EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Ornstein-Uhlenbeck process"
Narrow search

Narrow search

Year of publication
Subject
All
Mean Reversion 733 Mean reversion 733 Theorie 306 Theory 305 Stochastic process 172 Stochastischer Prozess 172 Börsenkurs 159 Share price 159 Estimation 155 Schätzung 153 Volatility 152 Volatilität 152 Portfolio selection 129 Portfolio-Management 129 Zeitreihenanalyse 129 Time series analysis 128 Optionspreistheorie 124 Option pricing theory 123 Capital income 117 Kapitaleinkommen 117 Ornstein-Uhlenbeck process 88 Unit root test 80 Einheitswurzeltest 79 mean reversion 75 USA 72 United States 72 Stock market 59 Aktienmarkt 58 Anlageverhalten 56 Behavioural finance 56 Kaufkraftparität 51 Purchasing power parity 51 Derivat 50 Derivative 50 Welt 46 World 46 CAPM 42 Ornstein–Uhlenbeck process 41 Efficient market hypothesis 36 Effizienzmarkthypothese 36
more ... less ...
Online availability
All
Free 294 Undetermined 278 CC license 14
Type of publication
All
Article 577 Book / Working Paper 325
Type of publication (narrower categories)
All
Article in journal 478 Aufsatz in Zeitschrift 478 Working Paper 118 Arbeitspapier 110 Graue Literatur 106 Non-commercial literature 106 Aufsatz im Buch 24 Book section 24 Hochschulschrift 18 Thesis 15 Article 6 Collection of articles written by one author 4 Sammlung 4 Conference paper 2 Konferenzbeitrag 2 Collection of articles of several authors 1 Sammelwerk 1
more ... less ...
Language
All
English 807 Undetermined 79 German 15 Spanish 2
Author
All
Gil-Alaña, Luis A. 30 Leung, Tim 17 Caporale, Guglielmo Maria 15 Benth, Fred Espen 8 Bao, Yong 7 Bikker, Jacob A. 7 Endres, Sylvia 7 Kim, Hyeongwoo 7 Spierdijk, Laura 7 Stein, Jeremy C. 7 Ullah, Aman 7 Wong, Hoi Ying 7 Boltz, Marie 6 Chort, Isabelle 6 Holmes, Mark J. 6 Li, Xin 6 Stübinger, Johannes 6 Yu, Jun 6 Albrecht, Peter 5 Hess, Markus 5 Kantar, Cemil 5 Otero, Jesús G. 5 Panagiōtidēs, Theodōros 5 Taufer, Emanuele 5 Wang, Yun 5 Avanzi, Benjamin 4 Biard, Romain 4 Blanchet-Scalliet, Christophette 4 Bobenrieth H., Eugenio S. 4 Bobenrieth H., Juan R. A. 4 Eyraud-Loisel, Anne 4 Fabozzi, Frank J. 4 Gustavsson, Magnus 4 Kim, Jintae 4 Koch, Torben 4 Leonenko, Nikolai 4 Levendovszky, János 4 Li, Jiao 4 Linetsky, Vadim 4 Loisel, Stéphane 4
more ... less ...
Institution
All
National Bureau of Economic Research 11 Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento 4 School of Economics and Management, University of Aarhus 3 Carleton University / Department of Economics 2 Cowles Foundation for Research in Economics, Yale University 2 Ehrvervøkonomisk Institut, Institut for Økonomi 2 Finance Discipline Group, Business School 2 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 Queen Mary College / Department of Economics 2 Society for Computational Economics - SCE 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Departamento de Economía, Pontificia Universidad Católica del Perú 1 Department of Economics and Business, Universitat Pompeu Fabra 1 Department of Economics, University of California-Riverside 1 Department of Economics, University of California-San Diego (UCSD) 1 Deutsche Bundesbank 1 Duale Hochschule Baden-Württemberg Stuttgart 1 EconWPA 1 Econometrisch Instituut <Rotterdam> 1 Erasmus Research Institute of Management 1 HAL 1 Institut for Nationaløkonomi <Kopenhagen> 1 Institut für Wirtschaftsforschung Halle 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Technische Universität Kaiserslautern 1 University of Connecticut / Department of Economics 1 Universität Bremen / Fachbereich Wirtschaftswissenschaft 1 Verlag Dr. Hut <München> 1
more ... less ...
Published in...
All
International journal of theoretical and applied finance 21 Applied economics 19 Applied mathematical finance 12 Economic modelling 12 Applied economics letters 11 Physica A: Statistical Mechanics and its Applications 11 Working paper / National Bureau of Economic Research, Inc. 11 Energy economics 10 Journal of banking & finance 10 NBER working paper series 10 Quantitative finance 10 The European journal of finance 10 Economics letters 9 CESifo working papers 8 Finance research letters 7 International journal of financial engineering 7 International review of economics & finance : IREF 7 The journal of futures markets 7 Applied financial economics 6 European journal of operational research : EJOR 6 Insurance / Mathematics & economics 6 Journal of mathematical finance 6 NBER Working Paper 6 Review of quantitative finance and accounting 6 Statistical Inference for Stochastic Processes 6 Journal of econometrics 5 Journal of risk and financial management : JRFM 5 Risks : open access journal 5 The North American journal of economics and finance : a journal of financial economics studies 5 Working paper 5 Annals of the Institute of Statistical Mathematics 4 Computational economics 4 Decisions in economics and finance : a journal of applied mathematics 4 Journal of economic dynamics & control 4 Journal of empirical finance 4 Journal of international money and finance 4 Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung 4 Statistics & Probability Letters 4 Stochastic Processes and their Applications 4 The North American journal of economics and finance : a journal of theory and practice 4
more ... less ...
Source
All
ECONIS (ZBW) 794 RePEc 90 EconStor 14 BASE 2 Other ZBW resources 2
Showing 1 - 10 of 902
Cover Image
On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping; Yu, Jun; Zhang, Chen - 2023
Persistent link: https://www.econbiz.de/10014320456
Saved in:
Cover Image
Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model
Önalan, Ömer - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 68-84
Persistent link: https://www.econbiz.de/10013411688
Saved in:
Cover Image
Mean reversion trading on the naphtha crack
Turquet, Briac; Bajgrowicz, Pierre; Scaillet, Olivier - 2024
Persistent link: https://www.econbiz.de/10015192708
Saved in:
Cover Image
Multivariate rough volatility
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015326256
Saved in:
Cover Image
The multivariate fractional Ornstein-Uhlenbeck process
Dugo, Ranieri; Giorgio, Giacomo; Pigato, Paolo - 2024
Persistent link: https://www.econbiz.de/10015084279
Saved in:
Cover Image
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
Saved in:
Cover Image
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
Saved in:
Cover Image
Optimal control in linear-quadratic stochastic advertising models with memory
Giordano, Michele; Yurchenko-Tytarenko, Anton - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 275-298
Persistent link: https://www.econbiz.de/10015044806
Saved in:
Cover Image
Modelling profitability of private equity : a fractional integration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Research in international business and finance 67 (2024) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10014451482
Saved in:
Cover Image
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
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...