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Local parametric estimation in high frequency data
Potiron, Yoann; Mykland, Per A. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?
Fan, Jianqing; Imerman, Michael B.; Dai, Wei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 519-535
Persistent link: https://www.econbiz.de/10011692397
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A stochastic volatility model with realized measures for option pricing
Bormetti, Giacomo; Casarin, Roberto; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 856-871
Persistent link: https://www.econbiz.de/10012313375
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Nonparametric option pricing with generalized entropic estimators
Almeida, Caio; Freire, Gustavo; Azevedo, Rafael; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1173-1187
Persistent link: https://www.econbiz.de/10014448595
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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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Flexible modeling of dependence in volatility processes
Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
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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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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model
Li, Mengheng; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 285-301
Persistent link: https://www.econbiz.de/10012804111
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Identification of structural vector autoregressions by stochastic volatility
Bertsche, Dominik; Braun, Robin - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 328-341
Persistent link: https://www.econbiz.de/10012804115
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The evolving impact of global, region-specific, and country-specific uncertainty
Mumtaz, Haroon; Musso, Alberto - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 466-481
Persistent link: https://www.econbiz.de/10012499092