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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
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Beta Observation-Driven Models With Exogenous Regressors : A Joint Analysis of Realized Correlation and Leverage Effects
Gorgi, Paolo - 2020
We consider a general class of observation-driven models with exogenous regressors for double bounded data that are based on the beta distribution. We obtain a stationary and ergodic beta observation-driven process subject to a contraction condition on the stochastic dynamic model equation. We...
Persistent link: https://www.econbiz.de/10012843003
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An expanded Local Variance Gamma model
Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987
Persistent link: https://www.econbiz.de/10012543243