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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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Wavelet estimation performance of fractional integrated processes with heavy-tails
Boubaker, Heni - In: Computational economics 55 (2020) 2, pp. 473-498
Persistent link: https://www.econbiz.de/10012223642
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A testing procedure for constant parameters in stochastic volatility models
Hoyo, Juan del; Llorente, Guillermo; Rivero, Carlos - In: Computational economics 56 (2020) 1, pp. 163-186
Persistent link: https://www.econbiz.de/10012272023
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Simulation solution to a two-dimensional mortgage refinancing problem
Xie, Dejun; Zhang, Nan; Edwards, David A. - In: Computational economics 52 (2018) 2, pp. 479-492
Persistent link: https://www.econbiz.de/10012052963
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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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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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 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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A practical Monte Carlo method for pricing equity‑linked securities with time‑dependent volatility and interest rate
Kim, Sangkwon; Lyu, Jisang; Lee, Wonjin; Park, Eunchae; … - In: Computational economics 63 (2024) 5, pp. 2069-2086
Persistent link: https://www.econbiz.de/10014550869
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Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao; Wang, Xiaoqun - In: Computational economics 62 (2023) 1, pp. 325-360
Persistent link: https://www.econbiz.de/10014327500