Specification and estimation of discrete time quadratic stochastic volatility models
Year of publication: |
2007
|
---|---|
Authors: | Kawakatsu, Hiroyuki |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 14.2007, 3, p. 424-442
|
Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | CAPM |
-
Option smiling when investors' estimates of asset volatility disagree
Lin, Chien-chih, (2014)
-
Stentoft, Lars, (2020)
-
Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh, (2020)
- More ...
-
Information in daily data volatility measurements
Kawakatsu, Hiroyuki, (2020)
-
Jointly modeling autoregressive conditional mean and variance of non-negative valued time series
Kawakatsu, Hiroyuki, (2019)
-
Population composition and financial markets : evidence from Japan
Kawakatsu, Hiroyuki, (2018)
- More ...