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Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.; Stentoft, Lars - 2010
Persistent link: https://www.econbiz.de/10003963064
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The value of multivariate model sophistication : an application to pricing Dow Jones industrial average options
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012
Persistent link: https://www.econbiz.de/10009485768
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A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; … - 2015
Persistent link: https://www.econbiz.de/10010514600
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Thresholds and smooth transitions in vector autoregressive models
Hubrich, Kirstin; Teräsvirta, Timo - 2013
Persistent link: https://www.econbiz.de/10009751844
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On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes
Christensen, Kim; Podolskij, Mark; Vetter, Mathias - 2011
Persistent link: https://www.econbiz.de/10009413031
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Generalized forecast error variance decomposition for linear and nonlinear multivariate models
Lanne, Markku; Nyberg, Henri - 2014
Persistent link: https://www.econbiz.de/10010358974
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Simulation of multivariate diffusion bridges
Bladt, Mogens; Finch, Samuel; Sørensen, Michael - 2014
Persistent link: https://www.econbiz.de/10010350969
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Four Australian banks and the multivariate time-varying smooth transition correlation GARCH model
Hall, Anthony D.; Silvennoinen, Annastiina; … - 2021
Persistent link: https://www.econbiz.de/10012815962
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - 2022
Persistent link: https://www.econbiz.de/10012816369