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  • Search: subject:"Diffusion-jump"
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Year of publication
Subject
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Exchange Rate Crash Risk 4 Option pricing theory 4 Optionspreistheorie 4 Quantitative Easing 4 Unconventional Monetary Policies 4 Volatility 4 Volatilität 4 mixed diffusion jump risk models 4 risk reversals 4 Diffusion jump 3 Euro area 3 Eurozone 3 Exchange rate 3 Financial crisis 3 Finanzkrise 3 Geldpolitik 3 Impact assessment 3 Monetary policy 3 Quantitative Lockerung 3 Quantitative easing 3 Wechselkurs 3 Wirkungsanalyse 3 1979-1988 2 Commodity exchange 2 Probability theory 2 Theorie 2 Theory 2 Time series analysis 2 Wahrscheinlichkeitsrechnung 2 Warenbörse 2 Zeitreihenanalyse 2 diffusion-jump processes 2 mixed diffusion-jump process 2 optimal stopping 2 real options 2 Chaos theory 1 Chaostheorie 1 Derivat 1 Derivative 1 Deterministic Chaos 1
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Online availability
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Free 6 Undetermined 5
Type of publication
All
Book / Working Paper 7 Article 6
Type of publication (narrower categories)
All
Graue Literatur 4 Non-commercial literature 4 Working Paper 4 Arbeitspapier 3 Article in journal 2 Aufsatz in Zeitschrift 2 Thesis 2 Hochschulschrift 1 research-article 1
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Language
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English 8 Undetermined 5
Author
All
Petersen, Annelie 4 Olijslagers, Stan 3 Vette, Nander de 3 Wijnbergen, Sweder van 3 El-Shazly, Alaa 2 Yang, Seung-ryong 2 Brorsen, Wade 1 CHILARESCU, Constantin 1 Chilarescu, Constantin 1 Guan, Zhengfei 1 Myers, Robert J. 1 Olijslager, Stan Stan 1 Shahriar Shafiee 1 VIASU, Ioana 1 Viasu, Iana Luciana 1 Wang, Zhiguang 1 Wu, Feng 1 Zhou, Haigang 1 Zhu, John 1 de Vette, Nander 1 van Wijnbergen, Sweder 1
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Review of Middle East Economics and Finance 2 American journal of agricultural economics 1 DNB working papers 1 Discussion paper / Centre for Economic Policy Research 1 Discussion paper / Tinbergen Institute 1 Journal of Economics and Finance 1 Journal of empirical finance 1 MPRA Paper 1 Timisoara Journal of Economics 1 Tinbergen Institute Discussion Paper 1
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Source
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ECONIS (ZBW) 6 RePEc 4 BASE 1 EconStor 1 Other ZBW resources 1
Showing 1 - 10 of 13
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2019
Persistent link: https://www.econbiz.de/10011992544
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What Option Prices tell us about the ECB's Unconventional Monetary Policies
Olijslagers, Stan; Petersen, Annelie; de Vette, Nander; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10012114748
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What option prices tell us about the ECB's unconventional monetary policies
Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018
We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...
Persistent link: https://www.econbiz.de/10011940034
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Mixtures of Laws: a New Method to Estimate the Parameters
VIASU, Ioana; CHILARESCU, Constantin - In: Timisoara Journal of Economics 5 (2012) 17, pp. 5-22
The main aim of this paper is to examine the qualities of the mixed diffusion-jump process whose parameters are random …
Persistent link: https://www.econbiz.de/10010839303
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Phénomènes financiers et mélange de lois : Une nouvelle méthode d’estimation des paramètres.
Chilarescu, Constantin; Viasu, Iana Luciana - Volkswirtschaftliche Fakultät, … - 2011
The main aim of this paper is to examine the qualities of the mixed diffusion-jump process whose parameters are random …
Persistent link: https://www.econbiz.de/10009325669
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What option prices tell us about the ECB's unconventional monetary policies
Olijslager, Stan Stan; Petersen, Annelie; Vette, Nander de - 2018
Persistent link: https://www.econbiz.de/10012109721
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Jump risk and cross section of stock returns: evidence from China’s stock market
Zhou, Haigang; Zhu, John - In: Journal of Economics and Finance 35 (2011) 3, pp. 309-331
Persistent link: https://www.econbiz.de/10009149503
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Integrating Econometrics Models in Real Option Valuation of Coal Mining Projects
Shahriar Shafiee - 2010
Discounted Cash Flow (DCF) analysis is the most common form of evaluation of coal mining projects. However, DCF models suffer from a number of deficiencies. Firstly, they assume a project time horizon based on an assumption of extraction rates and current measured and indicated reserves....
Persistent link: https://www.econbiz.de/10009448410
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Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Wu, Feng; Myers, Robert J.; Guan, Zhengfei; Wang, Zhiguang - In: Journal of empirical finance 34 (2015), pp. 260-274
Persistent link: https://www.econbiz.de/10011557143
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Investment Under Uncertainty in Egypt: A Real-Options Approach
El-Shazly, Alaa - In: Review of Middle East Economics and Finance 2 (2004) 2, pp. 51-60
investment in terms of forgone return. The analytical framework uses diffusion-jump processes to model uncertainty over time and …
Persistent link: https://www.econbiz.de/10014618734
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