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  • Search: subject_exact:"Semimartingale"
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Year of publication
Subjects
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Martingale 486 Martingal 483 Theorie 326 Theory 326 Optionspreistheorie 83 Option pricing theory 82 Portfolio selection 82 Portfolio-Management 82 Stochastic process 79 Stochastischer Prozess 79 Hedging 53 CAPM 45 Incomplete market 45 Unvollkommener Markt 45 Semimartingale 41 Volatility 41 Volatilität 36 Arbitrage Pricing 33 Arbitrage pricing 33 semimartingale 26 Arbitrage 23 Derivat 23 Derivative 23 Financial market 22 Finanzmarkt 22 Time series analysis 22 Zeitreihenanalyse 22 Financial economics 21 Kapitalmarkttheorie 21 Bubbles 20 Spekulationsblase 20 Efficient market hypothesis 18 Effizienzmarkthypothese 18 Markov chain 18 Markov-Kette 18 Mathematical programming 18 Mathematische Optimierung 18 Statistical test 18 Statistischer Test 18 USA 18
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Online availability
All
Free 134 Undetermined 15
Type of publication
All
Article 328 Book / Working Paper 213
Type of publication (narrower categories)
All
Article in journal 285 Aufsatz in Zeitschriften 285 Graue Literatur 149 Non-commercial literature 149 Working Paper 131 Arbeitspapier 130 Hochschulschrift 25 Dissertation 24 Thesis 24 Article in book 22 Aufsatz im Buch 22 Amtsdruckschrift 8 Government document 8 Collection of articles written by one author 6 Sammlung 6 Lehrbuch 3 Mikroform 2 Bibliographie 1 Collection of articles of several authors 1 Einführung 1 Forschungsbericht 1 Konferenzschrift 1 Sammelwerk 1
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Language
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English 499 Undetermined 30 German 9 French 1 Spanish 1 Serbian 1
Persons
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Barndorff-Nielsen, Ole E. 21 Shephard, Neil 15 Schweizer, Martin 13 Jacod, Jean 11 Kardaras, Constantinos 10 Kabanov, Jurij M. 9 Podolskij, Mark 9 Prigent, Jean-Luc 9 Platen, Eckhard 8 Scaillet, Olivier 8 Cassese, Gianluca 7 Hulley, Hardy 7 Protter, Philip E. 7 Renault, Olivier 7 Frittelli, Marco 6 Jarrow, Robert A. 6 Jeanblanc, Monique 6 Kallsen, Jan 6 Li, Jia 6 Shephard, Neil G. 6 Choulli, Tahir 5 Graversen, Svend Erik 5 Hobson, David G. 5 Ibragimov, Rustam 5 Kalnina, Ilze 5 Karantounias, Anastasios G. 5 Schachermayer, Walter 5 Smith, Graham 5 Ysusi, Carla 5 Biagini, Francesca 4 Chiarella, Carl 4 Christensen, Bent Jesper 4 Delbaen, Freddy 4 Föllmer, Hans 4 Kinnebrock, Silja 4 Leitner, Johannes 4 Linton, Oliver 4 Mania, Michael 4 McCauley, Joseph L. 4 Park, Joon Y. 4
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Institutions
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Department of Economics, Oxford University 7 Economics Group, Nuffield College, University of Oxford 5 Cowles Foundation for Research in Economics, Yale University 4 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 4 Banco de México 3 School of Economics and Management, University of Aarhus 3 Bonn Graduate School of Economics 2 Centre for Analytical Finance <Århus> 2 Finance Research Centre, Oxford University 2 London School of Economics (LSE) 2 Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 2 Center for Economic Research <Minneapolis, Minn.> 1 Duke University, Department of Economics 1 Econometric Society 1 Federal Reserve Bank of Kansas City / Research Division 1 HAL 1 International Centre for Economic Research (ICER) 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 University of Cambridge / Department of Applied Economics 1 University of Cambridge / Faculty of Economics 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Weierstraß-Institut für Angewandte Analysis und Stochastik 1
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Published in...
