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Rough stochastic elasticity of variance and option pricing
Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
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Kombinierte Aktien-, Optionsstrategien im ein- und mehrperiodigen Fall : eine theoetische und empirische Untersuchung
Adam, Michael; Adam, Michael E. H. - 2001
Persistent link: https://www.econbiz.de/10001629302
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Risk modeling with option-implied correlations and score-driven dynamics
Piña, Marco; Herrera, Rodrigo - 2021
Persistent link: https://www.econbiz.de/10013279402
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The correlation integral and the independence of Gaussian and related processes
Dechert, W. Davis - 1994 - Rev
Persistent link: https://www.econbiz.de/10000896409
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Estimating mixed frequency data : stochastic interpolation with preserved covariance structure
Trovik, Tørres G.; Kane-Janus, Couro - In: Interest rate models, asset allocation and quantitative …, (pp. 325-336). 2010
Persistent link: https://www.econbiz.de/10008746598
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Estimating mixed frequency data : stochastic interpolation with preserved covariance structure
Trovik, Tørres G.; Kane-Janus, Couro - In: Interest rate models, asset allocation and quantitative …, (pp. 325-336). 2010
Persistent link: https://www.econbiz.de/10003940954
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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An alternative approach for testing for linear association for two independent stationary AR(1) processess
Agiakloglou, Christos N.; Tsimpanos, Apostolos - In: Applied economics 44 (2012) 34/36, pp. 4799-4803
Persistent link: https://www.econbiz.de/10009713321
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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A new multivariate EWMA scheme for monitoring covariance matrices
Shen, Xiaobei; Tsung, Fugee; Zou, Changliang - In: International journal of production research 52 (2014) 10, pp. 2834-2850
Persistent link: https://www.econbiz.de/10010353340