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  • Search: subject:"Vasicek Model"
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Year of publication
Subject
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Mean Reversion 746 Mean reversion 744 Theorie 307 Theory 307 Estimation 162 Schätzung 160 Börsenkurs 158 Share price 158 Stochastic process 150 Stochastischer Prozess 150 Volatility 140 Volatilität 140 Portfolio selection 136 Portfolio-Management 136 Zeitreihenanalyse 125 Time series analysis 124 Capital income 117 Kapitaleinkommen 117 Option pricing theory 110 Optionspreistheorie 110 Unit root test 80 Einheitswurzeltest 79 mean reversion 76 USA 71 United States 71 Aktienmarkt 58 Stock market 58 Anlageverhalten 56 Behavioural finance 56 Kaufkraftparität 51 Purchasing power parity 51 Yield curve 47 Zinsstruktur 47 Estimation theory 46 Schätztheorie 46 Vasicek model 46 CAPM 45 Welt 45 World 45 Derivat 43
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Online availability
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Free 274 Undetermined 216 CC license 16
Type of publication
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Article 515 Book / Working Paper 304
Type of publication (narrower categories)
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Article in journal 473 Aufsatz in Zeitschrift 473 Working Paper 111 Arbeitspapier 110 Graue Literatur 107 Non-commercial literature 107 Aufsatz im Buch 25 Book section 25 Hochschulschrift 19 Thesis 13 Article 4 Collection of articles written by one author 4 Sammlung 4 Conference paper 3 Konferenzbeitrag 3 Collection of articles of several authors 1 Sammelwerk 1
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Language
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English 787 Undetermined 17 German 15 Spanish 1
Author
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Gil-Alaña, Luis A. 30 Leung, Tim 17 Caporale, Guglielmo Maria 15 Yu, Jun 14 Bikker, Jacob A. 7 Kim, Hyeongwoo 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 Li, Xin 6 Ullah, Aman 6 Albrecht, Peter 5 Christensen, Bent Jesper 5 Fabozzi, Frank J. 5 Kantar, Cemil 5 Otero, Jesús G. 5 Panagiōtidēs, Theodōros 5 Platen, Eckhard 5 Posch, Olaf 5 Benth, Fred Espen 4 Bobenrieth H., Eugenio S. 4 Bobenrieth H., Juan R. A. 4 Endres, Sylvia 4 Gustavsson, Magnus 4 Kim, Jintae 4 Levendovszky, János 4 Li, Jiao 4 Madan, Dilip B. 4 Maurer, Alina 4 Narayan, Paresh Kumar 4 Neaime, Simon 4 Pigato, Paolo 4 Račev, Svetlozar T. 4 Smyth, Russell 4 Summers, Lawrence Henry 4 Wang, Yun 4
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Institution
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National Bureau of Economic Research 11 School of Economics, Singapore Management University 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Carleton University / Department of Economics 2 Department of Economics and Related Studies, University of York 2 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 Queen Mary College / Department of Economics 2 CESifo 1 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 1 Christian-Albrechts-Universität zu Kiel / Institut für Weltwirtschaft 1 Duale Hochschule Baden-Württemberg Stuttgart 1 Eberhard Karls Universität Tübingen 1 Econometrisch Instituut <Rotterdam> 1 Erasmus Research Institute of Management 1 Institut for Nationaløkonomi <Kopenhagen> 1 Institut für Wirtschaftsforschung Halle 1 Institute of Economic Research, Kyoto University 1 School of Economics and Management, University of Aarhus 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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Applied economics 17 International journal of theoretical and applied finance 17 Applied economics letters 11 Economic modelling 11 The European journal of finance 11 Working paper / National Bureau of Economic Research, Inc. 11 Applied mathematical finance 10 Economics letters 10 International review of economics & finance : IREF 10 Journal of banking & finance 10 NBER working paper series 10 CESifo working papers 9 Insurance 9 International journal of financial engineering 9 Energy economics 7 Finance research letters 7 Journal of mathematical finance 7 The journal of futures markets 7 Applied financial economics 6 Journal of econometrics 6 NBER Working Paper 6 Quantitative finance 6 Review of quantitative finance and accounting 6 Computational economics 5 European journal of operational research : EJOR 5 Risks : open access journal 5 Working paper 5 Annals of financial economics 4 Journal of asset management 4 Journal of empirical finance 4 Journal of international money and finance 4 Journal of risk 4 Journal of risk and financial management : JRFM 4 MPRA Paper 4 Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung 4 The North American journal of economics and finance : a journal of financial economics studies 4 Working Papers / School of Economics, Singapore Management University 4 Cogent economics & finance 3 DNB working paper 3 De Nederlandsche Bank Working Paper 3
