Similar Search Results

Bayesian estimation of asymmetric jump-diffusion processes

Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010512597

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

Cash mergers and the volatility smile

Bester, C. Alan; Martinez, Victor H.; Rosu, Ioanid - 2018

variables used in the merger literature. As predicted by the model, a graph of the target firm's implied volatility against the …

Persistent link: https://www.econbiz.de/10011951308

Stock price simulation using bootstrap and Monte Carlo

Pažický, Martin - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 155-170

Persistent link: https://www.econbiz.de/10011865983

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

Dynamic asset price jumps and the performance of high frequency tests and measures

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2017

Persistent link: https://www.econbiz.de/10011782238

Parameter estimation of the Heston volatility model with jumps in the asset prices

Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26

mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many … practical scenarios. It is very challenging, however, since the volatility is not directly observable. In this paper, a complete …

Persistent link: https://www.econbiz.de/10014362627