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[Rezension von: Mallios, William S., The analysis of sports forecasting: modeling parallels between sports gambling and financial markets]

Malkiel, Burton G. - In: Journal of economic literature 39 (2001) 3, pp. 945-946

Persistent link: https://www.econbiz.de/10001612432

Finanzmarkt-Ökonometrie : Basistechniken, fortgeschrittene Verfahren, Prognosemodelle

Schröder, Michael (ed.); Buscher, Herbert S. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001629835

Stochastic volatility duration models

Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 119 (2004) 2, pp. 413-433

Persistent link: https://www.econbiz.de/10001956379

Stochastic volatility in financial markets : crossing the bridge to continuous time

Fornari, Fabio; Mele, Antonio - 2000

Persistent link: https://www.econbiz.de/10001464294

Multifractal fluctuations in finance

Schmitt, François; Schertzer, Daniel; Lovejoy, Shaun - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 361-364

Persistent link: https://www.econbiz.de/10001522884

The econometric modelling of financial time series

Mills, Terence C. - 1994 - Reprinted

Persistent link: https://www.econbiz.de/10000905318

Random Geometric Analysis in the Stochastic Volatility : Financial Markets States Degeneracy

Chule, Siyabonga - 2017

The risky assets prices of the bi-variate model are reviewed under the hegemonize concentration filtered physical probability space. In the stochastic variance of the Cox-Ingersoll-Ross process. The Mean-variance hedging expanse on the Föllmer-Schweizer decomposition is stringent to the...

Persistent link: https://www.econbiz.de/10012956358

Investing in Emerging Markets : An Asymmetric Stochastic Multivariate Volatility Model to Diversify Efficiently a Portfolio of Assets

Rannou, Yves - 2014

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

Persistent link: https://www.econbiz.de/10013055149

Mean-reverting 4/2 principal components model : financial applications

Escobar, Marcos; Gong, Zhenxian - In: Risks : open access journal 9 (2021) 8, pp. 1-23

volatility and a convenient principal component stochastic volatility (PCSV) decomposition for the stochastic covariance. We find …

Persistent link: https://www.econbiz.de/10012612366

Bayesian estimation of stochastic tail index from high-frequency financial data

Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711

Persistent link: https://www.econbiz.de/10012664628