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1
A note on a new weighted idiosyncratic risk measure
Jan, Yin-Ching
- In:
International journal of financial research
5
(
2014
)
3
,
pp. 194-198
Persistent link: https://www.econbiz.de/10010458525
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2
A new class of discrete-time stochastic volatility model with correlated errors
Mukhoti, Sujay
;
Ranjan, Pritam
- In:
Applied economics
51
(
2019
)
3
,
pp. 259-277
Persistent link: https://www.econbiz.de/10012160495
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3
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Kalnina, Ilze
;
Linton, Oliver
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 47-59
Persistent link: https://www.econbiz.de/10003783783
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Empirically based modeling in financial economics and beyond, and spurious stylized facts
Bassler, Kevin E.
;
Gunaratne, Gemunu H.
;
McCauley, Joseph L.
- In:
International review of financial analysis
17
(
2008
)
5
,
pp. 767-783
Persistent link: https://www.econbiz.de/10003792190
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5
Multipower variation for Brownian semistationary processes
Barndorff-Nielsen, Ole E.
;
Corcuera, José Manual
; …
-
2009
Persistent link: https://www.econbiz.de/10003849554
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6
Nonparametric estimation of state-price densities implicit in interest rate cap prices
Li, Haitao
;
Zhao, Feng
- In:
The review of financial studies
22
(
2009
)
11
,
pp. 4335-4376
Persistent link: https://www.econbiz.de/10003896303
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7
Estimating functions for discretely sampled diffusion-type models
Bibby, Bo Martin
;
Jacobsen, Martin
;
Sørensen, Michael
-
2010
Persistent link: https://www.econbiz.de/10003900641
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8
Inference for the jump part of quadratic variation of Itô semimartingales
Veraart, Almut E. D.
- In:
Econometric theory
26
(
2010
)
2
,
pp. 331-368
Persistent link: https://www.econbiz.de/10003968591
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Utility maximization in affine stochastic volatility models
Kallsen, Jan
;
Muhle-Karbe, Johannes
- In:
International journal of theoretical and applied finance
13
(
2010
)
3
,
pp. 459-477
Persistent link: https://www.econbiz.de/10008904356
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10
From implied to spot volatilities
Durrleman, Valdo
- In:
Finance and stochastics
14
(
2010
)
2
,
pp. 157-177
Persistent link: https://www.econbiz.de/10003951488
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