COMPUTATION OF VOLATILITY IN STOCHASTIC VOLATILITY MODELS WITH HIGH FREQUENCY DATA
Year of publication: |
2010
|
---|---|
Authors: | BARUCCI, EMILIO ; MANCINO, MARIA ELVIRA |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 05, p. 767-787
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Stochastic volatility | Fourier analysis | volatility of volatility | leverage component |
-
Toscano, Giacomo, (2024)
-
Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method
Alghalith, Moawia, (2016)
-
The skewness risk premium in equilibrium and stock return predictability
Sasaki, Hiroshi, (2016)
- More ...
-
Computation of volatility in stochastic volatility models with high frequency data
Barucci, Emilio, (2010)
-
The price-volatility feedback rate : an implementable mathematical indicator of market stability
Barucci, Emilio, (2003)
-
A comparison result for FBSDE with applications to decisions theory
Antonelli, Fabio, (2001)
- More ...