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Towards a multifractal paradigm of stochastic volatility?
Boitout, Nicolas; Ureche-Rangau, Loredana - In: International journal of theoretical and applied finance 7 (2004) 7, pp. 823-851
Persistent link: https://www.econbiz.de/10002420701
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Multifractal fluctuations in finance
Schmitt, François; Schertzer, Daniel; Lovejoy, Shaun - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 361-364
Persistent link: https://www.econbiz.de/10001522884
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Historical volatility distribution in Gaussian and GARCH (1,1) models
Molgedey, Lutz - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 417
Persistent link: https://www.econbiz.de/10001522909
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Wavelet transforms for the statistical analysis of returns generating stochastic processes
Capobianco, Enrico - In: International journal of theoretical and applied finance 4 (2001) 3, pp. 511-534
Persistent link: https://www.econbiz.de/10001584368
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A threshold model for local volatility : evidence of leverage and mean reversion effects on historical data
Lejay, Antoine; Pigato, Paolo - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-24
Persistent link: https://www.econbiz.de/10012030906
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Volatility inference and return dependencies in stochastic volatility models
Pfante, Oliver; Bertschinger, Nils - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10012019759
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Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747