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  • Search: subject:"CIR++"
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Year of publication
Subject
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Mean Reversion 733 Mean reversion 733 Theorie 307 Theory 303 Stochastischer Prozess 167 Stochastic process 166 Estimation 156 Schätzung 156 Börsenkurs 154 Share price 154 Volatilität 150 Volatility 149 Optionspreistheorie 132 Option pricing theory 130 Portfolio selection 126 Portfolio-Management 126 Zeitreihenanalyse 124 Time series analysis 123 Capital income 114 Kapitaleinkommen 114 Einheitswurzeltest 78 Unit root test 78 mean reversion 75 USA 71 United States 71 Aktienmarkt 57 Stock market 57 Anlageverhalten 55 Behavioural finance 55 Kaufkraftparität 51 Purchasing power parity 51 CAPM 50 Derivat 50 Derivative 50 Zinsstruktur 49 Yield curve 48 CIR model 45 Welt 45 World 45 Schätztheorie 39
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Online availability
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Free 288 Undetermined 246 CC license 17
Type of publication
All
Article 555 Book / Working Paper 319
Type of publication (narrower categories)
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Article in journal 494 Aufsatz in Zeitschrift 494 Working Paper 111 Arbeitspapier 106 Graue Literatur 104 Non-commercial literature 104 Aufsatz im Buch 23 Book section 23 Hochschulschrift 20 Thesis 14 Collection of articles written by one author 4 Sammlung 4 Article 3 Conference paper 3 Konferenzbeitrag 3 research-article 3 Collection of articles of several authors 1 Research Report 1 Sammelwerk 1
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Language
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English 816 Undetermined 39 German 20
Author
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Gil-Alaña, Luis A. 30 Leung, Tim 18 Caporale, Guglielmo Maria 15 Turinici, Gabriel 9 Papin, Timothée 8 Bikker, Jacob A. 7 Kim, Hyeongwoo 7 Li, Xin 7 Spierdijk, Laura 7 Stein, Jeremy C. 7 Wong, Hoi Ying 7 Bao, Yong 6 Boltz, Marie 6 Chort, Isabelle 6 Holmes, Mark J. 6 Ullah, Aman 6 Albrecht, Peter 5 Fabozzi, Frank J. 5 Kantar, Cemil 5 Madan, Dilip B. 5 Otero, Jesús G. 5 Panagiōtidēs, Theodōros 5 Yu, Jun 5 Bandini, Elena 4 Benth, Fred Espen 4 Bobenrieth H., Eugenio S. 4 Bobenrieth H., Juan R. A. 4 Dassios, Angelos 4 De Angelis, Tiziano 4 Endres, Sylvia 4 Ferrari, Giorgio 4 Gozzi, Fausto 4 Gustavsson, Magnus 4 Jang, Jiwook 4 Kim, Jintae 4 Levendovszky, János 4 Li, Jiao 4 Maurer, Alina 4 Mickel, Annalena 4 Narayan, Paresh Kumar 4
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Institution
All
National Bureau of Economic Research 11 HAL 5 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 3 Université Paris-Dauphine (Paris IX) 3 Carleton University / Department of Economics 2 Queen Mary College / Department of Economics 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Christliche Initiative Romero e.V. 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics, Rutgers University-New Brunswick 1 Duale Hochschule Baden-Württemberg Stuttgart 1 Econometric Society 1 Econometrisch Instituut <Rotterdam> 1 Erasmus Research Institute of Management 1 Federal Reserve Board (Board of Governors of the Federal Reserve System) 1 Finance Discipline Group, Business School 1 Institut for Nationaløkonomi <Kopenhagen> 1 Institut für Wirtschaftsforschung Halle 1 Institute of Economic Research, Kyoto University 1 Instituto Valenciano de Investigaciones Económicas (IVIE) 1 Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) 1 Society for Computational Economics - SCE 1 Stiftung Wissenschaft und Politik 1 Technische Universität Kaiserslautern 1 University of Connecticut / Department of Economics 1 Universität Bremen / Fachbereich Wirtschaftswissenschaft 1 Verlag Dr. Hut <München> 1
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Published in...
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International journal of theoretical and applied finance 23 Applied economics 17 Applied economics letters 11 The European journal of finance 11 Working paper / National Bureau of Economic Research, Inc. 11 Applied mathematical finance 10 Economic modelling 10 Journal of banking & finance 10 NBER working paper series 10 Economics letters 9 Insurance / Mathematics & economics 9 International journal of financial engineering 9 CESifo working papers 8 Quantitative finance 8 Risks : open access journal 8 Energy economics 7 Finance research letters 7 International review of economics & finance : IREF 7 Journal of mathematical finance 7 The journal of futures markets 7 Applied financial economics 6 Journal of economic dynamics & control 6 NBER Working Paper 6 Review of quantitative finance and accounting 6 European journal of operational research : EJOR 5 International Journal of Theoretical and Applied Finance (IJTAF) 5 Journal of empirical finance 5 Working paper 5 Annals of finance 4 Computational economics 4 International Journal of Financial Studies : open access journal 4 Journal of econometrics 4 Journal of international money and finance 4 Journal of risk and financial management : JRFM 4 Research in international business and finance 4 Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung 4 The North American journal of economics and finance : a journal of financial economics studies 4 Cogent economics & finance 3 Computational Management Science : CMS 3 DNB working paper 3
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Source
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ECONIS (ZBW) 812 RePEc 49 EconStor 10 Other ZBW resources 3
Showing 1 - 10 of 874
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Stochastic default risk estimation evidence from the South African financial market
Alfeus, Mesias; Fitzhenry, Kirsty; Lederer, Alessia - In: Computational economics 64 (2024) 3, pp. 1715-1756
Persistent link: https://www.econbiz.de/10015143953
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Mean reversion trading on the naphtha crack
Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2024
Persistent link: https://www.econbiz.de/10015192708
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Multivariate rough volatility
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015326256
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
Yao, Jing (contributor); Hu, Xiang (contributor);  … - 2024
Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...
Persistent link: https://www.econbiz.de/10015325017
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Pricing VIX options based on mean-reverting models driven by information
Yin, Ya-Hua; Zhu, Fu-min; Zheng, Zun-Xin - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-23
Persistent link: https://www.econbiz.de/10015133585
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Improved tourism demand forecasting with CIR# model : a case study of disrupted data patterns in Italy
Bufalo, Michele; Orlando, Giuseppe - In: Tourism review 79 (2024) 2, pp. 445-464
Persistent link: https://www.econbiz.de/10014512279
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The multivariate fractional Ornstein-Uhlenbeck process
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015084279
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Earnings mean reversion and dynamic optimal capital structure
Agliardi, Elettra; Charalambides, Marios; Koussis, Nicos - In: Quantitative finance 24 (2024) 7, pp. 993-1015
Persistent link: https://www.econbiz.de/10015050809
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Persistent and long-term co-movements between gender equality and global prices
Infante, Juan; Rio, Marta del; Gil-Alaña, Luis A. - In: Economies : open access journal 12 (2024) 7, pp. 1-15
This paper investigates the relationships of the Bloomberg Gender Equality Index and the MSCI World Index in global financial markets. The main objective is to analyze the degree of integration of each index from a fractional perspective for the years 2014-2021. The methodology involves...
Persistent link: https://www.econbiz.de/10014636175
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A stochastically correlated bivariate square-root model
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24
We introduce a novel stochastically correlated two-factor (i.e., bivariate) diffusion process under the square-root format, for which we analytically obtain the corresponding solutions for the conditional moment-generating functions and conditional characteristic functions. Such solutions...
Persistent link: https://www.econbiz.de/10014636327
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