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~subject:"Hedging"
~subject:"Risikopräferenz"
~subject:"Zeitreihenanalyse"
~type_genre:"Conference paper"
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Search: subject:"Stochastic Volatility"
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Goudenege, Ludovic
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Hartwig, Benny
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Leisen, Dietmar
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Zanette, Antonino
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Computational Management Science : CMS
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International journal of theoretical and applied finance
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ECONIS (ZBW)
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate
stochastic
volatility
model
Hartwig, Benny
-
2020
Cholesky multivariate
stochastic
volatility
model. It establishes that systematically different dynamic restrictions are … multivariate
stochastic
volatility
model is proposed as a robust alternative. …
Persistent link: https://www.econbiz.de/10012424283
Saved in:
2
Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenege, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 217-248
Persistent link: https://www.econbiz.de/10011993464
Saved in:
3
Heterogeneity in risk preferences leads to
stochastic
volatility
Leisen, Dietmar
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011926621
Saved in:
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