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Implied filtering densities on the hidden state of stochastic volatility
Fuertes, Carlos; Papanicolaou, Andrew - In: Applied mathematical finance 21 (2014) 5/6, pp. 483-522
Persistent link: https://www.econbiz.de/10010500874
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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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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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Non-Gaussian OU based models and some of their uses in financial economics
Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000
Persistent link: https://www.econbiz.de/10009581672
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Stochastic dynamical modelling of spot freight rates
Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297
Persistent link: https://www.econbiz.de/10011405425
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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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Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
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On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Cacace, Filippo; Germani, Alfredo; Papi, Marco - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 503-525
Persistent link: https://www.econbiz.de/10012127257
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Generalized fractional processes with long memory and time dependent volatility revisited
Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21
follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the …
Persistent link: https://www.econbiz.de/10011568296
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Market calibration under a long memory stochastic volatility model
Pospíšil, Jan; Sobotka, Tomáš - In: Applied mathematical finance 23 (2016) 5/6, pp. 323-343
Persistent link: https://www.econbiz.de/10011704252