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Long memory in continuous-time stochastic volatility models

Comte, Fabienne - In: Mathematical finance : an international journal of … 8 (1998) 4, pp. 291-323

Persistent link: https://www.econbiz.de/10001252788

A note on hedging in ARCH and stochastic volatility option pricing models

Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161

Persistent link: https://www.econbiz.de/10001242838

Indirect inference with(out) constraints

Frazier, David T.; Renault, Eric - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 113-159

Indirect Inference (I‐I) estimation of structural parameters θ requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters β. The estimators of the instrumental parameters will encapsulate the...

Persistent link: https://www.econbiz.de/10012202226

Temporal aggregation of volatility models

Meddahi, Nour; Renault, Eric - In: Journal of econometrics 119 (2004) 2, pp. 355-379

Persistent link: https://www.econbiz.de/10001956326

Affine fractional stochastic volatility models

Comte, Fabienne; Coutin, Laure; Renault, Eric - In: Annals of finance 8 (2012) 2/3, pp. 337-378

Persistent link: https://www.econbiz.de/10009548082

Estimation of objective and risk-neutral distributions based on moments of integrated volatility

Garcia, René; Lewis, Marc-André; Pastorello, Sergio; … - In: Journal of econometrics 160 (2011) 1, pp. 22-32

Persistent link: https://www.econbiz.de/10009242563

Statistical inference for random-variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 3, pp. 358-367

Persistent link: https://www.econbiz.de/10001493867

Factor stochastic volatility in mean models : a GMM approach

Doz, Catherine; Renault, Eric - In: Econometric reviews 25 (2006) 2/3, pp. 275-309

Persistent link: https://www.econbiz.de/10003355766