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Option pricing model biases : Bayesian and Markov Chain Monte Carlo regression analysis
Mozumder, Sharif; Choudhry, Taufiq; Dempsey, Michael - In: Computational economics 57 (2021) 4, pp. 1287-1305
Persistent link: https://www.econbiz.de/10012543312
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Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha; He, Xin-Jiang - In: Computational economics 59 (2022) 3, pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
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Optimal filter approximations for latent long memory stochastic volatility
Yap, Grace Lee Ching - In: Computational economics 56 (2020) 2, pp. 547-568
Persistent link: https://www.econbiz.de/10012272047
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Bayesian testing for leverage effect in stochastic volatility models
Zhang, Jin-Yu; Chen, Zhong-Tian; Li, Yong - In: Computational economics 53 (2019) 3, pp. 1153-1164
Persistent link: https://www.econbiz.de/10012135124
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Option pricing under a stochastic interest rate and volatility model with hidden Markovian regime-switching
Zhu, Dong-Mei; Lu, Jiejun; Ching, Wai Ki; Siu, Tak Kuen - In: Computational economics 53 (2019) 2, pp. 555-586
Persistent link: https://www.econbiz.de/10012134818
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
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Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia; Richard, Jean-François - In: Computational economics 53 (2019) 3, pp. 991-1017
Persistent link: https://www.econbiz.de/10012135106
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Unified approach for the affine and non-affine models : an empirical analysis on the S&P 500 volatility dynamics
Zhu, Shunwei; Wang, Bo - In: Computational economics 53 (2019) 4, pp. 1421-1442
Persistent link: https://www.econbiz.de/10012135302
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Adaptive quadrature for maximum likelihood estimation of a class of dynamic latent variable models
Cagnone, Silvia; Bartolucci, Francesco - In: Computational economics 49 (2017) 4, pp. 599-622
Persistent link: https://www.econbiz.de/10011762141