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~isPartOf:"Quantitative finance"
~subject:"Markov chain Monte Carlo"
~subject:"Volatilität"
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Search: subject_exact:"Markoff-Kette"
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Markov chain Monte Carlo
Volatilität
Markov chain
38
Markov-Kette
38
Theorie
20
Theory
20
Stochastic process
14
Stochastischer Prozess
14
Option pricing theory
12
Optionspreistheorie
12
Volatility
11
Portfolio selection
9
Portfolio-Management
9
Estimation
8
Monte Carlo simulation
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3
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3
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3
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3
Option pricing
3
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3
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Asmussen, Søren
1
Bayer, Christian
1
Bladt, Mogens
1
Breneis, Simon
1
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1
Chen, Qian
1
Chen, Wilson Ye
1
Cui, Zhenyu
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Quantitative finance
Energy economics
35
Journal of econometrics
28
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Economic modelling
21
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Applied economics
16
Finance research letters
16
Journal of empirical finance
16
International journal of forecasting
15
The North American journal of economics and finance : a journal of financial economics studies
14
Discussion paper / Tinbergen Institute
12
Economics letters
12
International review of financial analysis
11
Journal of forecasting
11
European journal of operational research : EJOR
10
International review of economics & finance : IREF
10
Review of quantitative finance and accounting
10
Working paper / Department of Econometrics and Business Statistics, Monash University
10
Econometric reviews
9
International journal of theoretical and applied finance
9
Journal of banking & finance
9
Journal of economic dynamics & control
9
Journal of mathematical finance
9
Applied economics letters
8
Computational economics
8
Risks : open access journal
8
The European journal of finance
8
Insurance / Mathematics & economics
7
International journal of finance & economics : IJFE
7
Journal of risk and financial management : JRFM
7
Research in international business and finance
7
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
7
Economics working paper
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
6
SFB 649 discussion paper
6
The journal of futures markets
6
Working papers
6
Applied financial economics
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Applied mathematical finance
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ECONIS (ZBW)
15
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1
Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua
;
Zhao, Ran
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
Saved in:
2
Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian
;
Breneis, Simon
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
Saved in:
3
VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique
;
Guerra, João
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
Saved in:
4
Pricing commodity index options
Manzano-Herrero, Alberto Pedro
;
Nastasi, Emanuele
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
Saved in:
5
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Wang, Chao
;
Gerlach, Richard
;
Chen, Qian
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 309-334
Persistent link: https://www.econbiz.de/10014232647
Saved in:
6
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
7
Volatility is (mostly) path-dependent
Guyon, Julien
;
Lekeufack, Jordan
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1221-1258
Persistent link: https://www.econbiz.de/10014339908
Saved in:
8
Short-term volatility forecasting with kernel support vector regression and Markov switching multifractal model
Khashanah, Khaldoun
;
Shao, Chenjie
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 241-253
Persistent link: https://www.econbiz.de/10013167735
Saved in:
9
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
Asmussen, Søren
;
Bladt, Mogens
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 675-689
Persistent link: https://www.econbiz.de/10013367850
Saved in:
10
Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach
Wang, Xiaodong
;
Hsieh, Fushing
- In:
Quantitative finance
22
(
2022
)
5
,
pp. 997-1016
Persistent link: https://www.econbiz.de/10013367879
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