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How crashes develop : intradaily volatility and crash evolution
Bates, David S. - 2016
Persistent link: https://www.econbiz.de/10011451109
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Maximum likelihood estimation of stochastic volatility models
Aït-Sahalia, Yacine; Kimmel, Robert - 2004
Persistent link: https://www.econbiz.de/10002125925
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001
Persistent link: https://www.econbiz.de/10001615265
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Stochastic regime switching and stabilizing policies within regimes
Lewis, Karen K. - 1995
Persistent link: https://www.econbiz.de/10000922524
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A multifactor, nonlinear, continuous-time model of interest rate volatility
Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - 1999
Persistent link: https://www.econbiz.de/10001394312
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Term structure of uncertainty in the macroeconomy
Borovička, Jaroslav; Hansen, Lars Peter - 2016
Persistent link: https://www.econbiz.de/10011515377
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Exchange rate dynamics under stochastic regime shifts : a unified approach
Froot, Kenneth; Obstfeld, Maurice - 1989
Persistent link: https://www.econbiz.de/10000761140
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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010360896
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Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
Chacko, George; Viceira, Luis M. - 1999
Persistent link: https://www.econbiz.de/10001417317
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Regime-switching and the estimation of multifractal processes
Calvet, Laurent E.; Fisher, Adlai - 2003
Persistent link: https://www.econbiz.de/10001774916