working paper / National Bureau of Economic Research, Inc.
35
Journal of empirical finance
34
International review of financial analysis
33
Macroeconomic dynamics
33
Finance and stochastics
32
Working paper / Department of Econometrics and Business Statistics, Monash University
31
Journal of banking & finance
30
Management science : journal of the Institute for Operations Research and the Management Sciences
30
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Source
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ECONIS (ZBW)
7,527
EconStor
17
USB Cologne (EcoSocSci)
14
BASE
1
RePEc
1
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1
Pricing commodity index options
Manzano-Herrero, Alberto Pedro
;
Nastasi, Emanuele
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
Saved in:
2
Convenience yield in commodity price modeling : a regime switching approach
Almansour, Abdullah
- In:
Energy economics
53
(
2016
),
pp. 238-247
Persistent link: https://www.econbiz.de/10011660523
Saved in:
3
How regular are directional movements in commodity and asset prices? : a Wald test
Oglend, Atle
;
Kleppe, Tore Selland
- In:
Journal of empirical finance
38
(
2016
),
pp. 290-306
Persistent link: https://www.econbiz.de/10011664705
Saved in:
4
Randomised mixture models for pricing kernels
Macrina, Andrea
;
Parbhoo, Priyanka A.
- In:
Asia-Pacific financial markets
21
(
2014
)
4
,
pp. 281-315
Persistent link: https://www.econbiz.de/10010511573
Saved in:
5
Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.
;
Ramezani, Cyrus A.
- In:
Annals of financial economics
9
(
2014
)
3
,
pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
Saved in:
6
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
Saved in:
7
Market-consistent modeling for cap-and-trade schemes and application to option pricing
Barrieu, Pauline
;
Fehr, Max
- In:
Operations research
62
(
2014
)
2
,
pp. 234-249
Persistent link: https://www.econbiz.de/10010361477
Saved in:
8
Option pricing using a regime switching stochastic discount factor
Elliott, Robert J.
;
Hamada, Ahmed S.
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010364754
Saved in:
9
The intrinsic bounds on the risk premium of Markovian pricing kernels
Han, Jihun
;
Park, Hyungbin
- In:
Finance research letters
13
(
2015
),
pp. 36-44
Persistent link: https://www.econbiz.de/10011552334
Saved in:
10
Heat kernel models for asset pricing
Macrina, Andrea
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
Saved in:
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