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Search: subject:"Markov-Kette"
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Volatility
Markov chain
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Markov-Kette
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Theorie
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14
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Asai, Manabu
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Journal of mathematical economics
Computational economics
Energy economics
33
Economic modelling
21
Journal of econometrics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Finance research letters
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Journal of empirical finance
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Applied economics
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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International review of financial analysis
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International review of economics & finance : IREF
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Review of quantitative finance and accounting
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Economics letters
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International journal of theoretical and applied finance
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Journal of mathematical finance
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Working paper / Department of Econometrics and Business Statistics, Monash University
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1
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
2
Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha
;
He, Xin-Jiang
- In:
Computational economics
59
(
2022
)
3
,
pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
Saved in:
3
Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif
;
Choudhry, Taufiq
;
Dempsey, Michael
- In:
Computational economics
57
(
2021
)
4
,
pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
Saved in:
4
Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching
- In:
Computational economics
56
(
2020
)
2
,
pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
Saved in:
5
Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Computational economics
53
(
2019
)
2
,
pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
Saved in:
6
Bayesian testing for leverage effect in stochastic volatility models
Zhang, Jin-Yu
;
Chen, Zhong-Tian
;
Li, Yong
- In:
Computational economics
53
(
2019
)
3
,
pp. 1153-1164
Persistent link: https://www.econbiz.de/10012135124
Saved in:
7
Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert
;
Ceffer, Attila
;
Levendovszky, János
- In:
Computational economics
49
(
2017
)
4
,
pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
Saved in:
8
Bayesian analysis of power-transformed and threshold GARCH models : a Griddy-Gibbs sampler approach
Xia, Qiang
;
Wong, Heung
;
Liu, Jinshan
;
Liang, Rubing
- In:
Computational economics
50
(
2017
)
3
,
pp. 353-372
Persistent link: https://www.econbiz.de/10011783316
Saved in:
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