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厦门大学 [72]
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期刊论文 [62]
学位论文 [44]
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Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity
期刊论文
COMMUNICATIONS IN MATHEMATICS AND STATISTICS, 2022, 页码: 25
作者:
Duan, Pingtao
;
Liu, Yuting
;
Ma, Zhiming
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2023/02/07
Option pricing
Discrete barrier options
Jump-diffusion model
Stochastic volatility
Stochastic intensity
Towards an Understanding of Cryptocurrency: A Comparative Analysis of Cryptocurrency, Foreign Exchange, and Stock
会议论文
中国深圳, July 1-3, 2019
作者:
Jiaqi, Liang
;
Linjing, Li
;
Weiyun, Chen
;
Daniel, Zeng
收藏
  |  
浏览/下载:48/0
  |  
提交时间:2019/05/10
Cryptocurrency
Blockchain
Financial Market
Correlation Matrix
Asset Tree
Systemic Risk
Is the High Interest Rate Combined with Intense Deleveraging Campaign Desirable? A Collateral Mechanism under Stringent Credit Constraints
期刊论文
SUSTAINABILITY, 2018, 卷号: 10, 期号: 12
作者:
Yang, Qiuyi
;
Lang, Youze
;
Xu, Changsheng
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  |  
浏览/下载:7/0
  |  
提交时间:2019/08/22
sustainable financial market
asset bubbles
overlapping generation (OLG) model
market interest rate
credit constraints
pledgeability
financial regulation and supervision
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
期刊论文
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018, 卷号: 7, 期号: 3
作者:
Liu, Zhi
;
Xia, Xiaochao
;
Zhou, Guoliang
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  |  
浏览/下载:8/0
  |  
提交时间:2019/08/22
High-frequency data
volatility estimation
microstructure noise
Estimation of market prices of risks in the GARCH diffusion model
期刊论文
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2018, 卷号: 31, 期号: 1, 页码: 15-36
作者:
Wu, Xinyu
;
Zhou, Hailin
;
Wang, Shouyang
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  |  
浏览/下载:19/0
  |  
提交时间:2018/07/30
Market prices of risks
GARCH diffusion model
option pricing
efficient importance sampling
maximum likelihood
particle filter
How money illusions and heterogeneous beliefs affect asset prices
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2018, 卷号: Vol.44, 页码: 167-192
作者:
Ma, CQ
;
Wang, HL
;
Cheng, FC
;
Hu, DN
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  |  
浏览/下载:16/0
  |  
提交时间:2019/12/26
Money illusion
Heterogeneous belief
Asset pricing
Malliavin derivative
Portfolio plan
Asset prices and economic fluctuations: The implications of stochastic volatility
期刊论文
ECONOMIC MODELLING, 2017, 卷号: 64, 页码: 128-140
作者:
Chen, Junping
;
Xiong, Xiong
;
Zhu, Jie
;
Zhu, Xiaoneng
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  |  
浏览/下载:6/0
  |  
提交时间:2019/08/22
Economic fluctuations
Dynamic Fama-French factors
Stochastic volatility
International stock markets
Predictability
Do Capital Flows Matter to Stock and House Prices? Evidence from China
期刊论文
EMERGING MARKETS FINANCE AND TRADE, 2017, 卷号: 53, 期号: 10, 页码: 2215-2232
作者:
Feng, Ling
;
Lin, Ching-Yi
;
Wang, Chun
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  |  
浏览/下载:5/0
  |  
提交时间:2019/08/22
asset prices
capital flows
China
local projections
Asset prices and economic fluctuations: The implications of stochastic volatility
期刊论文
ECONOMIC MODELLING, 2017, 卷号: 64, 页码: 128-140
作者:
Junping Chen[1]
;
Xiong Xiong[2]
;
Jie Zhu[3]
;
Xiaoneng Zhu[4]
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/04/24
Economic fluctuations
Dynamic Fama-French factors
Stochastic volatility
International stock markets
Predictability
Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
期刊论文
QUANTITATIVE FINANCE, 2016, 卷号: 16, 期号: 12, 页码: 1917-1928
作者:
Yang, Wei
;
Han, Ai
;
Hong, Yongmiao
;
Wang, Shouyang
收藏
  |  
浏览/下载:18/0
  |  
提交时间:2018/07/30
Interval dummy variable
Interval time series
Crisis
Crude oil prices
Speculation index
Range volatility
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