The price-volatility feedback rate : an implementable mathematical indicator of market stability
Year of publication: |
2003
|
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Authors: | Barucci, Emilio ; Malliavin, Paul ; Mancino, Maria Elvira ; Renò, Roberto ; Thalmaier, Anton |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 13.2003, 1, p. 17-35
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Subject: | Börsenkurs | Share price | Volatilität | Volatility | Nichtlineare Optimierung | Nonlinear programming | CAPM | Theorie | Theory |
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