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A common jump factor stochastic volatility model
Laurini, Márcio Poletti; Mauad, Roberto Baltieri - In: Finance research letters 12 (2015), pp. 2-10
Persistent link: https://www.econbiz.de/10011551744
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Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
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Bayesian testing for short term interest rate models
Zhang, Yonghui; Chen, Zhongtian; Li, Yong - In: Finance research letters 20 (2017), pp. 146-152
Persistent link: https://www.econbiz.de/10011806836
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Efficient estimation of unconditional capital by Monte Carlo simulation
Ferrer, Alex; Casals, José; Sotoca, Sonia - In: Finance research letters 16 (2016), pp. 75-84
Persistent link: https://www.econbiz.de/10011655082
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Value-at-risk estimation with stochastic interest rate models for option-bond portfolios
Wang, Xiaoyu; Xie, Dejun; Jiang, Jingjing; Wu, Xiaoxia; … - In: Finance research letters 21 (2017), pp. 10-20
Persistent link: https://www.econbiz.de/10011807256
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A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
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Estimation of fixed effects partially linear varying coefficient spatial autoregressive model with disturbances correlated in space and time
Li, Bogui; Chen, Hao - In: Finance research letters 59 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10014445336
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Uncertainty in systemic risks rankings : Bayesian and frequentist analysis
Goldman, Elena - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473601
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Regime switching in the present value models : a backward-solving method
Kim, Jan R.; Chung, Keunsuk - In: Finance research letters 32 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012430760
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A closed-form estimator for the Markov switching in mean model
Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10014495068