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Search: subject:"stochastic volatility models"
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Statistische Verteilung
Volatilität
73
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72
Stochastischer Prozess
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69
Stochastic volatility models
56
stochastic volatility models
50
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Stochastic Volatility Models
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option pricing
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Bera, Anil K.
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Bianchi, Michele Leonardo
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Doğan, Osman
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Fabozzi, Frank J.
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Taṣpınar, Süleyman
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Computational economics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Journal of economic dynamics & control
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Journal of empirical finance
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The quarterly journal of finance
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ECONIS (ZBW)
6
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1
Dealing with heterogeneity in panel VARs using sparse finite mixtures
Huber, Florian
-
2018
Persistent link: https://www.econbiz.de/10011871455
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2
Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman
;
Taṣpınar, Süleyman
;
Bera, Anil K.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
5
,
pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
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3
Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
Wan, Xiangwei
;
Yang, Nian
- In:
Journal of economic dynamics & control
125
(
2021
),
pp. 1-37
Persistent link: https://www.econbiz.de/10012666952
Saved in:
4
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
5
Consistent nonparametric specification tests for
stochastic
volatility
models
based on the return distribution
Zu, Yang
;
Boswijk, Herman Peter
- In:
Journal of empirical finance
41
(
2017
),
pp. 53-75
Persistent link: https://www.econbiz.de/10011746959
Saved in:
6
Stochastic
volatility
models
for asset returns with leverage, skewness and heavy-tails via scale mixture
Huang, Jing-Zhi
;
Xu, Li
- In:
The quarterly journal of finance
4
(
2014
)
3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010473521
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