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Derivative pricing with wishart multivariate stochastic volatility
Gouriéroux, Christian; Sufana, Razvan - In: Journal of business & economic statistics : JBES ; a … 28 (2010) 3, pp. 438-451
Persistent link: https://www.econbiz.de/10008736163
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Tilted nonparametric estimation of volatility functions with empirical applications
Xu, Ke-li; Phillips, Peter C. B. - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 518-528
Persistent link: https://www.econbiz.de/10009355632
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Implied volatility spreads and expected market returns
Atilgan, Yigit; Bali, Turan G.; Demirtas, K. Ozgur - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 87-101
Persistent link: https://www.econbiz.de/10011389785
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Beyong stochastic volatility and jumps in returns and volatility
Durham, Garland; Park, Yang-ho - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 1, pp. 107-121
Persistent link: https://www.econbiz.de/10009715069
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Moment-implied densities : properties and applications
Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111
Persistent link: https://www.econbiz.de/10010380476
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Estimating the parameters of stochastic volatility models using option price data
Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594
Persistent link: https://www.econbiz.de/10011403243
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Statistical inference for random-variance option pricing
Pastorello, Sergio; Renault, Eric; Touzi, Nizar - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 358-367
Persistent link: https://www.econbiz.de/10001493867
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Markov switching in GARCH processes and mean-reverting stock-market volatility
Dueker, Michael - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 26-34
Persistent link: https://www.econbiz.de/10001214324
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Identifying jumps in financial assets : a comparison between nonparametric jump tests
Dumitru, Ana-Maria; Urga, Giovanni - In: Journal of business & economic statistics : JBES ; a … 30 (2012) 2, pp. 242-255
Persistent link: https://www.econbiz.de/10009657355
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Learning and index option returns
Bernales, Alejandro; Cortazar, Gonzalo; Salamunic, Luka; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 327-339
Persistent link: https://www.econbiz.de/10012262478