Narrow search
Showing 1 - 10 of 11,540
Cover Image
Tools and techniques
Aït-Sahalia, Yacine (ed.); Hansen, Lars Peter (ed.) - 2010
Persistent link: https://www.econbiz.de/10003898678
Cover Image
The Heston stochastic volatility model for single assets and for asset portfolios: parameter estimation and an application to the Italian financial market
Ballestra, Luca Vincenzo; Ferri, Roberto; Pacelli, Graziella - In: The international journal of business and finance … 1 (2007) 2, pp. 11-23
Persistent link: https://www.econbiz.de/10003955535
Cover Image
The Heston Stochastic Volatility Model for Single Assets and for Asset Portfolios : Parameter Estimation and an Application to the Italian Financial Market
Ballestra, Luca Vincenzo - 2010
We investigate the performance of the Heston stochastic volatility model in describing the probability distribution of …
Persistent link: https://www.econbiz.de/10013148476
Cover Image
Sparse Bayesian time-varying covariance estimation in many dimensions
Kastner, Gregor - In: Journal of econometrics 210 (2019) 1, pp. 98-115
Persistent link: https://www.econbiz.de/10012303382
Cover Image
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Abadir, Karim Maher - In: The econometrics journal 26 (2023) 1, pp. 88-104
Persistent link: https://www.econbiz.de/10013543279
Cover Image
Asset Allocation und Prognoseunsicherheit : Die Berücksichtigung von Schätzfehlern in der strategischen und taktischen Asset Allocation
Herold, Ulf - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001916089
Cover Image
Forecasting with judgment
Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 4, pp. 553-563
Persistent link: https://www.econbiz.de/10003913446
Cover Image
On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression
Dufour, Jean-Marie; Valéry, Pascale - 2006
Persistent link: https://www.econbiz.de/10003331387
Cover Image
Volatility forecasting : the jumps do matter
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - 2008
Persistent link: https://www.econbiz.de/10003825606
Cover Image
Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562