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Stochastic exchange rate dynamics, intervention dynamics and the market efficiency hypothesis

Drakonakis, Emmanouil; Kotsios, Stelios - In: Computational economics 65 (2025) 1, pp. 463-481

Persistent link: https://www.econbiz.de/10015195774

What do market-calibrated stochastic processes indicate about the long-term price of crude oil?

Hahn, Warren J.; DiLellio, James A.; Dyer, James S. - In: Energy economics 44 (2014), pp. 212-221

Persistent link: https://www.econbiz.de/10010457221

Approximations of bond and swaption prices in a Black-Karasinski model

Daniluk, Andrzej; Muchorski, Rafał - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011523750

Comparing high frequency data of stocks that are traded simultaneously in the US and Germany : simulated versus empirical data

Rieger, Jörg; Rüchardt, Kirsten; Vogt, Bodo - In: Eurasian economic review : a journal of the Eurasia … 1 (2011) 2, pp. 126-142

Persistent link: https://www.econbiz.de/10010340017

Estimating stochastic volatility : the rough side to equityreturns

Haynes, Jonathan; Schmitt, Daniel; Grimm, Lukas - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 449-469

Persistent link: https://www.econbiz.de/10012127236

Dynamics of financial returns densities : a functional approach applied to the Bovespa intraday index

Horta, Eduardo; Ziegelmann, Flávio A. - In: International journal of forecasting 34 (2018) 1, pp. 75-88

Persistent link: https://www.econbiz.de/10012030843

Predator-prey model for stock market fluctuations

Montero, Miquel - In: Journal of economic interaction and coordination 16 (2021) 1, pp. 29-57

Persistent link: https://www.econbiz.de/10012428415

Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces

Shang, Han Lin; Kearney, Fearghal - In: International journal of forecasting 38 (2022) 3, pp. 1025-1049

Persistent link: https://www.econbiz.de/10013349639

Variance swaps with mean reversion and multi-factor variance

Wu, Bin; Chen, Pengzhan; Ye, Wuyi - In: European journal of operational research : EJOR 315 (2024) 1, pp. 191-212

Persistent link: https://www.econbiz.de/10014562821

Application of Zhangs square root law and herding to financial markets

Wagner, Friedrich - In: Physica A: Statistical Mechanics and its Applications 364 (2006) C, pp. 369-384

We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a critical mean field theory suggested by Plerou et al. We...

Persistent link: https://www.econbiz.de/10010873069