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Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
Gallant, A. Ronald; Hsu, Chiente; Tauchen, George Eugene - In: The review of economics and statistics 81 (1999) 4, pp. 617-631
Persistent link: https://www.econbiz.de/10001437376
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On the normal inverse Gaussian stochastic volatility model
Andersson, Jonas - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 1, pp. 44-54
Persistent link: https://www.econbiz.de/10001543442
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A one-factor volatility smile model with closed-form solutions for European options
Li, Anlong - In: European financial management : the journal of the … 5 (1999) 2, pp. 203-222
Persistent link: https://www.econbiz.de/10001415279
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Estimation of continuous-time processes via the empirical characteristic function
Jiang, George J.; Knight, John L. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 198-212
Persistent link: https://www.econbiz.de/10001660376
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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Hyperbolic process in finance
Bibby, Bo Martin; Sørensen, Michael - In: Handbook of heavy tailed distributions in finance, (pp. 211-248). 2003
Persistent link: https://www.econbiz.de/10001882077
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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Zur Theorie skalenparametergesplitteter Verteilungen und ihrer Anwendung auf den deutschen Aktienmarkt
Scharein, Manfred - 2005
Persistent link: https://www.econbiz.de/10003075483
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Large Deviations of Realized Volatility
Kanaya, Shin; Otsu, Taisuke - 2011
existing asymptotic theory on high frequency data. In addition, the paper contributes to the literature of large deviation … theory in that the theory is extended to a high frequency data environment …
Persistent link: https://www.econbiz.de/10014182566