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~subject:"Zeitreihenanalyse"
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A dynamic program under Lévy p...
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Zeitreihenanalyse
Stochastischer Prozess
16,954
Stochastic process
16,512
Optionspreistheorie
14,680
Theorie
14,399
Option pricing theory
14,222
Theory
14,022
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5,915
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5,808
Dynamic programming
3,766
Dynamische Optimierung
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3,005
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2,990
Optionsgeschäft
2,897
Option trading
2,878
Derivat
2,527
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2,523
Portfolio-Management
2,462
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2,441
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2,224
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2,162
Time series analysis
1,487
USA
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1,450
Risiko
1,417
CAPM
1,410
Risk
1,404
United States
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Schätztheorie
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Estimation theory
1,300
Zinsstruktur
1,268
Yield curve
1,250
Markov chain
1,237
Markov-Kette
1,237
Black-Scholes-Modell
1,164
Börsenkurs
1,123
Black-Scholes model
1,108
Share price
1,085
Statistische Verteilung
1,076
Monte-Carlo-Simulation
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Koopman, Siem Jan
39
Phillips, Peter C. B.
37
Gao, Jiti
26
Gil-Alaña, Luis A.
26
Chan, Joshua
22
Härdle, Wolfgang
21
McAleer, Michael
21
Bos, Charles S.
18
Caporale, Guglielmo Maria
17
Hafner, Christian M.
16
Tauchen, George Eugene
15
Todorov, Viktor
15
Blasques, Francisco
14
Lucas, André
14
Asai, Manabu
13
Marcellino, Massimiliano
12
Yu, Jun
12
Taylor, Robert
11
Benth, Fred Espen
10
Kilian, Lutz
10
Lux, Thomas
10
Zhang, Bo
10
Clark, Todd E.
9
Franke, Jürgen
9
Gonçalves, Sílvia
9
Harvey, Andrew C.
9
Kunst, Robert M.
9
Shephard, Neil G.
9
Carriero, Andrea
8
Cross, Jamie
8
Dong, Chaohua
8
Lieberman, Offer
8
Nagaev, Sergei A.
8
Rodriguez, Gabriel
8
Strachan, Rodney W.
8
Busetti, Fabio
7
Lacroix, Renaud
7
Li, Jia
7
Robinson, Peter M.
7
Schorfheide, Frank
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Centre for Analytical Finance <Århus>
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
3
National Bureau of Economic Research
3
European University Institute / Department of Economics
2
Université de Montréal / Département de sciences économiques
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Ekonomiska forskningsinstitutet <Stockholm>
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European University Institute / Department of Law
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International Statistical Institute
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Leonard N. Stern School of Business / Information Systems Department
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London School of Economics and Political Science
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New York University / Mathematical Finance Seminar
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New York University Mathematical Finance Seminar
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Nuffield College
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Queen Mary College / Department of Economics
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School of Accounting, Finance and Economics <Perth, Western Australia>
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Sonderforschungsbereich Komplexitätsreduktion in Multivariaten Datenstrukturen <Dortmund>
1
Springer International Publishing
1
Thailand Econometric Society
1
University of California Davis / Department of Economics
1
University of Essex / Department of Economics
1
Zentrum für Europäische Wirtschaftsforschung
1
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Journal of econometrics
73
Discussion paper / Tinbergen Institute
45
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
30
Econometric reviews
28
Econometric theory
23
Working paper / Department of Econometrics and Business Statistics, Monash University
20
Economics letters
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
18
Economic modelling
17
Quantitative finance
16
Computational economics
15
International journal of forecasting
15
CAMA working paper series
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CREATES research paper
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Working paper
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Tinbergen Institute Discussion Paper
13
Cowles Foundation discussion paper
12
The econometrics journal
12
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
11
Econometrics : open access journal
11
Energy economics
11
Applied economics letters
10
Journal of banking & finance
10
Journal of empirical finance
10
SFB 649 discussion paper
10
European journal of operational research : EJOR
9
Journal of economic dynamics & control
9
Journal of risk and financial management : JRFM
9
Discussion papers of interdisciplinary research project 373
8
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
Journal of financial econometrics
8
Journal of forecasting
8
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International journal of theoretical and applied finance
7
Journal of applied econometrics
7
Journal of time series econometrics
7
Research paper series / Swiss Finance Institute
7
Universitext
7
Cowles Foundation Discussion Paper
6
International review of financial analysis
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ECONIS (ZBW)
1,496
EconStor
35
USB Cologne (EcoSocSci)
5
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1
Bias in the estimation of mean reversion in continuous-time Lévy processes
Bao, Yong
;
Ullah, Aman
;
Wang, Yun
;
Yu, Jun
- In:
Economics letters
134
(
2015
),
pp. 16-19
Persistent link: https://www.econbiz.de/10011432138
Saved in:
2
Hilbert transform, spectral filters and option pricingh
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
Application of operations research to financial markets
,
(pp. 273-298)
.
2019
Persistent link: https://www.econbiz.de/10012157552
Saved in:
3
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 477-496)
.
2016
Persistent link: https://www.econbiz.de/10011800392
Saved in:
4
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
5
Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
Benth, Fred Espen
;
Blanco, Sara Ana Solanilla
- In:
International journal of theoretical and applied finance
18
(
2015
)
2
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011403202
Saved in:
6
Stochastic dynamical modelling of spot freight rates
Benth, Fred Espen
;
Koekebakker, Steen
;
Taib, Che Mohd …
- In:
IMA journal of management mathematics
26
(
2015
)
3
,
pp. 273-297
Persistent link: https://www.econbiz.de/10011405425
Saved in:
7
Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.
;
Trevor, Robert G.
-
1997
Persistent link: https://www.econbiz.de/10000978436
Saved in:
8
Analyse deutscher Aktien und Optionsscheine mittels ARCH-Modellen unter besonderer Berücksichtigung von Verteilungen der robusten Statistik
Bönte, Gunnar
-
1997
Persistent link: https://www.econbiz.de/10000973626
Saved in:
9
Modellierung der Zinsstruktur in Deutschland
Dankenbring, Henning
-
1999
Persistent link: https://www.econbiz.de/10001380567
Saved in:
10
Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter
;
Trevor, Rob
- In:
The journal of finance : the journal of the American …
54
(
1999
)
1
,
pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
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