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Multi-factor Cox-Ingersoll-Ross models of the term structure : estimates and tests from a Kalman filter model
Chen, Ren-Raw; Scott, Louis O. - In: The journal of real estate finance and economics 27 (2003) 2, pp. 143-172
Persistent link: https://www.econbiz.de/10001788887
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Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates
Chen, Ren-Raw - In: The journal of fixed income 3 (1993) 3, pp. 14-31
Persistent link: https://www.econbiz.de/10001157476
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Stock price changes with random volatility and jumps : some empirical evidence
Scott, Louis O. - In: The quarterly review of economics and business : … 29 (1989) 1, pp. 21-32
Persistent link: https://www.econbiz.de/10001099846
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Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates : applications of Fourier inversion methods
Scott, Louis O. - In: Mathematical finance : an international journal of … 7 (1997) 4, pp. 413-426
Persistent link: https://www.econbiz.de/10001232775
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Do prices reflect market fundamentals in real estate markets?
Scott, Louis O. - In: The journal of real estate finance and economics 3 (1990) 1, pp. 5-23
Persistent link: https://www.econbiz.de/10001106188
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Stock prices and market fundamentals in a consumption-based capital-asset-pricing model
Scott, Louis O. - In: Advances in quantitative analysis of finance and … 1 (1991), pp. 45-69
Persistent link: https://www.econbiz.de/10001112445
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Risk premia and the variation of stock index futures
Scott, Louis O. - In: Advances in futures and options research : a research annual 1 (1986), pp. 215-234
Persistent link: https://www.econbiz.de/10001339376
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Option pricing when the variance changes randomly : theory, estimation, and an application
Scott, Louis O. - In: Journal of financial and quantitative analysis : JFQA 22 (1987) 4, pp. 419-438
Persistent link: https://www.econbiz.de/10001043904
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Random-variance option pricing : empirical tests of the model and delta-sigma hedging
Scott, Louis O. - In: Advances in futures and options research : a research annual 5 (1991), pp. 113-135
Persistent link: https://www.econbiz.de/10001123293
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Sources of credit risk : evidence from credit default swaps
Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21
Persistent link: https://www.econbiz.de/10003422016