Narrow search
Showing 11 - 20 of 130,329
Cover Image
The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074
Persistent link: https://www.econbiz.de/10012623900
Cover Image
Risk factors and their associated risk premia : an empirical analysis of the crude oil market
Hain, Martin; Uhrig-Homburg, Marliese; Unger, Nils - In: Journal of banking & finance 95 (2018), pp. 44-63
Persistent link: https://www.econbiz.de/10011966706
Cover Image
Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
Cover Image
Essays on variance risk
Gruber, Peter H. - 2015
My PhD thesis consists of three papers which study the nature, structure, dynamics and price of variance risks. As tool I make use of multivariate affine jump-diffusion models with matrix-valued state spaces. The first chapter proposes a new three-factor model for index option pricing. A core...
Persistent link: https://www.econbiz.de/10011931531
Cover Image
Symposium on stochastic volatility: an introductory overview
Viens, Frederi - In: Annals of Finance 8 (2012) 2, pp. 151-157
Persistent link: https://www.econbiz.de/10010866514
Cover Image
Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of Risk and Financial Management 10 (2017) 4, pp. 1-16
corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …
Persistent link: https://www.econbiz.de/10012610989
Cover Image
Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016
. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory …
Persistent link: https://www.econbiz.de/10011526121
Cover Image
Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises
Duan, Jin-Chuan; Fulop, Andras - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10010494319
Cover Image
Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - 2005
The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10011560691
Cover Image
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin; Bianchi, Michele Leonardo; Kim, Young Shin; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 3, pp. 35-62
Persistent link: https://www.econbiz.de/10012594154