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High-frequency financial data modeling using Hawkes processes
Chavez-Demoulin, Valerie; McGill, James A. - In: Journal of banking & finance 36 (2012) 12, pp. 3415-3426
Persistent link: https://www.econbiz.de/10009660437
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Productivity and efficiency at large and community banks in the US : a Bayesian true random effects stochastic distance frontier analysis
Feng, Guohua; Zhang, Xiaohui - In: Journal of banking & finance 36 (2012) 7, pp. 1883-1895
Persistent link: https://www.econbiz.de/10009629790
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Have the GIPSI settled down? : breaks and multivariate stochastic volatility models for, and not against, the European financial integration
Ge̜bka, Bartosz; Karoglou, Michail - In: Journal of banking & finance 37 (2013) 9, pp. 3639-3653
Persistent link: https://www.econbiz.de/10010126309
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Returns to scale at large banks in the US : a random coefficient stochastic frontier approach
Feng, Guohua; Zhangaohui, Xi - In: Journal of banking & finance 39 (2014), pp. 135-145
Persistent link: https://www.econbiz.de/10010340764
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A general closed-form spread option pricing formula
Caldana, Ruggero; Fusai, Gianluca - In: Journal of banking & finance 37 (2013) 12, pp. 4893-4906
Persistent link: https://www.econbiz.de/10010342187
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Moment-based estimation of stochastic volatility
Bregantini, Daniele - In: Journal of banking & finance 37 (2013) 12, pp. 4755-4764
Persistent link: https://www.econbiz.de/10010342233
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Performance and determinants of the Merton structural model : evidence from hedging coefficients
Barsotti, Flavia; Del Viva, Luca - In: Journal of banking & finance 58 (2015), pp. 95-111
Persistent link: https://www.econbiz.de/10011543912
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
Chung, Shing Fung; Wong, Hoi Ying - In: Journal of banking & finance 44 (2014), pp. 130-140
Persistent link: https://www.econbiz.de/10010410368
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A stochastic frontier approach to modelling financial constraints in firms : an application to India
Bhaumik, Sumon Kumar; Pranab Kumar Das; Kumbhakar, Subal - In: Journal of banking & finance 36 (2012) 5, pp. 1311-1319
Persistent link: https://www.econbiz.de/10009614538