Narrow search
Showing 1 - 10 of 4,985
Cover Image
Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010360896
Cover Image
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344233
Cover Image
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
Cover Image
Comparison of the Korean and US stock markets using continuous-time stochastic volatility models
Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011954453
Cover Image
Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz; Nkurunziza, Sévérien; Liu, Shuangzhe - In: Statistical inference, econometric analysis and matrix …, (pp. 255-270). 2009
Persistent link: https://www.econbiz.de/10003781036
Cover Image
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
Cover Image
Maximum likelihood estimation of stochastic volatility models
Sandmann, Gleb; Koopman, Siem Jan - 1996
Persistent link: https://www.econbiz.de/10000953379
Cover Image
Quasi-maximum likelihood estimation of long-memory stochastic volatility models
Ferraz, Rosemeire O.; Hotta, Luiz K. - In: Brazilian review of econometrics : the review of the … 27 (2007) 2, pp. 225-233
Persistent link: https://www.econbiz.de/10003743610
Cover Image
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
Cover Image
Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2004
In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …
Persistent link: https://www.econbiz.de/10011342558