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Speculative behavior in a housing market : boom and bust

Zheng, Min; Wang, Hefei; Wang, Chengzhang; Wang, Shouyang - In: Economic modelling 61 (2017), pp. 50-64

Persistent link: https://www.econbiz.de/10011736700

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103

Persistent link: https://www.econbiz.de/10011973926

Forecasting stock market volatility under parameter and model uncertainty

Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: Research in international business and finance 66 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014463139

Spreading of cross-market volatility information : evidence from multiplex network analysis of volatility spillovers

Gong, Jue; Wang, Gang-Jin; Zhou, Yang; Zhu, You; Chi, Xie; … - In: Journal of international financial markets, … 83 (2023), pp. 1-27

Persistent link: https://www.econbiz.de/10014306328

Portfolio choice with market closure and implications for liquidity premia

Dai, Min; Li, Peifan; Liu, Hong; Wang, Yajun - In: Management science : journal of the Institute for … 62 (2016) 2, pp. 368-386

Persistent link: https://www.econbiz.de/10011446196

Calibration of stochastic volatility models : a Tikhonov regularization approach

Dai, Min; Tang, Ling; Yue, Xingye - In: Journal of economic dynamics & control 64 (2016), pp. 66-81

Persistent link: https://www.econbiz.de/10011708221

A dynamic mean-variance analysis for log returns

Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108

Persistent link: https://www.econbiz.de/10012505370

Calibration of Stochastic Volatility Models : An Optimal Control Approach

Dai, Min - 2012

We aim to calibrate stochastic volatility models from option prices. We develop an optimal control approach to recover the risk neutral drift term of stochastic volatility. An efficient numerical algorithm is given. Numerical results and empirical studies are presented to demonstrate our...

Persistent link: https://www.econbiz.de/10013110342