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Essays on market frictions and model misspecification in asset pricing
Seeger, Norman - 2009
Persistent link: https://www.econbiz.de/10003863665
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Statistical arbitrage with stochastic differential equations
Endres, Sylvia - 2018
Persistent link: https://www.econbiz.de/10011961947
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Investment strategies and determinants in capital markets
Grabellus, Markus - 2014
Persistent link: https://www.econbiz.de/10010486731
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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
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Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998
Persistent link: https://www.econbiz.de/10001301445
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Nonlinear risk
Chauvet, Marcelle; Potter, Simon M. - 1999
Persistent link: https://www.econbiz.de/10001398325
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Multivariate stochastic volatility models : estimation and a comparison with VGARCH models
Daníelsson, Jón - In: Journal of empirical finance 5 (1998) 2, pp. 155-173
Persistent link: https://www.econbiz.de/10001374884
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Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222
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Empirical performance of alternative option pricing models
Bakshi, Gurdip S. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 2003-2049
Persistent link: https://www.econbiz.de/10001232333
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A maximum likelihood approach for non-Gaussian stochastic volatility models
Fridman, Moshe - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 284-291
Persistent link: https://www.econbiz.de/10001246512