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Estimation of Jump-Diffusion P...
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Estimation of jump-diffusion processes via empirical characteristic functions
Rockinger, Michael
(
contributor
); …
-
2005
Persistent link: https://www.econbiz.de/10003074581
Saved in:
2
Estimation of Jump-Diffusion Processes Via Empirical Characteristic Functions
Rockinger, Michael
-
2006
This article proposes an estimation procedure for the affine stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint (here bi-variate) unconditional characteristic function for the stochastic process for which we...
Persistent link: https://www.econbiz.de/10012735174
Saved in:
3
Market discipline and banking system transparency : do we need more information?
Semenova, Maria
- In:
Journal of banking regulation
13
(
2012
)
3
,
pp. 241-248
Persistent link: https://www.econbiz.de/10009670462
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4
Save or borrow – what determines Russian households’ financial strategies?
Semenova, Maria
-
2011
Persistent link: https://www.econbiz.de/10009374157
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5
What jump process to use to model S&P500 Returns?
Semenova, Maria
(
contributor
)
-
2006
Persistent link: https://www.econbiz.de/10003370382
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6
Information sharing in credit markets : incentives for incorrect information reporting ; symposium paper
Semenova, Maria
- In:
Comparative economic studies
50
(
2008
)
3
,
pp. 381-415
Persistent link: https://www.econbiz.de/10003752644
Saved in:
7
Do smart depositors avoid inefficient bank runs? : an experimental study
Semenova, Maria
- In:
Emerging markets, finance and trade : EMFT
59
(
2023
)
8
,
pp. 2710-2726
Persistent link: https://www.econbiz.de/10014321026
Saved in:
8
User's guide
Jondeau, Eric
;
Rockinger, Michael
- In:
Journal of economic dynamics & control
27
(
2003
)
10
,
pp. 1739-1742
Persistent link: https://www.econbiz.de/10001755419
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9
Determinants of capital flows to mutual funds
Rockinger, Michael
-
1995
Persistent link: https://www.econbiz.de/10000930664
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10
Market disciplines in the interbank market : evidence from Russia
Andrievskaya, Irina
;
Semenova, Maria
- In:
Eastern European economics
53
(
2015
)
2
,
pp. 69-98
Persistent link: https://www.econbiz.de/10011373084
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