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Source
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ECONIS (ZBW) 791 RePEc 23 EconStor 5
Showing 31 - 40 of 819
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The firms' debt reversibility trend : an application to a large sample of industrial SMEs
Carvalho, António; Sardo, Filipe; Pacheco, Luís Dias - In: Cogent economics & finance 11 (2023) 1, pp. 1-23
The corporate debt reversibility analysis can be carried out not only from the owner/manager's active intervention perspective but also from the perspective of a mechanical reversion, independent of owner/managers' deliberations. Our study aims to discover how and which theoretical perspective...
Persistent link: https://www.econbiz.de/10014500531
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Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India
Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing through markets with little connection to such fundamentals? To answer the question, this research explores the volatility dynamics and measures the persistence of shocks to the...
Persistent link: https://www.econbiz.de/10014500716
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Anchor reversion : the case of the 52-week high and asset prices
Blau, Benjamin; Griffith, Todd; Whitby, Ryan J.; … - In: The journal of behavioral finance : a publication of … 26 (2025) 1, pp. 82-94
Persistent link: https://www.econbiz.de/10015357758
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Fractional Brownian motions in financial econometrics
Xiao, Weilin; Zhang, Xili - In: Financial econometrics : theory and applications, (pp. 198-234). 2025
Persistent link: https://www.econbiz.de/10015426497
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Comparison of volatility and mean reversion among developed, developing and emerging countries
Arsalan, Tazeen; Chishty, Bilal Ahmed; Ghouri, Shagufta; … - In: Journal of economic and administrative sciences 41 (2025) 2, pp. 470-489
Persistent link: https://www.econbiz.de/10015416624
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Mean Reversion in Randomized Controlled Trials : Implications for Program Targeting and Heterogeneous Treatment Effects
Alsan, Marcella; Cawley, John H.; Doyle, Joseph J.; … - National Bureau of Economic Research - 2025
Eligibility criteria for interventions can induce an Ashenfelter Dip, and subsequent mean-reversion may result in improvement over time even absent the intervention. We investigate these dynamics for a food-as-medicine program to treat diabetes, where eligibility required elevated hemoglobin A1c...
Persistent link: https://www.econbiz.de/10015195015
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A closed form formula for equity valuation model based on differential equation
Yeh, I-Cheng - In: Opsearch : journal of the Operational Research Society … 62 (2025) 2, pp. 1039-1060
Persistent link: https://www.econbiz.de/10015532941
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Comparison of numerical solutions of option pricing under two mixed Black–Scholes models
Fard, Hossein Sahebi; Dastranj, Elham - In: International journal of financial engineering 12 (2025) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10015550806
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The laws of motion of the broker call rate in the United States
Garivaltis, Alex - In: International Journal of Financial Studies : open … 7 (2019) 4/56, pp. 1-23
In this paper, which is the third installment of the author´s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic...
Persistent link: https://www.econbiz.de/10012150532
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Betting on mean reversion in the VIX? : evidence from ETP flows
Nielsen, Ole Linnemann; Posselt, Anders Merrild - 2022 - This version: September 1, 2021
Persistent link: https://www.econbiz.de/10012816394
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