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~institution:"Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>"
~institution:"University of Canterbury / Dept. of Economics and Finance"
~subject:"Option pricing theory"
~subject:"Stochastic process"
~type_genre:"Graue Literatur"
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
University of Canterbury / Dept. of Economics and Finance
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
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2
Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
2011
-
1. version, rev.
Persistent link: https://www.econbiz.de/10009012211
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"True" stochastic volatility and a generalized class of affine models
Collin-Dufresne, Pierre
(
contributor
); …
-
2000
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001522553
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