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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices

Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75

Persistent link: https://www.econbiz.de/10011389699

Long memory of financial time series and hidden Markov models with time‐varying parameters

Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Journal of forecasting 36 (2017) 8, pp. 989-1002

Persistent link: https://www.econbiz.de/10011860941

Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018

Persistent link: https://www.econbiz.de/10012583570

A simple efficient moment-based estimator for the stochastic volatility model

Ahsan, Nazmul; Dufour, Jean-Marie - 2019

Persistent link: https://www.econbiz.de/10012244154

Optimal filter approximations for latent long memory stochastic volatility

Yap, Grace Lee Ching - In: Computational economics 56 (2020) 2, pp. 547-568

Persistent link: https://www.econbiz.de/10012272047

Multivariate Stochastic Volatility Models with Correlated Errors

Chan, David X. - 2008

stochastic volatility model. Since the number of parameters in the joint correlation matrix of the return and volatility errors …

Persistent link: https://www.econbiz.de/10012727256

Simple estimators and inference for higher-order stochastic volatility models

Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197

Persistent link: https://www.econbiz.de/10013275370

Modeling share returns : an empirical study on the Variance Gamma model

Rathgeber, Andreas W.; Stadler, Johannes; Stöckl, Stefan - In: Journal of economics and finance 40 (2016) 4, pp. 653-682

Persistent link: https://www.econbiz.de/10011659065

Parameter estimation methods of required rate of return on stock

Gankhuu, Battulga - In: International journal of theoretical and applied … 26 (2023) 8, pp. 1-37

Persistent link: https://www.econbiz.de/10014500270

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942