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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
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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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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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Pairs trading with general state space models
Zhang, Guang - In: Quantitative finance 21 (2021) 9, pp. 1567-1587
Persistent link: https://www.econbiz.de/10012624158
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The interest rate factor in commodity markets
Shu, Haicheng - In: Quantitative finance 21 (2021) 12, pp. 2103-2118
Persistent link: https://www.econbiz.de/10012696821
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A neural network enhanced volatility component model
Zhai, Jia; Cao, Yi; Liu, Xiaoquan - In: Quantitative finance 20 (2020) 5, pp. 783-797
Persistent link: https://www.econbiz.de/10012262620
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Non-linear Gaussian sovereign CDS pricing models
Realdon, Marco - In: Quantitative finance 19 (2019) 2, pp. 191-210
Persistent link: https://www.econbiz.de/10012194648
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The impact of investor sentiment on crude oil market risks : evidence from the wavelet approach
Zhang, Yue-jun; Li, Shu-Hui - In: Quantitative finance 19 (2019) 8, pp. 1357-1371
Persistent link: https://www.econbiz.de/10012194792
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Structural asset pricing theory with wavelets
Housworth, Elizabeth Ann; Walker, Todd B.; Xu, Chen - In: Quantitative finance 19 (2019) 10, pp. 1659-1672
Persistent link: https://www.econbiz.de/10012194814