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VAR model
Volatility
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9
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9
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Finance and stochastics
International journal of theoretical and applied finance
42
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International journal of forecasting
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Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models
Marie, Nicolas
- In:
Finance and stochastics
27
(
2023
)
1
,
pp. 97-126
Persistent link: https://www.econbiz.de/10013489500
Saved in:
2
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
3
On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.
;
Pergamenščikov, Sergej M.
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
Saved in:
4
Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Hambly, Ben
;
Kolliopoulos, Nikolaos
- In:
Finance and stochastics
24
(
2020
)
3
,
pp. 757-794
Persistent link: https://www.econbiz.de/10012518096
Saved in:
5
Affine forward variance models
Gatheral, Jim
;
Keller-Ressel, Martin
- In:
Finance and stochastics
23
(
2019
)
3
,
pp. 501-533
Persistent link: https://www.econbiz.de/10012023754
Saved in:
6
The Jacobi stochastic volatility model
Ackerer, Damien
;
Filipović, Damir
;
Pulido, Sergio
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 667-700
Persistent link: https://www.econbiz.de/10011945894
Saved in:
7
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
- In:
Finance and stochastics
21
(
2017
)
4
,
pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
Saved in:
8
Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre
;
Lorig, Matthew
;
Sircar, Kaushik Ronnie
- In:
Finance and stochastics
20
(
2016
)
3
,
pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
Saved in:
9
Shifting martingale measures and the birth of a bubble as a submartingale
Biagini, Francesca
;
Föllmer, Hans
;
Nedelcu, Sorin
- In:
Finance and stochastics
18
(
2014
)
2
,
pp. 297-326
Persistent link: https://www.econbiz.de/10010340747
Saved in:
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