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内部出版物
SpringerLink电子期刊(2574)
在“
SpringerLink电子期刊
”中,
命中:
2,574
条,耗时:小于0.01 秒
在所有数据库中总计命中:
2,574
条
1.
Modelling the
volatility
of commodities prices using a stochastic
volatility
model with random level shifts
作者:
Dennis Alvaro
;
Ángel Guillén
;
Gabriel Rodríguez
关键词:
Stochastic
volatility
;
State
;
space models
;
Bayesian inference
;
Random level shifts
;
Commodity prices long memory
刊名:Review of World Economics
出版年:2017
2.
On the influence of US monetary policy on crude oil price
volatility
作者:
Alessandra Amendola
;
Vincenzo Candila
;
Antonio Scognamillo
关键词:
Volatility
;
GARCH
;
MIDAS
;
Forecasting
;
Crude oil
刊名:Empirical Economics
出版年:2017
3.
Exchange rate
volatility
and ASEAN-4’s trade flows: is there a third country effect?
作者:
Abdorreza Soleymani
;
Soo Y. Chua…
关键词:
ASEAN
;
Trade flows
;
Exchange rates
volatility
;
Cointegration
刊名:International Economics and Economic Policy
出版年:2017
4.
Reconstructing local
volatility
using total variation
作者:
Rui Yan Zhang
;
Fang Fang Xu
;
Jian Chao Huang
关键词:
Volatility
smile
;
Dupire’s equation
;
finite difference
;
optimization
;
multigrid method
刊名:Acta Mathematica Sinica, English Series
出版年:2017
5.
Extreme-
volatility
dynamics in crude oil markets
作者:
Xiong-Fei Jiang
;
Bo Zheng
;
Tian Qiu
;
Fei Ren
关键词:
Statistical and Nonlinear Physics
刊名:The European Physical Journal B
出版年:2017
6.
Volatility
spillover effects in interbank money markets
作者:
Pedro Pires Ribeiro
;
José Dias Curto
关键词:
Interbank money markets
;
Contagion
;
Spillover index
;
Multivariate GARCH models
刊名:Review of World Economics
出版年:2017
7.
Bayesian inference for Heston-STAR models
作者:
Osnat Stramer
;
Xiaoyu Shen
;
Matthew Bognar
关键词:
Stochastic
volatility
model
;
Heston model
;
Smooth transition autoregressive (STAR) model
;
Bayesian inference
;
Data augmentation
刊名:Statistics and Computing
出版年:2017
8.
The robust Merton problem of an ambiguity averse investor
作者:
Sara Biagini
;
Mustafa Ç. Pınar
关键词:
Robust optimization
;
Merton problem
;
Volatility
uncertainty
;
Ellipsoidal uncertainty on mean returns
;
Hamilton–Jacobi–Bellman–Isaacs equation
刊名:Mathematics and Financial Economics
出版年:2017
9.
Hedging with small uncertainty aversion
作者:
Sebastian Herrmann
;
Johannes Muhle-Karbe
;
Frank Thomas Seifried
关键词:
Volatility
uncertainty
;
Ambiguity aversion
;
Option pricing and hedging
;
Asymptotics
刊名:Finance and Stochastics
出版年:2017
10.
Short-term asymptotics for the implied
volatility
skew under a stochastic
volatility
model with Lévy jumps
作者:
José E. Figueroa-López
;
Sveinn Ólafsson
关键词:
Exponential Lévy models
;
Stochastic
volatility
models
;
Short
;
term asymptotics
;
ATM implied
volatility
slope
;
ATM digital call option prices
刊名:Finance and Stochastics
出版年:2016
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