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~isPartOf:"Computational economics"
~isPartOf:"Journal of mathematical economics"
~subject:"Mathematische Optimierung"
~subject:"Volatility"
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Search: subject:"Markov-Kette"
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Mathematische Optimierung
Volatility
Markov chain
62
Markov-Kette
62
Theorie
30
Theory
30
Stochastic process
14
Stochastischer Prozess
14
Bayes-Statistik
8
Bayesian inference
8
Monte Carlo simulation
8
Monte-Carlo-Simulation
8
Option pricing theory
8
Optionspreistheorie
8
Time series analysis
8
Volatilität
8
Zeitreihenanalyse
8
Credit risk
7
Kreditrisiko
7
Estimation
6
Game theory
6
Schätzung
6
Spieltheorie
6
Estimation theory
5
Schätztheorie
5
Control theory
4
Kontrolltheorie
4
Mathematical programming
4
Portfolio selection
4
Portfolio-Management
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State space model
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Zustandsraummodell
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ARCH model
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ARCH-Modell
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Credit rating
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Dynamic equilibrium
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Dynamisches Gleichgewicht
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Asai, Manabu
1
Ceffer, Attila
1
Chen, Zhong-Tian
1
Ching, Wai Ki
1
Choudhry, Taufiq
1
Dempsey, Michael
1
Ellersgaard, Simon
1
He, Xin-Jiang
1
Kafash, Behzad
1
Levendovszky, János
1
Li, Xiangrong
1
Li, Yong
1
Liang, Rubing
1
Lin, Sha
1
Liu, Jinshan
1
Lu, Jiejun
1
McAleer, Michael
1
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1
Sipos, I. Róbert
1
Siu, Tak Kuen
1
Wong, Heung
1
Xia, Qiang
1
Yap, Grace Lee Ching
1
Yuan, Gonglin
1
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1
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Computational economics
Journal of mathematical economics
European journal of operational research : EJOR
43
Energy economics
34
Economic modelling
22
Operations research
21
Operations research letters
21
Mathematics of operations research
20
Journal of econometrics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Journal of empirical finance
17
Finance research letters
16
Applied economics
15
Mathematical methods of operations research
15
The North American journal of economics and finance : a journal of financial economics studies
15
International journal of forecasting
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Computers & operations research : and their applications to problems of world concern ; an international journal
11
International journal of theoretical and applied finance
11
International review of economics & finance : IREF
11
International review of financial analysis
11
Quantitative finance
11
Review of quantitative finance and accounting
11
Journal of mathematical finance
10
Economics letters
9
Journal of economic dynamics & control
9
Working paper / Department of Econometrics and Business Statistics, Monash University
9
Applied economics letters
8
Journal of banking & finance
8
Journal of forecasting
8
The European journal of finance
8
Discussion paper / Tinbergen Institute
7
Econometric reviews
7
INFORMS journal on computing : JOC
7
International journal of finance & economics : IJFE
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Finance and stochastics
6
Journal of risk and financial management : JRFM
6
Research in international business and finance
6
Applied financial economics
5
Applied mathematical finance
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1
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
2
Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha
;
He, Xin-Jiang
- In:
Computational economics
59
(
2022
)
3
,
pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
Saved in:
3
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
4
Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching
- In:
Computational economics
56
(
2020
)
2
,
pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
Saved in:
5
Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad
- In:
Computational economics
54
(
2019
)
2
,
pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
Saved in:
6
On the numerical solution of Mertonian control problems : a survey of the markov chain approximation method for the working economist
Ellersgaard, Simon
- In:
Computational economics
54
(
2019
)
3
,
pp. 1179-1211
Persistent link: https://www.econbiz.de/10012134515
Saved in:
7
Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Computational economics
53
(
2019
)
2
,
pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
Saved in:
8
A numerical algorithm for the coupled PDEs control problem
Yuan, Gonglin
;
Li, Xiangrong
- In:
Computational economics
53
(
2019
)
2
,
pp. 697-707
Persistent link: https://www.econbiz.de/10012134850
Saved in:
9
Bayesian testing for leverage effect in stochastic volatility models
Zhang, Jin-Yu
;
Chen, Zhong-Tian
;
Li, Yong
- In:
Computational economics
53
(
2019
)
3
,
pp. 1153-1164
Persistent link: https://www.econbiz.de/10012135124
Saved in:
10
Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert
;
Ceffer, Attila
;
Levendovszky, János
- In:
Computational economics
49
(
2017
)
4
,
pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
Saved in:
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