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Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
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The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei; Ihnatiuk, Vitalii; Chen, Yu; Lin, Jiahe; … - In: Quantitative finance 24 (2024) 5, pp. 545-568
Persistent link: https://www.econbiz.de/10014552104