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~accessRights:"restricted"
~source:"econis"
~subject:"CAPM"
~subject:"Schätztheorie"
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Search: subject_exact:"Vasicek model"
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1
Mean reversals and stock market overreactions : further evidence from India
Saji, T. G.
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
13
(
2023
)
4
,
pp. 467-477
Persistent link: https://www.econbiz.de/10014331571
Saved in:
2
The commodities/equities beta term-structure
Oglend, Atle
- In:
Journal of commodity markets
28
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014335245
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3
Asset pricing with mean reversion : the case of ships
Moutzouris, Ioannis C.
;
Nomikos, Nikos K.
- In:
Journal of banking & finance
111
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012221061
Saved in:
4
Averaged-calibration-length prediction for currency exchange rates by a time-dependent Vasicek model
Serafin, Tomasz
;
Michalak, Anna
;
Bielak, Łukasz
; …
- In:
Theoretical economics letters
10
(
2020
)
3
,
pp. 579-599
Persistent link: https://www.econbiz.de/10012492075
Saved in:
5
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
6
Edgeworth expansion for the distribution of the maximum likelihood estimate in the Vasicek model
Zhu, Qinwen
;
Liu, Hui
;
Sun, Chengfeng
- In:
Annals of financial economics
14
(
2019
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012015465
Saved in:
7
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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8
A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Rabinovitz, Yedidya
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011778269
Saved in:
9
Distribution of the mean reversion estimator in the Ornstein-Uhlenbeck process
Bao, Yong
;
Ullah, Aman
;
Wang, Yun
- In:
Econometric reviews
36
(
2017
)
6/9
,
pp. 1039-1056
Persistent link: https://www.econbiz.de/10011795564
Saved in:
10
Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu
;
Xie, Dejun
;
Jiang, Jingjing
;
Wu, Xiaoxia
; …
- In:
Finance research letters
21
(
2017
),
pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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