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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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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
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Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Todorov, Viktor - In: Journal of econometrics 148 (2009) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10003833752
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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 134 (2006) 2, pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
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Bayesian semiparametric stochastic volatility modeling
Jensen, Mark J.; Maheu, John M. - In: Journal of econometrics 157 (2010) 2, pp. 306-316
Persistent link: https://www.econbiz.de/10008663011
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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
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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
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Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - In: Journal of econometrics 159 (2010) 2, pp. 276-288
Persistent link: https://www.econbiz.de/10008840480
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Stochastic volatility with leverage : fast and efficient likelihood inference
Omori, Yasuhiro; Chib, Siddhartha; Shephard, Neil G.; … - In: Journal of econometrics 140 (2007) 2, pp. 425-449
Persistent link: https://www.econbiz.de/10003569881
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The structure of dynamic correlations in multivariate stochastic volatility models
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 150 (2009) 2, pp. 182-192
Persistent link: https://www.econbiz.de/10003858519