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Search: subject:"constant elasticity of volatility"
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Box-Cox transformation
2
Brownian Motion
2
Constant Elasticity of Volatility
2
Constant elasticity of volatility
2
Efficient importance sampler
2
Mean Reversion
2
Nonstandard distribution
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English
2
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Huang, Jian
2
Kobayashi, Masahito
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McAleer, Michael
2
KLEPPE, Tore Selland
1
Kleppe, Tore Selland
1
SKAUG, Hans J.
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Skaug, Hans J.
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YU, Jun
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Yu, Jun
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School of Economics, Singapore Management University
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Institute of Economic Research, Kyoto University
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Working Papers / School of Economics, Singapore Management University
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RePEc
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Testing the Box-Cox Parameter for an Integrated Process
McAleer, Michael
;
Huang, Jian
;
Kobayashi, Masahito
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
This paper analyses the
constant
elasticity
of
volatility
(CEV) model suggested by Chan et al. (1992). The CEV model …
Persistent link: https://www.econbiz.de/10009141349
Saved in:
2
Testing the Box-Cox Parameter for an Integrated Process
Huang, Jian
;
Kobayashi, Masahito
;
McAleer, Michael
-
Institute of Economic Research, Kyoto University
-
2010
This paper analyses the
constant
elasticity
of
volatility
(CEV) model suggested by Chan et al. (1992). The CEV model …
Persistent link: https://www.econbiz.de/10008763554
Saved in:
3
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
KLEPPE, Tore Selland
;
YU, Jun
;
SKAUG, Hans J.
-
School of Economics, Singapore Management University
-
2009
stochastic volatility model with the
constant
elasticity
of
volatility
. The approach do not require observations on option prices …
Persistent link: https://www.econbiz.de/10008521816
Saved in:
4
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models
Kleppe, Tore Selland
;
Skaug, Hans J.
;
Yu, Jun
-
School of Economics, Singapore Management University
-
2009
stochastic volatility model with the
constant
elasticity
of
volatility
. The approach do not require observations on option prices …
Persistent link: https://www.econbiz.de/10010561669
Saved in:
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