//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
accessRights:"restricted"
~person:"Casarin, Roberto"
~person:"Kirkby, J. Lars"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Markov chain"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Markov chain
15
Markov-Kette
15
Stochastic process
9
Stochastischer Prozess
9
Option pricing theory
8
Optionspreistheorie
8
Volatility
8
Volatilität
8
Bayesian inference
6
Estimation
6
Schätzung
6
Bayes-Statistik
5
Theorie
5
Theory
5
Finance
4
Jump diffusion
3
Option pricing
3
Stochastic volatility
3
Asian options
2
Business cycle
2
CTMC
2
Financial crisis
2
Finanzkrise
2
Konjunktur
2
Markov chain approximation
2
Markov-switching
2
Monte Carlo simulation
2
Monte-Carlo-Simulation
2
Option trading
2
Optionsgeschäft
2
Panel
2
Panel study
2
Regime-switching
2
Time series analysis
2
VAR model
2
VAR-Modell
2
Zeitreihenanalyse
2
2007-2013
1
ARCH model
1
ARCH-Modell
1
more ...
less ...
Online availability
All
Undetermined
Free
33
Type of publication
All
Article
14
Book / Working Paper
1
Type of publication (narrower categories)
All
Article in journal
14
Aufsatz in Zeitschrift
14
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
Working Paper
1
Language
All
English
15
Author
All
Casarin, Roberto
Kirkby, J. Lars
Tsionas, Efthymios G.
17
Gupta, Rangan
14
Elliott, Robert J.
12
Serletis, Apostolos
11
Cui, Zhenyu
9
Siu, Tak Kuen
9
Xu, Libo
9
Doraszelski, Ulrich
8
Sola, Martin
8
Aki, Sigeo
7
Cavicchioli, Maddalena
7
Chang, Kuang-Liang
7
Feinberg, Eugene A.
7
Legros, Benjamin
7
Li, Lingfei
7
Li, Yong
7
Lunday, Brian J.
7
Ma, Feng
7
Nguyen, Duy
7
Robbins, Matthew J.
7
Shi, Yanlin
7
Banik, A. D.
6
Billio, Monica
6
D'Amico, Guglielmo
6
Dimitrakopoulos, Stefanos
6
Goutte, Stéphane
6
Goyal, Vineet
6
Guidolin, Massimo
6
Guo, Xianping
6
Guérin, Pierre
6
He, Xin-Jiang
6
Houtum, Geert-Jan van
6
Lee, Hsiang-Tai
6
Leiva-Leon, Danilo
6
Maheu, John M.
6
Marcellino, Massimiliano
6
Solan, Eilon
6
Stokes, Jeffrey R.
6
more ...
less ...
Published in...
All
European journal of operational research : EJOR
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of econometrics
2
Annals of finance
1
Discussion paper / Centre for Economic Policy Research
1
Energy economics
1
Insurance / Mathematics & economics
1
Journal of applied econometrics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of computational finance
1
more ...
less ...
Source
All
ECONIS (ZBW)
15
Showing
1
-
10
of
15
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation
Kirkby, J. Lars
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 961-978
Persistent link: https://www.econbiz.de/10013482166
Saved in:
2
Markov switching panel with endogenous synchronization effects
Agudze, Komla M.
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 281-298
Persistent link: https://www.econbiz.de/10013463814
Saved in:
3
Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
290
(
2021
)
3
,
pp. 1046-1062
Persistent link: https://www.econbiz.de/10012495249
Saved in:
4
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
5
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
6
A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo
;
Casarin, Roberto
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
4
,
pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
Saved in:
7
Modeling systemic risk with Markov Switching Graphical SUR models
Bianchi, Daniele
;
Billio, Monica
;
Casarin, Roberto
; …
- In:
Journal of econometrics
210
(
2019
)
1
,
pp. 58-74
Persistent link: https://www.econbiz.de/10012303377
Saved in:
8
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
9
Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica
;
Casarin, Roberto
;
Osuntuyi, Anthony
- In:
Energy economics
70
(
2018
),
pp. 545-562
Persistent link: https://www.econbiz.de/10011942887
Saved in:
10
A Bayesian Markov-switching correlation model for contagion analysis on exchange rate markets
Casarin, Roberto
;
Sartore, Domenico
;
Tronzano, Marco
- In:
Journal of business & economic statistics : JBES ; a …
36
(
2018
)
1
,
pp. 101-114
Persistent link: https://www.econbiz.de/10011894407
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->