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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts

Trojan, Sebastian - 2014

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Multivariate stochastic volatility with dynamic cross leverage

Trojan, Sebastian - 2014

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Non-Gaussian OU based models and some of their uses in financial economics

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What is beneath the surface? : option pricing with multifrequency latent states

Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511

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Estimating the parameters of stochastic volatility models using option price data

Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594

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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2016

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...

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Policy risk and the business cycle

Born, Benjamin; Pfeifer, Johannes - In: Journal of monetary economics 68 (2014), pp. 68-85

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Leverage, asymmetry, and heavy tails in the high-dimensional factor stochastic volatility model

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Missing wage inflation? : Estimating the natural rate of unemployment in a nonlinear DSGE model

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Mortality forecasting using a Lexis-based state-space model

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