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Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts
Trojan, Sebastian - 2014
Persistent link: https://www.econbiz.de/10010437483
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Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity
Fallah, Somayeh; Mehrdoust, Farshid - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 2, pp. 109-120
Persistent link: https://www.econbiz.de/10012616833
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Purely discontinuous Lévy processes and power variation : inference for integrated volatility and the scale parameter
Woerner, Jeannette H. C. - 2003
Persistent link: https://www.econbiz.de/10009581651
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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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VIX derivatives valuation and estimation based on closed-form series expansions
Zhao, Zhe; Cui, Zhenyu; Florescu, Ionuţ - In: International journal of financial engineering 5 (2018) 2, pp. 1-18
Persistent link: https://www.econbiz.de/10011923012
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Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously
Trojan, Sebastian - 2013
Persistent link: https://www.econbiz.de/10010243571
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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Non-Gaussian OU Based Models and some of their use in Financial Economics
Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 1999
. Their power is illustrated by a sustained application of OU processes within the context of finance and econometrics. We … construct continuous time stochastic volatility models for financial assets where the volatility processes are superpositions of …
Persistent link: https://www.econbiz.de/10010605068
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Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas; Lee, Geoffrey; Zhu, Zili - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
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Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278
Persistent link: https://www.econbiz.de/10014232627