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person:"McAleer, Michael"
~isPartOf:"Journal of econometrics"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~person:"Chiarella, Carl"
~subject:"Capital income"
~subject:"Option pricing theory"
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Search: subject_exact:"Volatility"
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Capital income
Option pricing theory
Volatility
29
Volatilität
29
Stochastic process
14
Stochastischer Prozess
14
Theorie
14
Theory
14
Estimation
8
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8
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McAleer, Michael
Chiarella, Carl
Todorov, Viktor
12
Bollerslev, Tim
9
Tauchen, George Eugene
7
Andersen, Torben
6
Xiu, Dacheng
6
Kang, Boda
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Asai, Manabu
2
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2
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2
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2
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2
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2
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2
Grynkiv, Iaryna
2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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1
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Journal of econometrics
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
Econometric Institute research papers
10
Discussion paper / Tinbergen Institute
9
Working paper
9
Energy economics
4
The North American journal of economics and finance : a journal of financial economics studies
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International review of economics & finance : IREF
2
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Advances in Pacific Basin financial markets
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Applied Mathematics and Computation, Forthcoming
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Contemporary quantitative finance : essays in honour of Eckhard Platen
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International journal of forecasting
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Journal of travel research : a quarterly publication of the Travel and Tourism Research Association
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University of Technology Sydney Quantitative Finance Research Centre Research Paper
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University of Technology Sydney Quantitative Finance Research Centre Working Paper
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ECONIS (ZBW)
10
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1
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 285-304
Persistent link: https://www.econbiz.de/10013441658
Saved in:
2
Investigating time-efficient methods to price compound options in the Heston Model
Chiarella, Carl
;
Griebsch, Susanne
;
Kang, Boda
-
2013
Persistent link: https://www.econbiz.de/10009744645
Saved in:
3
Representation and numerical approximation of American option prices under Heston stochastic volatility dynamics
Adolfsson, Thomas
;
Chiarella, Carl
;
Ziogas, Andrew
; …
-
2013
Persistent link: https://www.econbiz.de/10009725619
Saved in:
4
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
5
Two stochastic volatility processes : American option pricing
Chiarella, Carl
;
Ziveyi, Jonathan
-
2011
Persistent link: https://www.econbiz.de/10009564619
Saved in:
6
The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl
;
Kang, Boda
;
Meyer, Gunter H.
-
2010
Persistent link: https://www.econbiz.de/10008662205
Saved in:
7
Optimal investment strategies under stochastic volatility : estimation and applications
Chiarella, Carl
;
Hsiao, Chih-ying
-
2010
Persistent link: https://www.econbiz.de/10008663099
Saved in:
8
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu
;
McAleer, Michael
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 251-262
Persistent link: https://www.econbiz.de/10011504522
Saved in:
9
The evaluation of American compound option prices under stochastic volatility using the sparse grid approach
Chiarella, Carl
;
Kang, Boda
-
2009
Persistent link: https://www.econbiz.de/10003857524
Saved in:
10
The representation of American options prices under stochastic volatility and jump-diffusion dynamics
Cheang, Gerald
;
Chiarella, Carl
;
Ziogas, Andrew
-
2009
Persistent link: https://www.econbiz.de/10009233319
Saved in:
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