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  • Search: subject:"Vasicek Model"
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Year of publication
Subject
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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
All
Article 503 Book / Working Paper 302
Type of publication (narrower categories)
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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 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 773 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 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
Showing 61 - 70 of 805
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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
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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
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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
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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
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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
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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
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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
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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
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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
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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
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