Narrow search
Showing 1 - 10 of 87,927
Cover Image
Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000989214
Cover Image
Discrete time option pricing with flexible volatility estimation
Härdle, Wolfgang - 1997
Persistent link: https://www.econbiz.de/10000971105
Cover Image
Estimation et interprétation des densités neutres au risque : une comparaison de méthodes
Jondeau, Eric; Rockinger, Michael - 1997
Persistent link: https://www.econbiz.de/10000972674
Cover Image
Analytic derivatives and the computation of GARCH estimates
Fiorentini, Gabriele; Calzolari, Giorgio; Panattoni, Lorenzo - 1995
Persistent link: https://www.econbiz.de/10000924232
Cover Image
Markov switching in GARCH processes and mean-reverting stock-market volatility
Dueker, Michael - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 26-34
Persistent link: https://www.econbiz.de/10001214324
Cover Image
Weak convergence and distributional assumptions for a general class of nonlinear ARCH models
Fornari, Fabio - In: Econometric reviews 16 (1997) 2, pp. 205-227
Persistent link: https://www.econbiz.de/10001220185
Cover Image
Zeitveränderliche Volatilität in der Optionsbewertung : ein Vergleich von Black-Scholes und GARCH Preisen
Geyer, Alois - In: Finanzmarkt und Portfolio-Management 8 (1994) 2, pp. 242-248
Persistent link: https://www.econbiz.de/10001221032
Cover Image
The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10011431367
Cover Image
Asymptotics of implied volatility to arbitrary order
Gao, Kun; Lee, Roger - In: Finance and stochastics 18 (2014) 2, pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
Cover Image
The estimation for Lévy processes in high frequency data
Zheng, Jing; Gu, Wentao; Xu, Baolin; Cai, Zongwu - In: Econometric reviews 37 (2018) 6/10, pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536