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  • Search: subject:"Diffusion Model"
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Year of publication
Subject
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Optionspreistheorie 68 Stochastic process 68 Option pricing theory 67 Stochastischer Prozess 67 Innovation diffusion 62 Innovationsdiffusion 61 Theorie 54 Theory 54 Volatility 46 Volatilität 46 Bass diffusion model 32 Diffusion model 31 jump-diffusion model 26 Option trading 25 Optionsgeschäft 25 diffusion model 24 Jump-diffusion model 21 CAPM 20 Schätztheorie 18 Estimation theory 17 Estimation 15 Forecasting model 15 Jump diffusion model 15 Portfolio selection 15 Portfolio-Management 15 Prognoseverfahren 15 Schätzung 14 Consumer behaviour 13 Konsumentenverhalten 13 Börsenkurs 12 Share price 12 jump diffusion model 12 Innovation 11 Monte Carlo simulation 11 Risk 11 Black-Scholes model 10 Black-Scholes-Modell 10 Experiment 10 Risiko 10 Time series analysis 10
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Online availability
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Undetermined 148 Free 95 CC license 4
Type of publication
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Article 236 Book / Working Paper 70
Type of publication (narrower categories)
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Article in journal 150 Aufsatz in Zeitschrift 150 Working Paper 27 Graue Literatur 16 Non-commercial literature 16 Arbeitspapier 15 research-article 10 Article 8 Aufsatz im Buch 5 Book section 5 Thesis 3 Conference paper 2 Konferenzbeitrag 2 Book Part 1 Conference Paper 1 Hochschulschrift 1
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Language
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English 225 Undetermined 80 German 1
Author
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Siu, Tak Kuen 5 Stübinger, Johannes 5 Aboura, Sofiane 4 Björk, Tomas 4 Corradi, Valentina 4 Fabozzi, Frank J. 4 Forbes, Catherine Scipione 4 Kleppe, Tore Selland 4 Kostrzewski, Maciej 4 Krajbich, Ian 4 Maneesoonthorn, Worapree 4 Martin, Gael M. 4 Ngoie, Jacques Kibambe 4 Silvapulle, Mervyn J. 4 Skaug, Hans J. 4 Strittmatter, Anthony 4 Sunde, Uwe 4 Yu, Jun 4 Cagliano, Anna Corinna 3 Chen, Jun-Home 3 Endres, Sylvia 3 Framstad, Nils Chr. 3 Hainaut, Donatien 3 Krichene, Noureddine 3 Lee, Chul-Yong 3 Lian, Yu-Min 3 Malinovskii, Vsevolod K. 3 Mangano, Giulio 3 Muroi, Yoshifumi 3 Rafele, Carlo 3 Suda, Shintaro 3 Swanson, Norman R. 3 Vasiljević, Nikola 3 Xu, Weijun 3 Zheng, Harry 3 Alekseev, Aleksandr G. 2 Amaya, Ingrid Y. 2 Archontakis, Fragiskos 2 Biele, Guido P. 2 Branger, Nicole 2
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Institution
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International Monetary Fund (IMF) 6 Université Paris-Dauphine (Paris IX) 3 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 2 School of Economics, Singapore Management University 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Bank for International Settlements (BIS) 1 Banque de France 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Colwell, David , Banking & Finance, Australian School of Business, UNSW 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, Rutgers University-New Brunswick 1 Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW) 1 EconWPA 1 EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1 Economic Research Southern Africa (ERSA) 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW 1 Santa Fe Institute 1 Society for Computational Economics - SCE 1 Technology Management, Economics and Policy Program (TEMEP), Seoul National University 1 United Nations University, Maastricht Economic and social Research and training centre on Innovation and Technology 1 United Nations University-Maastricht Economic Research Institute of Innovation and Technology (UNU-MERIT) 1 Université Paris-Dauphine 1 Wirtschaftswissenschaftliche Fakultät, Friedrich-Schiller-Universität Jena 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
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Computational economics 8 Technological forecasting & social change : an international journal 7 IMF Working Papers 6 Physica A: Statistical Mechanics and its Applications 6 Industrial Management & Data Systems 5 Journal of econometrics 5 Management science : journal of the Institute for Operations Research and the Management Sciences 5 Finance and Stochastics 4 Finance research letters 4 Insurance 4 International journal of production economics 4 International journal of theoretical and applied finance 4 Journal of Econometrics 4 Management Science 4 Applied economics letters 3 Central European journal of economic modelling and econometrics 3 Economics Papers from University Paris Dauphine 3 Energy Policy 3 International journal of financial engineering 3 Journal of economic dynamics & control 3 Journal of the Economic Science Association : JESA : a companion journal to Experimental economics 3 Quantitative finance 3 Risks 3 SFB 649 Discussion Paper 3 SSE/EFI Working Paper Series in Economics and Finance 3 Working paper / Department of Econometrics and Business Statistics, Monash University 3 Applied Mathematical Finance 2 Applied mathematical finance 2 Cogent Economics & Finance 2 Cogent economics & finance 2 Econometrics 2 Economic modelling 2 Economic research 2 Energy economics 2 European journal of operational research : EJOR 2 Insurance: Mathematics and Economics 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Journal of banking & finance 2 Journal of business research : JBR 2 Journal of engineering and technology management : JET-M 2
