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Testing for threshold diffusion
Su, Fei; Chan, Kung-sik - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 218-227
Persistent link: https://www.econbiz.de/10011704178
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Reducible diffusions with time-varying transformations with application to short-term interest rates
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Economic modelling 52 (2016), pp. 266-277
Persistent link: https://www.econbiz.de/10011645653
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Conditional Gauss-Hermite filtering with application to volatility estimation
Singer, Hermann - 2008
Persistent link: https://www.econbiz.de/10003795449
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Expected a posteriori estimation in financial applications
Mazzoni, Thomas - 2008
Persistent link: https://www.econbiz.de/10003699961
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Functionals associated with gradient stochastic flows and nonlinear SPDEs
Iftimie, Bogdan; Mazurencu Marinescu, Miruna; Vârsan, … - In: Advanced mathematical methods for finance, (pp. 397-415). 2011
Persistent link: https://www.econbiz.de/10008991280
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Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
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Continuous time modelling based on an exact discrete time representation
Chambers, Marcus J.; MacCrorie, J. Roderick; Thornton, … - University of Essex / Department of Economics - 2017
Persistent link: https://www.econbiz.de/10013162724
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Forecasting dirty tanker freight rate index by using stochastic differential equations
Jafari, Hossein; Rahimi, Ghazaleh - In: International journal of financial engineering 5 (2018) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10012028815
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A test for second order stationarity of a multivariate time series
Jentsch, Carsten; Subba Rao, Suhasini - In: Journal of econometrics 185 (2015) 1, pp. 124-161
Persistent link: https://www.econbiz.de/10011339888
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A stochastic recurrence equation approach to stationarity and phi-mixing of a class of nonlinear ARCH models
Blasques, Francisco; Nientker, Marc - 2017
relies on stochastic recurrence equation theory and builds on the work of Bougerol (1993) and Straumann (2005). The … in Markov chain theory, as they require very little from the distribution of the underlying process. Furthermore, they …
Persistent link: https://www.econbiz.de/10011699508