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~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
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Search: subject_exact:"Stochastic volatility"
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Volatility
12
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12
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The North American journal of economics and finance : a journal of financial economics studies
International journal of theoretical and applied finance
42
Tinbergen Institute Discussion Papers
40
Working Paper
40
CREATES Research Papers
39
International Journal of Theoretical and Applied Finance (IJTAF)
38
Journal of econometrics
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Economics Series Working Papers / Department of Economics, Oxford University
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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CAMA working paper series
18
Finance research letters
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Physica A: Statistical Mechanics and its Applications
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Research Paper Series / Finance Discipline Group, Business School
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ECB Working Paper
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Economics Papers / Economics Group, Nuffield College, University of Oxford
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CEPR Discussion Papers
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The journal of computational finance
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The journal of futures markets
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CIRANO Working Papers
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Economics letters
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Review of Derivatives Research
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Insurance / Mathematics & economics
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Journal of Risk and Financial Management
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Journal of risk and financial management : JRFM
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Is there one safe-haven for various turbulences? : the evidence from gold, Bitcoin and Ether
Będowska-Sójka, Barbara
;
Kliber, Agata
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012821881
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2
Jump Interdependencies : stochastic linkages among international stock markets
Kshatriya, Saranya
;
Prasanna, Krishna
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012822184
Saved in:
3
A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model
Li, Shaoyu
;
Zhang, Yuanyuan
;
Zhu, Chunhui
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013188207
Saved in:
4
Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu
;
Chen, Ting-Fu
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
Saved in:
5
Generalized affine transform on pricing quanto range accrual note
Li, Shaoyu
;
Huang, Henry He
;
Zhang, Teng
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-31
Persistent link: https://www.econbiz.de/10012665783
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6
Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study
Hong, Hui
;
Bian, Zhicun
;
Chen, Naiwei
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012666125
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7
Approximate analytic solution for Asian options with stochastic volatility
Lin, Chung-Gee
;
Chang, Chia-Chang
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012667176
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8
Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility
Kim, See-Woo
;
Kim, Jeong-Hoon
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 149-169
Persistent link: https://www.econbiz.de/10012120223
Saved in:
9
CVA for Cliquet options under Heston model
Feng, Yaqin
;
Wang, Min
;
Zhang, Yuanqing
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 272-282
Persistent link: https://www.econbiz.de/10012120248
Saved in:
10
Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation
Li, Leon
- In:
The North American journal of economics and finance : a …
40
(
2017
),
pp. 116-135
Persistent link: https://www.econbiz.de/10011878799
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11
Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes
Gong, Xiaoli
;
Zhuang, Xintian
- In:
The North American journal of economics and finance : a …
40
(
2017
),
pp. 148-159
Persistent link: https://www.econbiz.de/10011878807
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12
Time-varying price shock transmission and volatility spillover in foreign exchange, bond, equity, and commodity markets : evidence from the United States
Tian, Shuairu
;
Hamori, Shigeyuki
- In:
The North American journal of economics and finance : a …
38
(
2016
),
pp. 163-171
Persistent link: https://www.econbiz.de/10011673355
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