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~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"International journal of financial engineering"
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Search: subject_exact:"Stochastic volatility model"
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Stochastic volatility
12
Stochastische Volatilität
12
Monte Carlo simulation
6
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5
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5
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stochastic volatility model
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McAleer, Michael
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CORE discussion papers : DP
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Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2017
-
Revised: February 2017
Persistent link: https://www.econbiz.de/10011659216
Saved in:
2
Realized stochastic volatility with general asymmetry and long memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
Persistent link: https://www.econbiz.de/10011659228
Saved in:
3
Realized stochastic volatility models with generalized Gegenbauer long memory
Asai, Manabu
;
McAleer, Michael
;
Peiris, Shelton
-
2017
Persistent link: https://www.econbiz.de/10011742720
Saved in:
4
Estimating and forecasting generalized fractional long memory stochastic volatility models
Peiris, Shelton
;
Asai, Manabu
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011500273
Saved in:
5
Testing for a common volatility process and information spillovers in bivariate financial time series models
Chen, Jinghui
;
Kobayashi, Masahito
;
McAleer, Michael
-
2016
-
Revised
Persistent link: https://www.econbiz.de/10011448006
Saved in:
6
Realized matrix-exponential stochastic volatility with asymmetry, long memory and spillovers
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2016
Persistent link: https://www.econbiz.de/10011631770
Saved in:
7
Alternative formulations of the leverage effect in a stochastic volatility model with asymmetric heavy-tailed errors
Deschamps, Philippe J.
-
2015
Persistent link: https://www.econbiz.de/10011289959
Saved in:
8
A simple model for now-casting volatility series
Breitung, Jörg
;
Hafner, Christian M.
-
2014
Persistent link: https://www.econbiz.de/10010484185
Saved in:
9
A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models
Nguyen, Duy
- In:
International journal of financial engineering
5
(
2018
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012028829
Saved in:
10
Pricing multi-asset American option under Heston stochastic volatility model
Samimi, Oldouz
;
Mehrdoust, Farshid
- In:
International journal of financial engineering
5
(
2018
)
3
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011923057
Saved in:
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