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Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010360896
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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano - In: Mathematics and financial economics 13 (2019) 4, pp. 543-577
Persistent link: https://www.econbiz.de/10012055877
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Arbitrary initial term structure within the CIR model : a perturbative solution
Mari, Carlo; Renò, Roberto - In: Applied mathematical finance 13 (2006) 2, pp. 143-153
Persistent link: https://www.econbiz.de/10003331421
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Arbitrary initial term structure within the CIR model : a perturbative solution
Mari, Carlo; Renò, Roberto - 2003
Persistent link: https://www.econbiz.de/10001763605
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Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344233
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Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin; Platen, Eckhard - In: Annals of financial economics 10 (2015) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011408524
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Specification analysis in regime-switching continuous-time diffusion models for market volatility
Bu, Ruijun; Cheng, Jie; Hadri, Kaddour - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 65-80
Persistent link: https://www.econbiz.de/10011650223
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Maximum likelihood estimation of stock volatility using jump-diffusion models
Chekenya, Nixon S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-17
return volatility. Using stock market data from June 2002 to September 2016, we hypothesize that stocks with high positive … properties of volatility on listed stocks. We also conjecture that it is valid to use maximum likelihood procedures in estimating …
Persistent link: https://www.econbiz.de/10012023360
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Comparison of the Korean and US stock markets using continuous-time stochastic volatility models
Choi, Seungmoon - In: Han gug gae bal yeon gu 40 (2018) 4, pp. 1-22
Persistent link: https://www.econbiz.de/10011954453
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A note on maximum likelihood estimation of the rational expectations model of the term structure
Sargent, Thomas J. - 1978
Persistent link: https://www.econbiz.de/10000703080