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Search: subject:"Constant Elasticity of Volatility"
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Nonstandard distribution
4
Box-Cox transformation
3
Brownian Motion
3
Constant Elasticity of Volatility
3
Constant elasticity of volatility
3
Mean Reversion
3
Efficient importance sampler
2
Box–Cox transformation
1
Brownian motion
1
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Free
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English
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Huang, Jian
4
Kobayashi, Masahito
4
McAleer, Michael
4
KLEPPE, Tore Selland
1
Kleppe, Tore Selland
1
SKAUG, Hans J.
1
Skaug, Hans J.
1
YU, Jun
1
Yu, Jun
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School of Economics, Singapore Management University
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Department of Economics and Finance, College of Business and Economics
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Institute of Economic Research, Kyoto University
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Working Papers / School of Economics, Singapore Management University
2
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Mathematics and Computers in Simulation (MATCOM)
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Working Papers in Economics
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RePEc
6
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1
Testing the Box-Cox Parameter for an Integrated Process
McAleer, Michael
;
Huang, Jian
;
Kobayashi, Masahito
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
This paper analyses the
constant
elasticity
of
volatility
(CEV) model suggested by Chan et al. (1992). The CEV model …
Persistent link: https://www.econbiz.de/10009141349
Saved in:
2
Testing the Box-Cox Parameter for an Integrated Process
Huang, Jian
;
Kobayashi, Masahito
;
McAleer, Michael
-
Institute of Economic Research, Kyoto University
-
2010
This paper analyses the
constant
elasticity
of
volatility
(CEV) model suggested by Chan et al. (1992). The CEV model …
Persistent link: https://www.econbiz.de/10008763554
Saved in:
3
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
KLEPPE, Tore Selland
;
YU, Jun
;
SKAUG, Hans J.
-
School of Economics, Singapore Management University
-
2009
stochastic volatility model with the
constant
elasticity
of
volatility
. The approach do not require observations on option prices …
Persistent link: https://www.econbiz.de/10008521816
Saved in:
4
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
Kleppe, Tore Selland
;
Skaug, Hans J.
;
Yu, Jun
-
School of Economics, Singapore Management University
-
2009
stochastic volatility model with the
constant
elasticity
of
volatility
. The approach do not require observations on option prices …
Persistent link: https://www.econbiz.de/10010561669
Saved in:
5
Testing for the Box–Cox parameter for an integrated process
Huang, Jian
;
Kobayashi, Masahito
;
McAleer, Michael
- In:
Mathematics and Computers in Simulation (MATCOM)
83
(
2012
)
C
,
pp. 1-9
This paper analyses the
constant
elasticity
of
volatility
(CEV) model suggested by Chan et al. [K.C. Chan, G.A. Karolyi …
Persistent link: https://www.econbiz.de/10010870679
Saved in:
6
Testing the Box-Cox Parameter for an Integrated Process
Huang, Jian
;
Kobayashi, Masahito
;
McAleer, Michael
-
Department of Economics and Finance, College of …
-
2010
This paper analyses the
constant
elasticity
of
volatility
(CEV) model suggested by Chan et al. (1992). The CEV model …
Persistent link: https://www.econbiz.de/10008765702
Saved in:
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