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type_genre:"Article in journal"
subject:"Volatility"
~isPartOf:"European journal of operational research : EJOR"
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Volatility
Estimation theory
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Badescu, Alexandru
1
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1
Brandão, Luiz Eduardo Teixeira
1
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1
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Hahn, Warren J.
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European journal of operational research : EJOR
Journal of econometrics
116
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International journal of forecasting
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1
Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
Shiraya, Kenichiro
;
Yamakami, Tomohisa
- In:
European journal of operational research : EJOR
314
(
2024
)
3
,
pp. 1195-1214
Persistent link: https://www.econbiz.de/10014456946
Saved in:
2
Assessing the impact of jumps in an option pricing model : a gradient estimation approach
Volk-Makarewicz, Warren
;
Borovkova, Svetlana
; …
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 740-751
Persistent link: https://www.econbiz.de/10013206895
Saved in:
3
Estimating Value-at-Risk and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
Saved in:
4
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
European journal of operational research : EJOR
247
(
2015
)
3
,
pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
Saved in:
5
Volatility estimation for stochastic project value models
Brandão, Luiz Eduardo Teixeira
;
Dyer, James S.
;
Hahn, …
- In:
European journal of operational research : EJOR
220
(
2012
)
3
,
pp. 642-648
Persistent link: https://www.econbiz.de/10009550564
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