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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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DSGE-SVt : an econometric toolkit for high-dimensional DSGE models with SV and T errors
Chib, Siddhartha; Shin, Minchul; Tan, Fei - In: Computational economics 61 (2023) 1, pp. 69-111
Persistent link: https://www.econbiz.de/10014228405
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Fast and accurate computation of the regime-switching jump-diffusion option prices using laplace transform and compact difference with convergence guarantee
Chen, Yong - In: Computational economics 64 (2024) 1, pp. 57-80
Persistent link: https://www.econbiz.de/10015078003
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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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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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Pricing perpetual American lookback options under stochastic volatility
Lee, Min-Ku - In: Computational economics 53 (2019) 3, pp. 1265-1277
Persistent link: https://www.econbiz.de/10012135129
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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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Forecasting inflation uncertainty in the United States and Euro area
Ftiti, Zied; Jawadi, Fredj - In: Computational economics 54 (2019) 1, pp. 455-476
Persistent link: https://www.econbiz.de/10012134205
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Radial basis functions with partition of unity method for American options with stochastic volatility
Mollapourasl, Reza; Fereshtian, Ali; Vanmaele, Michèle - In: Computational economics 53 (2019) 1, pp. 259-287
Persistent link: https://www.econbiz.de/10012134650
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Pricing swaps on discrete realized higher moments under the lévy process
Zhu, Wenli; Ruan, Xinfeng - In: Computational economics 53 (2019) 2, pp. 507-532
Persistent link: https://www.econbiz.de/10012134734