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Semiparametric diffusion estimation and application to a stock market index
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001595495
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Statistical inference for time-inhomogeneous volatility models
Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002
Persistent link: https://www.econbiz.de/10001697768
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Semiparametric diffusion estimation and application to a stock market model
Härdle, Wolfgang (contributor) - 2001
Persistent link: https://www.econbiz.de/10001619299
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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
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Bayesian analysis of stochastic volatility models with flexible tails
Steel, Mark F. J. - In: Econometric reviews 17 (1998) 2, pp. 109-143
Persistent link: https://www.econbiz.de/10001240681
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A stochastic volatility model with Markov switching
So, Mike Ka-pui - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 244-253
Persistent link: https://www.econbiz.de/10001243996
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A maximum likelihood approach for non-Gaussian stochastic volatility models
Fridman, Moshe - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 284-291
Persistent link: https://www.econbiz.de/10001246512
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Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Persistent link: https://www.econbiz.de/10000992362
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Forecasting variance using stochastic volatility and GARCH
Hansson, Björn A.; Hördahl, Peter - 1998
Persistent link: https://www.econbiz.de/10000981021
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Pricing options under generalized GARCH and stochastic volatility processes
Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402
Persistent link: https://www.econbiz.de/10001355222