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Search: subject:"Vasicek Model"
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Subject
All
Mean Reversion
735
Mean reversion
733
Theorie
300
Theory
300
Estimation
162
Schätzung
160
Börsenkurs
152
Share price
152
Stochastic process
143
Stochastischer Prozess
143
Volatility
136
Volatilität
136
Portfolio selection
132
Portfolio-Management
132
Zeitreihenanalyse
122
Time series analysis
121
Capital income
114
Kapitaleinkommen
114
Option pricing theory
107
Optionspreistheorie
107
Unit root test
80
Einheitswurzeltest
79
mean reversion
75
USA
71
United States
71
Aktienmarkt
57
Stock market
57
Anlageverhalten
55
Behavioural finance
55
Kaufkraftparität
51
Purchasing power parity
51
Yield curve
47
Zinsstruktur
47
Estimation theory
45
Schätztheorie
45
Welt
45
World
45
CAPM
44
Vasicek model
44
Derivat
43
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Online availability
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Free
266
Undetermined
212
CC license
14
Type of publication
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Article
503
Book / Working Paper
302
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Article in journal
463
Aufsatz in Zeitschrift
463
Working Paper
109
Arbeitspapier
108
Graue Literatur
105
Non-commercial literature
105
Aufsatz im Buch
23
Book section
23
Hochschulschrift
19
Thesis
13
Article
4
Collection of articles written by one author
4
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4
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3
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3
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1
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1
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English
773
Undetermined
17
German
15
Spanish
1
Author
All
Gil-Alaña, Luis A.
30
Leung, Tim
17
Caporale, Guglielmo Maria
15
Yu, Jun
13
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
Journal of banking & finance
10
NBER working paper series
10
CESifo working papers
9
Insurance / Mathematics & economics
9
International journal of financial engineering
8
Energy economics
7
Finance research letters
7
International review of economics & finance : IREF
7
Journal of mathematical finance
7
The journal of futures markets
7
Applied financial economics
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
Journal of econometrics
5
Risks : open access journal
5
Working paper
5
Annals of financial economics
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
The journal of asset management
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)
777
RePEc
23
EconStor
5
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805
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61
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Journal of econometrics
232
(
2023
)
2
,
pp. 389-415
Persistent link: https://www.econbiz.de/10014339985
Saved in:
62
A regime-switching model of stock returns with momentum and mean reversion
Giner, Javier
;
Zakamulin, Valeriy
- In:
Economic modelling
122
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014388630
Saved in:
63
Persistence and long run co-movements across stock market prices
Gil-Alaña, Luis A.
;
Infante, Juan
;
Martín-Valmayor, …
- In:
The quarterly review of economics and finance : journal …
89
(
2023
),
pp. 347-357
Persistent link: https://www.econbiz.de/10014429885
Saved in:
64
Conditional mean reversion of financial ratios and the predictability of returns
Boucher, Christophe
;
Jasinski, A.
;
Tokpavi, S.
- In:
Journal of international money and finance
137
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014478119
Saved in:
65
State space decomposition and classification of term structure shapes in the two-factor
vasicek
model
Keller-Ressel, Martin
;
Sachse, Felix
- In:
International journal of theoretical and applied …
26
(
2023
)
4/5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10014497221
Saved in:
66
Expected long-term rates of return when short-term returns are serially correlated
Mork, Knut Anton
;
Trønnes, Haakon Andreas
- In:
International review of financial analysis
88
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014462437
Saved in:
67
Mean reverting in stock ratings distribution
Lo, Huai-Chun
;
Chan, Chia-Ying
- In:
Review of quantitative finance and accounting
60
(
2023
)
3
,
pp. 1065-1097
Persistent link: https://www.econbiz.de/10014291772
Saved in:
68
Competing hypotheses on the Samuelson effect in futures markets
Ho, Chia-Cheng
;
Lee, Pei-Hsuan
;
Tsai, Pei-Su
- In:
Applied economics
55
(
2023
)
20
,
pp. 2261-2272
Persistent link: https://www.econbiz.de/10014294914
Saved in:
69
Mean reversals and stock market overreactions : further evidence from India
Saji, T. G.
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
13
(
2023
)
4
,
pp. 467-477
Persistent link: https://www.econbiz.de/10014331571
Saved in:
70
Revisiting mean reversion in profitability and earnings : evidence from India (2007-2020)
Kumar, Jitender
;
Kavya, T. B.
;
Bagga, Amit
;
Uma, S.
; …
- In:
Managerial finance
49
(
2023
)
5
,
pp. 906-931
Persistent link: https://www.econbiz.de/10014252596
Saved in:
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