Narrow search
Showing 1 - 10 of 528
Cover Image
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Cover Image
Model-based pricing for financial derivatives
Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 187 (2015) 2, pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Cover Image
Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
Cover Image
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of econometrics 122 (2004) 1, pp. 185-212
Persistent link: https://www.econbiz.de/10002136532
Cover Image
Nonlinearities and regimes in conditional correlations with different dynamics
Bauwens, Luc; Otranto, Edoardo - In: Journal of econometrics 217 (2020) 2, pp. 496-522
Persistent link: https://www.econbiz.de/10012482819
Cover Image
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Cover Image
Modeling covariance breakdowns in multivariate GARCH
Jin, Xin; Maheu, John M. - In: Journal of econometrics 194 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011705024
Cover Image
Pricing with finite dimensional dependence
Gouriéroux, Christian; Monfort, Alain - In: Journal of econometrics 187 (2015) 2, pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Cover Image
What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
Cover Image
Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801