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subject:"Stochastischer Prozess"
subject:"Volatility"
~isPartOf:"European journal of operational research : EJOR"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~person:"Dark, Jonathan Graeme"
~person:"Elliott, Robert J."
~person:"Fonseca, José da"
~subject:"Cointegration"
~subject:"Empirical Characteristic Function"
~subject:"Estimation"
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Stochastischer Prozess
Volatility
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Empirical Characteristic Function
Estimation
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Dark, Jonathan Graeme
Elliott, Robert J.
Fonseca, José da
Kumbhakar, Subal
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European journal of operational research : EJOR
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Oberwolfach
1
The European journal of finance
1
The econometrics journal
1
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Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
European journal of operational research : EJOR
247
(
2015
)
3
,
pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
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2
Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
18
(
2014
)
3
,
pp. 253-289
Persistent link: https://www.econbiz.de/10010384289
Saved in:
3
Estimation of time varying skewness and kurtosis with an application to value at risk
Dark, Jonathan Graeme
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
14
(
2010
)
2
,
pp. 1-48
Persistent link: https://www.econbiz.de/10009514124
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