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Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Durham, Garland B. - In: Journal of econometrics 133 (2006) 1, pp. 273-305
Persistent link: https://www.econbiz.de/10003354577
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SV mixture models with application to S&P 500 index returns
Durham, Garland B. - In: Journal of financial economics 85 (2007) 3, pp. 822-856
Persistent link: https://www.econbiz.de/10003538066
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Risk-neutral modeling with affine and nonaffine models
Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681
Persistent link: https://www.econbiz.de/10010233868
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Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes
Durham, Garland B.; Gallant, A. Ronald - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 297-316
Persistent link: https://www.econbiz.de/10001694701
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Likelihood-based specification analysis of continuous-time models of the short-term interest rate
Durham, Garland B. - In: Journal of Financial Economics 70 (2003) 3, pp. 463-487
Persistent link: https://www.econbiz.de/10005362782
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SV mixture models with application to S&P 500 index returns
Durham, Garland B. - In: Journal of Financial Economics 85 (2007) 3, pp. 822-856
Persistent link: https://www.econbiz.de/10005210613
Cover Image
Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
Durham, Garland B. - In: Journal of econometrics 133 (2006) 1, pp. 273-306
Persistent link: https://www.econbiz.de/10007288079
Cover Image
Likelihood-based specification analysis of continuous-time models of the short-term interest rate
Durham, Garland B. - In: Journal of financial economics 70 (2003) 3, pp. 463-488
Persistent link: https://www.econbiz.de/10006505628
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The 2001 JBES Invited Paper - Reply - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion
Durham, Garland B.; Gallant, A.Ronald - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 335-338
Persistent link: https://www.econbiz.de/10008216269
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The 2001 JBES Invited Paper - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion
Durham, Garland B.; Gallant, A.Ronald - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 297-316
Persistent link: https://www.econbiz.de/10008216277