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Maximum likelihood estimation of continuous time stochastic volatility models with partially observed GARCH
Niu, Wei-fang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 4, pp. 421-438
Persistent link: https://www.econbiz.de/10009787977
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Warrant pricing under GARCH diffusion model
Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244
Persistent link: https://www.econbiz.de/10009673781
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GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of econometrics 177 (2013) 1, pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
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Exponential-type GARCH models with linear-in-variance risk premium
Hafner, Christian M.; Kyriakopoulou, Dimitra - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 589-603
Persistent link: https://www.econbiz.de/10012499104
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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Prediction of stock price movement using continuous time models
Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
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Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344233
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Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - In: Annals of financial economics 10 (2015) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011408524
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Explicit formulae for parameters of stochastic models of a discounted equity index using maximum likelihood estimation with applications
Fergusson, K. - In: Annals of financial economics 12 (2017) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10011716156
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Likelihood inference for a COGARCH process using sequential Monte Carlo
Wee, Damien C.H.; Chen, Feng; Dunsmuir, William T.M. - In: Journal of financial econometrics 17 (2019) 2, pp. 229-253
Persistent link: https://www.econbiz.de/10012054439