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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~language:"eng"
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Search: subject_exact:"Heston model"
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Stochastic volatility
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1
Regime switching rough Heston model
Alfeus, Mesias
;
Overbeck, Ludger
-
2018
Persistent link: https://www.econbiz.de/10011778197
Saved in:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
The return-volatility relation in commodity futures markets
Chiarella, Carl
;
Kang, Boda
;
Sklibosios Nikitopoulosa, …
-
2013
Persistent link: https://www.econbiz.de/10009789508
Saved in:
9
Quasi- Monte Carol methods for the Heston model
Baldeaux, Jan
;
Roberts, Dale
-
2012
Persistent link: https://www.econbiz.de/10009564454
Saved in:
10
Two stochastic volatility processes : American option pricing
Chiarella, Carl
;
Ziveyi, Jonathan
-
2011
Persistent link: https://www.econbiz.de/10009564619
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