All
Finance and stochastics 50 Mathematical finance : an international journal of mathematics, statistics and financial theory 39 International journal of theoretical and applied finance 19 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 15 Journal of econometrics 14 Research paper series 11 Annals of finance 10 Asia-Pacific financial markets 8 Série des documents de travail / Centre de Recherche en Économie et Statistique 8 CREATES research paper 7 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 7 Economics Series Working Papers / Department of Economics, Oxford University 7 Decisions in economics and finance : DEF ; a journal of applied mathematics 6 Economic theory 6 Journal of economic dynamics & control 6 Mathematical methods of operations research 6 Studi e quaderni / Istituto di Economia Politica, Università Bocconi 6 Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business 6 Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse 5 Discussion paper series 5 Economics Papers / Economics Group, Nuffield College, University of Oxford 5 Journal of business & economic statistics : JBES : a publication of the American Statistical Association 5 Journal of mathematical economics 5 Optimality and risk - modern trends in mathematical finance : the Kabanov Festschrift 5 The journal of futures markets 5 Applied mathematical finance 4 Contemporary quantitative finance : essays in honour of Eckhard Platen 4 Cowles Foundation Discussion Papers 4 Cowles Foundation discussion paper 4 Discussion paper 4 Discussion papers of interdisciplinary research project 373 4 Finance and Stochastics 4 Insurance 4 International review of financial analysis 4 Journal of banking & finance 4 Mathematical finance 4 The review of financial studies 4 Annals of economics and finance 3 CREATES Research Papers 3 Econometric reviews 3
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Sources
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ECONIS (ZBW) 491 RePEc 47 BASE 2 EconStor 1
Showing 1 - 50 of 541
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Martingale regressions for a continuous time model of exchange rates
Guo, Zi-Yi - 2017 - This version: September 2017
One of the daunting problems in international finance is the weak explanatory power of existing theories of the nominal exchange rates, the so-called "foreign exchange rate determination puzzle". We propose a continuous-time model to study the impact of order flow on foreign exchange rates. The...
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Optimal investment strategies under affine Markov-switching models : theory, examples and implementation
Neykova, Daniela - 2016
This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...
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Fiscal austerity in ambiguous times
Ferrière, Axelle; Karantounias, Anastasios G. - 2016
How should public debt be managed when uncertainty about the business cycle is widespread and debt levels are high, as in the aftermath of the last financial crisis? This paper analyzes optimal fiscal policy with ambiguity aversion and endogenous government spending. We show that, without...
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Tightness of M-estimators for multiple linear regression in time series
Johansen, Søren; Nielsen, Bent - 2016
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Tightness of M-estimators for multiple linear regression in time series
Johansen, Søren; Nielsen, Bent - 2016
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver Bruce; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
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The marriage market, labor supply and education choice
Chiappori, Pierre-André; Dias, Mónica Costa; Meghir, … - 2015
We develop an equilibrium lifecycle model of education, marriage and labor supply and consumption in a transferable utility context. Individuals start by choosing their investments in education anticipating returns in the marriage market and the labor market. They then match based on the...
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The Φ-Martingale
Vrins, Frédéric; Jeanblanc, Monique - 2015
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Economics-based financial bubbles (and why they imply strict local martingales)
Herdegen, Martin; Schweizer, Martin - 2015
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Progressive filtration expansions via a process, with applications to insider trading
Kchia, Younes; Protter, Philip E. - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-48
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Jump regressions
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195
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Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.; Zhang, Lan - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 197-231
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Weak Convergence to Stochastic Integrals for Econometric Applications
Liang, Hanying; Phillips, Peter C.B.; Wang, Hanchao; … - Cowles Foundation for Research in Economics, Yale University - 2014
Limit theory involving stochastic integrals is now widespread in time series econometrics and relies on a few key results on function space weak convergence. In establishing weak convergence of sample covariances to stochastic integrals, the literature commonly uses martingale and semimartingale...
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Estimating dynamic equilibrium models using mixed frequency macro and financial data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - 2014
We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...
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Mathematical models for financial bubbles
Nedelcu, Sorin - 2014
Financial bubbles have been present in the history of financial markets from the early days up to the modern age. An asset is said to exhibit a bubble when its market value exceeds its fundamental valuation. Although this phenomenon has been thoroughly studied in the economic literature, a...
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Martingale optimal transport in the Skorokhod space
Dolinsky, Yan; Soner, Halil Mete - 2014
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Optimal consumption and investment with labor income and European/American capital guarantee
Kronborg, Morten Tolver - In: Risks : open access journal 2 (2014) 2, pp. 171-194
We present the optimal consumption and investment strategy for an investor, endowed with labor income, searching to maximize utility from consumption and terminal wealth when facing a binding capital constraint of a European (constraint on terminal wealth) or an American (constraint on the...
