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~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of mathematical finance"
~isPartOf:"Quantitative finance"
~subject:"Black-Scholes-Modell"
~subject:"Derivat"
~subject:"Estimation theory"
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Black-Scholes-Modell
Derivat
Estimation theory
Stochastic process
475
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475
Volatility
231
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231
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186
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Todorov, Viktor
7
Tauchen, George Eugene
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Zakoïan, Jean-Michel
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Li, Jia
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Park, Joon Y.
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1
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1
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1
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Journal of econometrics
Journal of mathematical finance
Quantitative finance
International journal of theoretical and applied finance
85
Applied mathematical finance
36
European journal of operational research : EJOR
29
The journal of computational finance
28
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
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SFB 649 discussion paper
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Finance research letters
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Research paper series / Swiss Finance Institute
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Durham, Garland B.
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 273-305
Persistent link: https://www.econbiz.de/10003354577
Saved in:
2
Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
Andrews, Donald W. K.
;
Lieberman, Offer
;
Marmer, Vadim
- In:
Journal of econometrics
133
(
2006
)
2
,
pp. 673-702
Persistent link: https://www.econbiz.de/10003359623
Saved in:
3
Econometric specification of stochastic discount factor models
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
136
(
2007
)
2
,
pp. 509-530
Persistent link: https://www.econbiz.de/10003412662
Saved in:
4
Nonparametric estimation for a class of Lévy processes
Chen, Song Xi
;
Delaigle, Aurore
;
Hall, Peter
- In:
Journal of econometrics
157
(
2010
)
2
,
pp. 257-271
Persistent link: https://www.econbiz.de/10008663024
Saved in:
5
Adaptive estimation of the dynamics of a discrete time stochastic volatility model
Comte, Fabienne
;
Lacour, C.
;
Rozenholc, Y.
- In:
Journal of econometrics
154
(
2010
)
1
,
pp. 42-73
Persistent link: https://www.econbiz.de/10003931786
Saved in:
6
Efficient estimation of a multivariate multiplicative volatility model
Hafner, Christian M.
;
Linton, Oliver
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 55-73
Persistent link: https://www.econbiz.de/10008839940
Saved in:
7
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
8
On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael
;
Fadugba, Sunday Emmanuel
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
Saved in:
9
Prediction of stock price movement using continuous time models
Sonono, Masimba E.
;
Mashele, Hopolang P.
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
Saved in:
10
On asymptotic behaviors of exponential hedging in the basis-risk model
Takino, Kazuhiro
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
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