SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Stochastic Differential Equations
0 references·16 citing·55 second hopsampled
Stochastic Differential Equations (1990)Stochastic Differential EquationsFunctional Itô calculus (2019)Functional Itô calculusExploring the sources of default clustering (2018)Exploring the sources of defa…Time Dependent Heston Model (2010)Time Dependent Heston ModelRare Disasters and Risk Sharing with Heterogeneous Beliefs (2010)Rare Disasters and Risk Shari…Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading (2010)Multivariate Realised Kernels…Measuring Downside Risk - Realised Semivariance (2008)Measuring Downside Risk - Rea…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Liquidity premia in dynamic bargaining markets (2007)Liquidity premia in dynamic b…Leaning Against the Wind (2007)Leaning Against the WindOptimal Control and Hedging of Operations in the Presence of Financial Markets (2006)Optimal Control and Hedging o…Optimal Liquidity Trading (2005)Optimal Liquidity TradingMulti-Period Corporate Failure Prediction with Stochastic Covariates (2005)Multi-Period Corporate Failur…Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2004)Designing Realised Kernels to…Securities Lending, Shorting, and Pricing (2002)Securities Lending, Shorting,…Modeling Sovereign Yield Spreads: A Case Study of Russian Debt (2001)Modeling Sovereign Yield Spre…Designing realised kernels to measure the ex-post variation of equity prices in the presence of noiseDesigning realised kernels to…Continuous Auctions and Insider Trading (1985)Stochastic Differential Equations (2003)Stochastic Integration and Differential Equations (2005)Intraday Patterns in the Cross‐section of Stock Returns (2010)THE COST OF ILLIQUIDITY AND ITS EFFECTS ON HEDGING (2010)Optimal Portfolio Liquidation with Limit Orders (2012)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Forecasting the volatility of crude oil futures using intraday data (2014)Forecasting volatility of the U.S. oil market (2014)Geopolitical risk uncertainty and oil future volatility: Evidence from MIDAS models (2019)The Bargaining Problem (1950)Noise Trader Risk in Financial Markets (1990)The Limits of Arbitrage (1995)Efficiency and the Bear: Short Sales and Markets around the World (2003)Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets (2003)Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility (2007)The Econometrics of Financial Markets (1997)Realised Kernels in Practice: Trades and Quotes (2008)Jumps and betas: A new framework for disentangling and estimating systematic risks (2009)The Econometrics of Financial Markets (2012)Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data (2015)Prices of State-Contingent Claims Implicit in Option Prices (1978)Rare Disasters and Asset Markets in the Twentieth Century* (2006)Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?* (2011)Crash Sensitivity and Cross-Section of Expected Stock Returns (2016)Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016)Natural disasters and risk aversion (2020)The Cost of Transacting (1968)Bank Runs, Deposit Insurance, and Liquidity (1983)Liquidity in Asset Markets With Search Frictions (2009)Liquidity: A New Monetarist Perspective (2017)When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Common risk factors in the returns on stocks and bonds (1993)Search and endogenous concentration of liquidity in asset markets (2006)Asset prices and liquidity in an exchange economy (2010)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Systemic Risk: What Defaults Are Telling Us (2009)Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk (2011)Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market (2021)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Change of variable formulas for non-anticipative functionals on path space (2010)Functional Itô calculus and stochastic integral representation of martingales (2013)On viscosity solutions of path dependent PDEs (2014)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008)Bootstrapping Realized Volatility (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2007Leaning Against the Wind284 cited
  • 2008Measuring Downside Risk - Realised Semivariance261 cited
  • 2019Functional Itô calculus257 cited
  • 2018Exploring the sources of default clustering243 cited
  • 2005Optimal Liquidity Trading211 cited
  • 2002Securities Lending, Shorting, and Pricing200 cited
  • 2007Liquidity premia in dynamic bargaining markets184 cited
  • n.d.Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise184 cited
  • 2010Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading179 cited
  • 2010Rare Disasters and Risk Sharing with Heterogeneous Beliefs171 cited
  • 2005Multi-Period Corporate Failure Prediction with Stochastic Covariates164 cited
  • 2010Time Dependent Heston Model160 cited
  • 2001Modeling Sovereign Yield Spreads: A Case Study of Russian Debt146 cited
  • 2007On the structure of general mean-variance hedging strategies142 cited
  • 2006Optimal Control and Hedging of Operations in the Presence of Financial Markets

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

123 cited
  • 2004Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise112 cited