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Stochastic process
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McAleer, Michael
74
Phillips, Peter C. B.
60
Koopman, Siem Jan
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Chiarella, Carl
42
Sethi, Suresh
42
Platen, Eckhard
41
Barndorff-Nielsen, Ole E.
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Escudero, Laureano F.
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Asai, Manabu
37
Chan, Joshua
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Cui, Zhenyu
36
Todorov, Viktor
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Yu, Jun
34
Shephard, Neil G.
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Post, Thierry
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Escobar, Marcos
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Benth, Fred Espen
28
Gendreau, Michel
27
Takahashi, Akihiko
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Clark, Todd E.
25
Mumtaz, Haroon
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Linton, Oliver
24
Tauchen, George Eugene
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Fabozzi, Frank J.
23
Gao, Jiti
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Zhang, Qing
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Fouque, Jean-Pierre
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Kohlmann, Michael
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Siu, Tak Kuen
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Inderfurth, Karl
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Kleijnen, Jack P. C.
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Madan, Dilip B.
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Marcellino, Massimiliano
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Račev, Svetlozar T.
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Renault, Eric
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Agricultural Land Markets - Efficiency and Regulation
1
Australian National University / Research School of Pacific and Asian Studies / Economics Division
1
Bachelier Finance Society
1
Banca d'Italia / Servizio Studi
1
Center for Economic Research <Tilburg>
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European journal of operational research : EJOR
494
International journal of theoretical and applied finance
218
Journal of econometrics
178
Insurance / Mathematics & economics
176
Finance and stochastics
152
Computers & operations research : and their applications to problems of world concern ; an international journal
146
International journal of production research
127
Quantitative finance
126
Operations research
120
Operations research letters
109
Journal of economic dynamics & control
103
Mathematical finance : an international journal of mathematics, statistics and financial theory
99
Discussion paper / Tinbergen Institute
94
Mathematics of operations research
87
Risks : open access journal
85
Applied mathematical finance
79
International journal of production economics
78
Computational economics
77
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
77
Econometric reviews
74
The journal of computational finance
65
Economics letters
64
INFORMS journal on computing : JOC
64
Finance research letters
60
Computational Management Science : CMS
59
Journal of economic theory
56
Journal of mathematical finance
56
Economic modelling
55
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
54
Energy economics
54
Mathematical methods of operations research
53
Annals of finance
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Transportation research / E : an international journal
52
International journal of financial engineering
51
Working paper
51
Discussion papers of interdisciplinary research project 373
49
Transportation science : a journal of the Institute for Operations Research and the Management Sciences
49
Journal of banking & finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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CREATES research paper
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ECONIS (ZBW)
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1
What should the value of lambda be in the exponentially weighted moving average
volatility
model?
Bollen, Bernard
- In:
Applied economics
47
(
2015
)
7/9
,
pp. 853-860
Persistent link: https://www.econbiz.de/10010512092
Saved in:
2
Naira-Dollar exchange rate
volatility
modeling using Quadratic Moving Average Conditional Heteroscedasticity (QMACH)
Olarewaju, Odunayo Magret
;
Olasehinde, Timilehin John
- In:
EuroEconomica
36
(
2017
)
2
,
pp. 106-116
Persistent link: https://www.econbiz.de/10011798639
Saved in:
3
Bayesian stochastic
volatility
predictability of cryptocurrencies with the algorithm of Metropolis Hasting
Hachicha, Fatma
;
Ghabri, Yosra
;
Guesmi, Khaled
; …
- In:
Revue Gestion 2000 : management & prospective
39
(
2022
)
6
,
pp. 163-186
Persistent link: https://www.econbiz.de/10014306107
Saved in:
4
Approximating
volatility
diffusions with CEV-ARCH models
Fornari, Fabio
;
Mele, Antonio
- In:
Journal of economic dynamics & control
30
(
2006
)
6
,
pp. 931-966
Persistent link: https://www.econbiz.de/10003327657
Saved in:
5
Continuous time approximations to GARCH and stochastic
volatility
models
Lindner, Alexander M.
- In:
Handbook of financial time series
,
(pp. 481-496)
.
2009
Persistent link: https://www.econbiz.de/10003834175
Saved in:
6
Stock returns and
volatility
: pricing the short-run and long-run components of market risk
Adrian, Tobias
;
Rosenberg, Joshua V.
- In:
The journal of finance : the journal of the American …
63
(
2008
)
6
,
pp. 2997-3030
Persistent link: https://www.econbiz.de/10003823154
Saved in:
7
GARCH processes - some exact results, some difficulties and a suggested remedy
Knight, John L.
;
Satchell, Stephen
- In:
Forecasting volatility in the financial markets
,
(pp. 365-389)
.
2007
Persistent link: https://www.econbiz.de/10003873026
Saved in:
8
Modellierung von Volatilitäten für Hedgefonds-Strategien
Füss, Roland
;
Rehkugler, Heinz
-
2006
Persistent link: https://www.econbiz.de/10003376858
Saved in:
9
Modeling asset prices
Gentle, James E.
;
Härdle, Wolfgang
-
2010
time diffusion models ; models with jumps ; stochastic
volatility
; GARCH …
Persistent link: https://www.econbiz.de/10003973644
Saved in:
10
Relating stochastic
volatility
estimation methods
Bos, Charles S.
-
2011
Persistent link: https://www.econbiz.de/10008907815
Saved in:
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