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~isPartOf:"Physica A: Statistical Mechanics and its Applications"
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Continuous time random walks
10
Anomalous diffusion
7
Continuous-time random walk
6
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6
Fractional calculus
6
Volatility
5
Continuous time random walk
4
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Scalas, Enrico
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2
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Journal of empirical finance
Physica A: Statistical Mechanics and its Applications
CESifo Working Paper
17
European journal of operational research : EJOR
16
Journal of economic dynamics & control
13
MPRA Paper
13
Quantitative Finance
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International journal of theoretical and applied finance
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Journal of mathematical economics
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Stochastic Processes and their Applications
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5
CIRANO Working Papers
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International journal of production research
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Journal of economic behavior & organization : JEBO
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematics and Computers in Simulation (MATCOM)
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Mathematics of operations research
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RePEc
33
ECONIS (ZBW)
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1
Bond and option prices with permanent shocks
Zoubi, Haitham al-
- In:
Journal of empirical finance
53
(
2019
),
pp. 272-290
Persistent link: https://www.econbiz.de/10012171645
Saved in:
2
A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen
;
Oehme, Toni
;
Rösch, Daniel
;
Scheule, …
- In:
Journal of empirical finance
47
(
2018
),
pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
Saved in:
3
The exact discretisation of CARMA models with applications in finance
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of empirical finance
38
(
2016
),
pp. 739-761
Persistent link: https://www.econbiz.de/10011663785
Saved in:
4
Correlated
continuous
time
random walk with time averaged waiting time
Lv, Longjin
;
Ren, Fu-Yao
;
Wang, Jun
;
Xiao, Jianbin
- In:
Physica A: Statistical Mechanics and its Applications
422
(
2015
)
C
,
pp. 101-106
In this paper, we study the dynamics of a correlated
continuous
time
random walk with time averaged waiting time. The …
Persistent link: https://www.econbiz.de/10011194031
Saved in:
5
ABC of SV: limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.
;
Kristensen, Dennis
- In:
Journal of empirical finance
31
(
2015
),
pp. 85-108
Persistent link: https://www.econbiz.de/10011489408
Saved in:
6
Generalized diffusion equation and analytical expressions to neutron scattering experiments
Fa, Kwok Sau
- In:
Physica A: Statistical Mechanics and its Applications
415
(
2014
)
C
,
pp. 366-374
An integro-differential diffusion equation with linear force, based on the
continuous
time
random walk model, is …
Persistent link: https://www.econbiz.de/10010939951
Saved in:
7
Short note on the emergence of fractional kinetics
Pagnini, Gianni
- In:
Physica A: Statistical Mechanics and its Applications
409
(
2014
)
C
,
pp. 29-34
and described by the
Continuous
Time
Random Walk model. But, as a consequence of the complexity of the medium, each …
Persistent link: https://www.econbiz.de/10010785358
Saved in:
8
Space–time fractional diffusion equations and asymptotic behaviors of a coupled
continuous
time
random walk model
Shi, Long
;
Yu, Zuguo
;
Mao, Zhi
;
Xiao, Aiguo
;
Huang, Hailan
- In:
Physica A: Statistical Mechanics and its Applications
392
(
2013
)
23
,
pp. 5801-5807
In this paper, we consider a type of
continuous
time
random walk model where the jump length is correlated with the …
Persistent link: https://www.econbiz.de/10010703207
Saved in:
9
Equivalent continuous and discrete realizations of Lévy flights: A model of one-dimensional motion of an inertial particle
Lubashevsky, Ihor
- In:
Physica A: Statistical Mechanics and its Applications
392
(
2013
)
10
,
pp. 2323-2346
generalization of
continuous
time
random walks. To simplify understanding the key points of the technique to be created, our …
Persistent link: https://www.econbiz.de/10011057630
Saved in:
10
An examination of the
continuous-time
dynamics of international volatility indices amid the recent market turmoil
Li, Minqiang
- In:
Journal of empirical finance
22
(
2013
),
pp. 128-139
Persistent link: https://www.econbiz.de/10009768415
Saved in:
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