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~person:"Cui, Zhenyu"
~person:"Li, Jia"
~subject:"Stochastic volatility"
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Stochastic volatility
Stochastic process
54
Stochastischer Prozess
54
Volatility
41
Volatilität
41
Option pricing theory
35
Optionspreistheorie
35
Estimation theory
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stochastic volatility
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Cui, Zhenyu
Li, Jia
Mumtaz, Haroon
13
Shin, Minchul
9
Escobar, Marcos
8
Clark, Todd E.
7
Todorov, Viktor
7
Chan, Joshua
6
Chiarella, Carl
6
Karlsson, Sune
6
Ravazzolo, Francesco
6
Tauchen, George Eugene
6
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6
Österholm, Pär
6
Diebold, Francis X.
5
Kirkby, J. Lars
5
Koopman, Siem Jan
5
Nguyen, Duy
5
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5
Andersen, Torben
4
Carriero, Andrea
4
Cross, Jamie
4
Forbes, Catherine Scipione
4
Ignatieva, Ekaterina
4
Li, Chenxu
4
Maneesoonthorn, Worapree
4
Marcellino, Massimiliano
4
Martin, Gael M.
4
McAleer, Michael
4
Ziveyi, Jonathan
4
Asai, Manabu
3
Bos, Charles S.
3
Branger, Nicole
3
Chan, Jiun Hong
3
Chib, Siddhartha
3
Felpel, Mike
3
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3
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3
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Journal of econometrics
3
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1
Finance research letters
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
Journal of economic dynamics & control
1
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1
The review of economic studies
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1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
Volume, volatility, and public news announcements
Bollerslev, Tim
;
Li, Jia
;
Xue, Yuan
- In:
The review of economic studies
85
(
2018
)
4/305
,
pp. 2005-2041
Persistent link: https://www.econbiz.de/10012263342
Saved in:
3
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
4
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
262
(
2017
)
1
,
pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
Saved in:
5
Integral representations of probability density of stochastic volatility models and timer options
Cui, Zhenyu
;
Kirkby, J. Lars
;
Lian, Guanghua
;
Nguyen, Duy
- In:
International journal of theoretical and applied finance
20
(
2017
)
8
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011787421
Saved in:
6
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Kirkby, J. Lars
;
Nguyen, Duy
;
Cui, Zhenyu
- In:
Journal of economic dynamics & control
80
(
2017
),
pp. 75-100
Persistent link: https://www.econbiz.de/10011817629
Saved in:
7
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
8
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
9
A note on the Wang transform for stochastic volatility pricing models
Badescu, Alexandru
;
Cui, Zhenyu
;
Ortega, Juan-Pablo
- In:
Finance research letters
19
(
2016
),
pp. 189-196
Persistent link: https://www.econbiz.de/10011657622
Saved in:
10
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
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