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Approximating volatility diffusions with CEV-ARCH models
Fornari, Fabio; Mele, Antonio - In: Journal of economic dynamics & control 30 (2006) 6, pp. 931-966
Persistent link: https://www.econbiz.de/10003327657
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Filtering and identification of Heston's stochastic volatility model and its market risk
Aihara, ShinIchi; Bagchi, Arunabha - In: Journal of economic dynamics & control 30 (2006) 12, pp. 2363-2388
Persistent link: https://www.econbiz.de/10003395572
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Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"
Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 36 (2012) 5, pp. 716-718
Persistent link: https://www.econbiz.de/10009554307
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Would the Bundesbank have prevented the Great Inflation in the United States?
Benati, Luca - In: Journal of economic dynamics & control 35 (2011) 7, pp. 1106-1125
Persistent link: https://www.econbiz.de/10009241494
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The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293
Persistent link: https://www.econbiz.de/10009489609
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Robustness of distance-to-default
Jessen, Cathrine; Lando, David - In: Journal of banking & finance 50 (2015), pp. 493-505
Persistent link: https://www.econbiz.de/10010510191
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Pricing currency derivatives under the benchmark approach
Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48
Persistent link: https://www.econbiz.de/10011377682
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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A flexible matrix Libor model with smiles
Da Foncesca, José; Gnoatto, Alessandro; Grasselli, Martino - In: Journal of economic dynamics & control 37 (2013) 4, pp. 774-793
Persistent link: https://www.econbiz.de/10009726178
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Valuation of power options under Heston’s stochastic volatility model
Kim, Jerim; Kim, Bara; Moon, Kyoung-sook; Wee, In-suk - In: Journal of economic dynamics & control 36 (2012) 11, pp. 1796-1813
Persistent link: https://www.econbiz.de/10009701929