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~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Optionspreistheorie"
~subject:"USA"
~subject:"VAR-Modell"
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Search: subject_exact:"Markovsche Kette"
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Optionspreistheorie
USA
VAR-Modell
Markov chain
95
Markov-Kette
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Theorie
49
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Estimation
32
Schätzung
32
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Casarin, Roberto
2
Allen, David E.
1
Ang, Andrew
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Bekaert, Geert
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Berg, Gerard J. van den
1
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International review of financial analysis
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
International journal of theoretical and applied finance
27
Journal of econometrics
24
Economics letters
18
Economic modelling
16
European journal of operational research : EJOR
16
Working paper
16
Discussion papers / Deutsches Institut für Wirtschaftsforschung
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Energy economics
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Journal of applied econometrics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
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9
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9
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International journal of forecasting
9
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9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Annals of finance
8
EUI working paper / ECO
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Finance and stochastics
8
Journal of forensic economics
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Macroeconomic dynamics
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The journal of futures markets
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Applied economics letters
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Asia-Pacific financial markets
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Discussion paper / Tinbergen Institute
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Journal of empirical finance
7
Journal of legal economics
7
Review of quantitative finance and accounting
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of macroeconomics
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Journal of money, credit and banking : JMCB
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ECONIS (ZBW)
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1
Analysis about the black-scholes asset price under the regime-switching framework
Tian, Ping
;
Zhou, Hang
;
Zhou, Duotai
- In:
International review of financial analysis
88
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014471870
Saved in:
2
Jump-diffusion volatility models for variance swaps : an empirical performance analysis
Jin, Xing
;
Hong, Yi
- In:
International review of financial analysis
87
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014457699
Saved in:
3
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:
4
Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
Álvarez, Rocío
;
Camacho, Maximo
;
Ruiz Marín, Manuel
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
3
,
pp. 484-495
Persistent link: https://www.econbiz.de/10012178190
Saved in:
5
Market risk and market-implied inflation expectations
Orłowski, Lucjan T.
;
Soper, Carolyne
- In:
International review of financial analysis
66
(
2019
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012208965
Saved in:
6
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:
7
A new class of bivariate threshold cointegration models
Cai, Biqing
;
Gao, Jiti
;
Tjostheim, Dag
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
2
,
pp. 288-305
Persistent link: https://www.econbiz.de/10011704196
Saved in:
8
A migration approach for USA banks' capitalization : are the 00s the same with the 90s?
Koutras, Vasileios M.
;
Drakos, Kōnstantinos
- In:
International review of financial analysis
30
(
2013
),
pp. 131-140
Persistent link: https://www.econbiz.de/10010460327
Saved in:
9
Job durations with worker- and firm-specific effects : MCMC estimation with longitudinal employer employee data
Horny, Guillaume
;
Mendes, Rute
;
Berg, Gerard J. van den
- In:
Journal of business & economic statistics : JBES ; a …
30
(
2012
)
3
,
pp. 468-480
Persistent link: https://www.econbiz.de/10009658336
Saved in:
10
Level-ARCH short rate models with regime switching : bivariate modeling of US and European short rates
Christiansen, Charlotte
- In:
International review of financial analysis
17
(
2008
)
5
,
pp. 925-948
Persistent link: https://www.econbiz.de/10003792319
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