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Stochastic volatility and DSGE models
Andreasen, Martin M. - 2009
Persistent link: https://www.econbiz.de/10003863170
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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003865680
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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard - 2009
Persistent link: https://www.econbiz.de/10003849550
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Multipower variation for Brownian semistationary processes
Barndorff-Nielsen, Ole E.; Corcuera, José Manual; … - 2009
Persistent link: https://www.econbiz.de/10003849554
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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Stochastic volatility
Andersen, Torben; Benzoni, Luca - 2010
Persistent link: https://www.econbiz.de/10003937010
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Testing the local volatility assumption : a statistical approach
Podolskij, Mark; Rosenbaum, Mathieu - 2011
Persistent link: https://www.econbiz.de/10008807427
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Bayesian stochastic model specification search for seasonal and calendar effects
Proietti, Tommaso; Grassi, Stefano - 2011
Persistent link: https://www.econbiz.de/10008841795
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The risk-return tradeoff and leverage effect in a stochastic volatility-in-mean model
Christensen, Bent Jesper; Posedel Šimović, Petra - 2010
Persistent link: https://www.econbiz.de/10008651660