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Nonparametric jump variation measures from options

Todorov, Viktor - In: Journal of econometrics 230 (2022) 2, pp. 255-280

Persistent link: https://www.econbiz.de/10013463804

Testing for the presence of jump components in jump diffusion models

Wang, Bin; Zheng, Xu - In: Journal of econometrics 230 (2022) 2, pp. 483-509

Persistent link: https://www.econbiz.de/10013464085

An application of damped diffusion for modeling volatility dynamics

Hung, Mao-Wei; Ko, Yi-Chen; Wang, Jr-Yan - In: Journal of financial econometrics 21 (2023) 3, pp. 779-809

Persistent link: https://www.econbiz.de/10014314820

Interest rate derivatives for the fractional Cox-Ingersoll-Ross model

Bishwal, Jaya Prakasah Narayan - In: Algorithmic finance 10 (2023) 1/2, pp. 53-66

Persistent link: https://www.econbiz.de/10014474576

Estimating time-varying factors’ variance in the string-term structure model with stochastic volatility

Almeida, Thiago Ramos - In: Research in international business and finance 70 (2024) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10015055200

Estimating stochastic volatility under the assumption of stochastic volatility of volatility

Alghalith, Moawia; Floros, Christos; Gillas, … - In: Risks : open access journal 8 (2020) 2/35, pp. 1-16

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary over time. Our methods are exceedingly simple and far...

Persistent link: https://www.econbiz.de/10012204468