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Asymptotically distribution-free tests for the volatility function of a diffusion
Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144
Persistent link: https://www.econbiz.de/10011326801
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437483
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Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging
Gonzato, Luca; Sgarra, Carlo - In: Energy economics 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012939406
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A non-parametric estimator for stochastic volatility density
Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367
Persistent link: https://www.econbiz.de/10012655445
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Estimating stochastic volatility with jumps and asymmetry in Asian markets
Saranya, K.; Prasanna, P. Krishna - In: Finance research letters 25 (2018), pp. 145-153
Persistent link: https://www.econbiz.de/10012003495
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Jump and variance risk premia in the S&P 500
Neumann, Maximilian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 69 (2016), pp. 72-83
Persistent link: https://www.econbiz.de/10011635040
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Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66
Persistent link: https://www.econbiz.de/10014474576
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Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Fernandes, Mário Correia; Dias, José Carlos; Nunes, … - In: The journal of futures markets 44 (2024) 3, pp. 343-383
Persistent link: https://www.econbiz.de/10014475488
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112