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~isPartOf:"Journal of economic dynamics & control"
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Search: subject:"Continuous Time"
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Theorie
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jumps
4
realized volatility
3
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Andersen, Torben G.
3
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2
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1
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1
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School of Economics and Management, University of Aarhus
6
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CREATES Research Papers
Journal of economic dynamics & control
Physica A: Statistical Mechanics and its Applications
33
CESifo Working Paper
17
European journal of operational research : EJOR
16
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13
Quantitative Finance
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Computers & operations research : and their applications to problems of world concern ; an international journal
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ECONIS (ZBW)
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1
Optimal procurement and investment in new technologies under uncertainty
Arve, Malin
;
Zwart, Gijsbert T. J.
- In:
Journal of economic dynamics & control
147
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014249733
Saved in:
2
CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang
;
Yang, Wensheng
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
128
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
Saved in:
3
The Jacobian of the exponential function
Magnus, Jan R.
;
Pijls, Henk G. J.
;
Sentana, Enrique
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012668907
Saved in:
4
A
continuous-time
model of sovereign debt
Bornstein, Gideon
- In:
Journal of economic dynamics & control
118
(
2020
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012503392
Saved in:
5
Dynamic contract and discretionary termination policy under loss aversion
Hori, Keiichi
;
Osano, Hiroshi
- In:
Journal of economic dynamics & control
111
(
2020
),
pp. 1-28
Persistent link: https://www.econbiz.de/10012501427
Saved in:
6
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
Creel, Michael
;
Kristensen, Dennis
-
School of Economics and Management, University of Aarhus
-
2014
We develop novel methods for estimation and filtering of
continuous-time
models with stochastic volatility and jumps …
Persistent link: https://www.econbiz.de/10010892068
Saved in:
7
Continuous-time
smooth ambiguity preferences
Suzuki, Masataka
- In:
Journal of economic dynamics & control
90
(
2018
),
pp. 30-44
Persistent link: https://www.econbiz.de/10011974017
Saved in:
8
A comparison of numerical methods for the solution of
continuous-time
DSGE models
Parra-Alvarez, Juan Carlos
-
School of Economics and Management, University of Aarhus
-
2013
This paper evaluates the accuracy of a set of techniques that approximate the solution of
continuous-time
DSGE models …
Persistent link: https://www.econbiz.de/10010851250
Saved in:
9
Continuous
time
ARMA processes : discrete time representation and likelihood evaluation
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of economic dynamics & control
79
(
2017
),
pp. 48-65
Persistent link: https://www.econbiz.de/10011817599
Saved in:
10
Capacity expansion games with application to competition in power generation investments
Aïd, René
;
Li, Liangchen
;
Ludkovski, Michael
- In:
Journal of economic dynamics & control
84
(
2017
),
pp. 1-31
Persistent link: https://www.econbiz.de/10011916168
Saved in:
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