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Stochastic volatility in the Spanish stock market : a long memory model with a structural break
Gil-Alaña, Luis A.; Cuñado Eizaguirre, Juncal; Perez … - In: The European journal of finance 14 (2008) 1/2, pp. 23-31
Persistent link: https://www.econbiz.de/10003744669
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Stochastic volatility and GARCH : a comparison based on UK stock data
Pederzoli, Chiara - In: The European journal of finance 12 (2006) 1, pp. 41-59
Persistent link: https://www.econbiz.de/10003305243
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Stochastic volatility and time-varying country risk in emerging markets
Johansson, Anders C. - In: The European journal of finance 15 (2009) 3/4, pp. 337-363
Persistent link: https://www.econbiz.de/10003875461
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Estimating stochastic volatility models using integrated nested Laplace approximations
Martino, Sara; Aas, Kjersti; Lindqvist, Ola; Neef, Linda R. - In: The European journal of finance 17 (2011) 7/8, pp. 487-503
Persistent link: https://www.econbiz.de/10009509861
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Modeling electricity spot prices : combining mean reversion, spikes, and stochastic volatility
Mayer, Klaus; Schmid, Thomas; Weber, Florian - In: The European journal of finance 21 (2015) 4/6, pp. 292-315
Persistent link: https://www.econbiz.de/10010528197
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Forecasting variance using stochastic volatility and GARCH
Hansson, Björn A.; Hördahl, Peter - In: The European journal of finance 11 (2005) 1, pp. 33-57
Persistent link: https://www.econbiz.de/10002812475
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Implied volatilities, stochastic interest rates, and currency futures, options valuation : an empirical investigation
Bhargava, Vivek; Brooks, Robert; Malhotra, Davinder Kumar - In: The European journal of finance 7 (2001) 3, pp. 231-246
Persistent link: https://www.econbiz.de/10001603503
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Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Bonaccolto, G.; Caporin, Massimiliano; Zambon, N. - In: The European journal of finance 27 (2021) 11, pp. 1098-1116
Persistent link: https://www.econbiz.de/10012609265
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Pricing derivatives with modeling CO2 emission allowance using a regime-switching jump diffusion model : with regime-switching risk premium
Li, Chang-Yi; Chen, Son-nan; Lin, Shih-kuei - In: The European journal of finance 22 (2016) 10/12, pp. 887-908
Persistent link: https://www.econbiz.de/10011715220
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Multivariate asset models using Lévy processes and applications
Ballotta, Laura; Bonfiglioli, Efrem - In: The European journal of finance 22 (2016) 13/15, pp. 1320-1350
Persistent link: https://www.econbiz.de/10011715430