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Multivariate volatility models
Fengler, Matthias; Herwartz, Helmut; Raters, F. H. C. - In: Applied quantitative finance, (pp. 25-37). 2017
Persistent link: https://www.econbiz.de/10011794951
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Rating migrations
Höse, Steffi; Huschens, Stefan; Wania, Robert - In: Applied quantitative finance, (pp. 105-123). 2009
Persistent link: https://www.econbiz.de/10003746005
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Least squares kernel smoothing of the implied volatility smile
Fengler, Matthias R.; Wang, Qihua - In: Applied quantitative finance, (pp. 193-207). 2009
Persistent link: https://www.econbiz.de/10003746018
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Application of extended Kalman filter to SPD estimation
Hlávka, Zdeněk; Svojik, Marek - In: Applied quantitative finance, (pp. 233-247). 2009
Persistent link: https://www.econbiz.de/10003746408
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Stochastic volatility estimation using Markov chain simulation
Hautsch, Nikolaus; Ou, Yangguoyi - In: Applied quantitative finance, (pp. 249-274). 2009
Persistent link: https://www.econbiz.de/10003746411
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Multivariate volatility models
Fengler, Matthias R.; Herwartz, Helmut - In: Applied quantitative finance, (pp. 313-326). 2009
Persistent link: https://www.econbiz.de/10003746416