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Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
Huang, Yinzhong; Xiao, Weilin; Yu, Xiaojian - In: Quantitative finance 24 (2024) 10, pp. 1509-1527
Persistent link: https://www.econbiz.de/10015196938
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Higher moments in the fundamental specification of electricity forward prices
Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Quantitative finance 22 (2022) 11, pp. 2063-2078
Persistent link: https://www.econbiz.de/10013490922
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High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.; Mboussa Anga, G. - In: Quantitative finance 22 (2022) 11, pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
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Improving the asymmetric stochastic volatility model with ex-post volatility : the identification of the asymmetry
Zhang, Zehua; Zhao, Ran - In: Quantitative finance 23 (2023) 1, pp. 35-51
Persistent link: https://www.econbiz.de/10013490951
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Path shadowing Monte Carlo
Morel, Rudy; Bouchaud, Jean-Philippe - In: Quantitative finance 24 (2024) 9, pp. 1199-1225
Persistent link: https://www.econbiz.de/10015196880
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Efficient option pricing in the rough Heston model using weak simulation schemes
Bayer, Christian - In: Quantitative finance 24 (2024) 9, pp. 1247-1261
Persistent link: https://www.econbiz.de/10015196883
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Semi-parametric financial risk forecasting incorporating multiple realized measures
Peiris, Rangika; Wang, Chao; Gerlach, Richard; … - In: Quantitative finance 24 (2024) 12, pp. 1823-1837
Persistent link: https://www.econbiz.de/10015196974
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A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios - In: Quantitative finance 18 (2018) 3, pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
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Smoothing the payoff for efficient computation of basket option prices
Bayer, Christian; Siebenmorgen, Markus; Tempone, Raul - In: Quantitative finance 18 (2018) 3, pp. 491-505
Persistent link: https://www.econbiz.de/10011906403
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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