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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
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A general HJM framework for multiple yield curve modelling
Cuchiero, Christa; Fontana, Claudio; Gnoatto, Alessandro - In: Finance and stochastics 20 (2016) 2, pp. 267-320
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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
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Generalized BN-S stochastic volatility model for option pricing
SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23
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Fundamental theorem of asset pricing under transaction costs and model uncertainty
Bayraktar, Erhan; Zhang, Yuchong - In: Mathematics of operations research 41 (2016) 3, pp. 1039-1054
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Strong bubbles and strict local martingales
Herdegen, Martin; Schweizer, Martin - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-44
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No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
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Stochastic local intensity loss models with interacting particle systems
Alfonsi, Aurélien; Labart, Celine; Lelong, Jerome - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 366-394
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Weak form efficiency and martingale difference sequence tests of six African stock market indexes
Setlhare, Lexi L.; Kouassi, Eugène - In: The empirical economics letters : a monthly … 15 (2016) 1, pp. 37-44
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Currency risk : comovements and intraday cojumps
Lahaye, Jérôme - In: Annals of economics and statistics 123/124 (2016), pp. 53-76
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Generalized method of integrated moments for high-frequency data
Li, Jia; Xiu, Dacheng - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 4, pp. 1613-1633
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Inference theory for volatility functional dependencies
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 193 (2016) 1, pp. 17-34
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Estimating dynamic equilibrium models using mixed frequency macro and financial data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - In: Journal of econometrics 194 (2016) 1, pp. 116-137
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Optimal portfolio strategy with discounted stochastic cash inflows when the stock price is a semimartingale
Baraedi, Onthusitse; Offen, Elias - In: Journal of mathematical finance 6 (2016) 4, pp. 660-684
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Asymptotic Inference about Predictive Accuracy Using High Frequency Data
Li, Jia; Patton, Andrew J. - Duke University, Department of Economics - 2013
This paper provides a general framework that enables many existing inference methods for predictive accuracy to be used in applications that involve forecasts of latent target variables. Such applications include the forecasting of volatility, correlation, beta, quadratic variation, jump...
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Nonparametric estimation of cumulative incidence functions for competing risks data with missing cause of failure
Effraimidis, Georgios; Dahl, Christian M. - 2013
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Nonparametric estimation of cumulative incidence functions for competing risks data with missing cause of failure
Effraimidis, Georgios; Dahl, Christian M. - 2013
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Quantitative forward guidance and the predictability of monetary policy : a wavelet based jump detection approach
Winkelmann, Lars - 2013
The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the guidance strategy on the predictability of monetary policy. Using the example...
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Martingale optimal transport and robust hedging in continuous time
Dolinsky, Yan; Soner, Halil Mete - 2013
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Mean aversion in and persistence of shocks to the US dollar : evidence from nine foreign currencies
Azar, Samih Antoine - In: International journal of economics and financial issues … 3 (2013) 3, pp. 723-733
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Optimal investment in a Black-Scholes model with a bubble
Herdegen, Martin; Herrmann, Sebastian - 2013
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Coherent price systems and uncertainty-neutral valuation : conference paper
Beißner, Patrick - 2013 - This version: 28 February, 2013
We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see...
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Optimal fiscal policy with recursive preferences
Karantounias, Anastasios G. - 2013
I study optimal capital and labor income taxation in a business cycle model with the recursive preferences of Epstein and Zin (1989) and Weil (1990). In contrast to the case of time-additive expected utility, I find that it is no longer optimal to make the welfare cost of distortionary taxes...
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Managing pessimistic expectations and fiscal policy
Karantounias, Anastasios G. - In: Theoretical economics : TE : an open access journal in … 8 (2013) 1, pp. 193-231
This paper studies the design of optimal fiscal policy when a government that fully trusts the probability model of government expenditures faces a fearful public that forms pessimistic expectations. We identify two forces that shape our results. On the one hand, the government has an incentive...
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Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil; Xiu, Dacheng - Department of Economics, Oxford University - 2012
Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects.  In this paper we extend Xiu's univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an...
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Short-time asymptotics for marginal distributions of semimartingales
Bentata, Amel; Cont, Rama - HAL - 2012
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior...
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
Shephard, Neil; Sheppard, Kevin - Department of Economics, Oxford University - 2012
High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to...
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Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices
Shephard, Neil; Xiu, Dacheng - Economics Group, Nuffield College, University of Oxford - 2012
Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects. In this paper we extend Xiu’s univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an...
Saved in:
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Efficient and feasible inference for the components of financial variation using blocked multipower variation
Mykland, Per A.; Shephard, Neil; Sheppard, Kevin - Economics Group, Nuffield College, University of Oxford - 2012
High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps. One of the key techniques developed in the literature in recent years has been bipower variation and its multipower extension, which estimates time-varying volatility robustly to jumps. We...
Saved in:
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Managing pessimistic expectations and fiscal policy
Karantounias, Anastasios G. - 2012
This paper studies the design of optimal fiscal policy when a government that fully trusts the probability model of government expenditures faces a fearful public that forms pessimistic expectations. We identify two forces that shape our results. On the one hand, the government has an incentive...
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Assessing the profitability of intraday opening range breakout strategies
Holmberg, Ulf; Lönnbark, Carl; Lundström, Christian - 2012
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The Heath-Jarrow-Morton approach for modelling stock options
Krühner, Paul - 2012
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Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Strong, Winslow - 2012
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