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Estimation of Continuous-Time Processes via the Empirical Characteristic Function
Jiang, George J. - 2013
continuous-time stochastic volatility (SV) model, along with an empirical application using S&P 500 index returns …
Persistent link: https://www.econbiz.de/10013086619
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A stochastic latent moment model for electricity price formation
Gianfreda, Angelica; Bunn, Derek W. - In: Operations research 66 (2018) 5, pp. 1189-1203
Persistent link: https://www.econbiz.de/10011932421
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data
Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10011431109
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Taming the Skew : Higher-Order Moments in Modeling Asset Price Processes in Finance
Das, Sanjiv Ranjan - 2008
-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …
Persistent link: https://www.econbiz.de/10012774952
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Taming the Skew : Higher-Order Moments in Modeling Asset Price Processes in Finance
Das, Sanjiv Ranjan - 1997
-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …
Persistent link: https://www.econbiz.de/10012472845
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Using copulas to model time dependence in stochastic frontier models
Amsler, Christine Elaine; Prokhorov, Artem; Schmidt, Peter - In: Econometric reviews 33 (2014) 5/6, pp. 497-522
Persistent link: https://www.econbiz.de/10010360796
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How does trading volume affect financial return distributions?
Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 35 (2014), pp. 190-206
Persistent link: https://www.econbiz.de/10010530243
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Modelling Higher Moments of Electricity Prices
Serna, Gregorio - 2013
behaviour of spot electricity prices in wholesale markets. We explicitly model the conditional volatility and skewness of … electricity prices. A GARCH-type model allowing for time-varying volatility and skewness, which is estimated assuming a Gram …
Persistent link: https://www.econbiz.de/10013089137
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Do jumps contribute to the dynamics of the equity premium
Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei - In: Journal of financial economics 110 (2013) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10010208659