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Source
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ECONIS (ZBW) 171 RePEc 97 EconStor 23 Other ZBW resources 10 BASE 5
Showing 211 - 220 of 306
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The delta expansion for the transition density of diffusion models
Lee, Yoon Dong; Song, Seongjoo; Lee, Eun-kyung - In: Journal of econometrics 178 (2014) 1, pp. 694-705
Persistent link: https://www.econbiz.de/10010257356
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Consistent Pretesting for Jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size … against path dependent intensity, thus providing a direct test for the Hawkes diffusion model of Ait-Sahalia, Cacho-Diaz and …
Persistent link: https://www.econbiz.de/10011007158
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Modelling future uptake of distributed energy resources under alternative tariff structures
Higgins, Andrew; Grozev, George; Ren, Zhengen; Garner, … - In: Energy 74 (2014) C, pp. 455-463
demand. This challenge is addressed using a choice-diffusion model to forecast PV and battery storage uptake to 2025 for a …
Persistent link: https://www.econbiz.de/10010931390
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LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
XU, GUOPING; ZHENG, HARRY - In: International Journal of Theoretical and Applied … 17 (2014) 01, pp. 1450007-1
In this paper, we derive an easily computed approximation to European basket call prices for a local volatility jump-diffusion … model. We apply the asymptotic expansion method to find the approximate value of the lower bound of European basket call …
Persistent link: https://www.econbiz.de/10010883224
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Using diffusion models to forecast market size in emerging markets with applications to the Chinese car market
Qian, Lixian; Soopramanien, Didier - In: Journal of Business Research 67 (2014) 6, pp. 1226-1232
Marketing managers have to forecast the market size and this forecast guides strategic decisions whether to continue exporting, open new factories or expand existing production operations. Forecasting sales and the market size is a challenging task; even more so in emerging markets where data is...
Persistent link: https://www.econbiz.de/10010753446
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Diffusion of renewable energy technologies in South Korea on incorporating their competitive interrelationships
Huh, Sung-Yoon; Lee, Chul-Yong - In: Energy Policy 69 (2014) C, pp. 248-257
-term demand forecasting. This study develops a diffusion model that incorporates the effect of competitive interrelationships … on the Bayus, (1993. Manage. Sci. 39, 11, 1319–1333) price function and a diffusion model suggested by Hahn et al. (1994 …
Persistent link: https://www.econbiz.de/10010783800
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Federal research spending and innovation in the U.S. economy
Ngoie, Jacques Kibambe - In: Journal of Policy Modeling 36 (2014) 3, pp. 492-506
This paper provides a better understanding of federal funding and its impact on the production process of patentable ideas in the U.S. economy. In this study, I develop an expansion of the Marshallian Macroeconomic Model (Ngoie and Zellner, 2012, forthcoming), which is applied to the U.S....
Persistent link: https://www.econbiz.de/10010785250
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An integrated model for analyzing the development of the 4G telecommunications market in Taiwan
Tseng, Fang-Mei; Wang, Shenq-Yuan; Hsieh, Chih-Hung; … - In: Telecommunications Policy 38 (2014) 1, pp. 14-31
use the innovation diffusion model to forecast the sales volume for these four technologies in Taiwan over the next 10 …
Persistent link: https://www.econbiz.de/10010943158
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Household level innovation diffusion model of photo-voltaic (PV) solar cells from stated preference data
Islam, Towhidul - In: Energy Policy 65 (2014) C, pp. 340-350
choice experiments and an innovation diffusion model. The primary objective of this research is cohesively mapping the theory … adoption time probabilities using the Bass diffusion model. The data was collected from Ontario, a province of Canada. The … innovation diffusion model allows us to compute the cumulative probability of adoption over time per household. Technology …
Persistent link: https://www.econbiz.de/10010729674
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Forecasting uptake of retrofit packages in office building stock under government incentives
Higgins, Andrew; Syme, Mike; McGregor, James; Marquez, … - In: Energy Policy 65 (2014) C, pp. 501-511
of retrofit packages across building stock over time. To address this challenge a diffusion model was set up and applied … for the diffusion model, which ranged from inexpensive services and manuals through to mid-priced packages involving …
Persistent link: https://www.econbiz.de/10010729735
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