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~isPartOf:"Working paper / Department of Econometrics and Business Statistics, Monash University"
~isPartOf:"Annals of finance"
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108
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Working paper / Department of Econometrics and Business Statistics, Monash University
Annals of finance
European journal of operational research : EJOR
623
International journal of theoretical and applied finance
324
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282
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ECONIS (ZBW)
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1
ABC-based forecasting in state space models
Weerasinghe, Chaya
;
Loiza-Maya, Ruben
;
Martin, Gael M.
; …
-
2023
Persistent link: https://www.econbiz.de/10014452518
Saved in:
2
Eigen–analysis for high–dimensional time series clustering
Zhang, Bo
;
Gao, Jiti
;
Pan, Guangming
;
Yang, Yanrong
-
2023
Persistent link: https://www.econbiz.de/10014452611
Saved in:
3
Robustness and sensitivity analyses of rough Volterra stochastic volatility models
Matas, Jan
;
Pospíšil, Jan
- In:
Annals of finance
19
(
2023
)
4
,
pp. 523-543
Persistent link: https://www.econbiz.de/10014448297
Saved in:
4
The value of expected return persistence
Schadner, Wolfgang
;
Lang, Sebastian
- In:
Annals of finance
19
(
2023
)
4
,
pp. 449-476
Persistent link: https://www.econbiz.de/10014448279
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5
The valuation of corporations : a derivative pricing perspective
Madan, Dilip B.
;
Wang, King
- In:
Annals of finance
19
(
2023
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014253867
Saved in:
6
Delta-hedging in fractional volatility models
Zhao, Qi
;
Chronopoulou, Alexandra
- In:
Annals of finance
19
(
2023
)
1
,
pp. 119-140
Persistent link: https://www.econbiz.de/10014253877
Saved in:
7
Focused Bayesian prediction
Loiza-Maya, Ruben
;
Martin, Gael M.
;
Frazier, David T.
-
2020
Persistent link: https://www.econbiz.de/10012606751
Saved in:
8
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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9
Constrained dynamic futures portfolios with stochastic basis
Chen, Xiaodong
;
Leung, Tim
;
Zhou, Yang
- In:
Annals of finance
18
(
2022
)
1
,
pp. 1-33
Persistent link: https://www.econbiz.de/10013194629
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10
Performance of advanced stock price models when it becomes exotic : an empirical study
Junike, Gero
;
Schoutens, Wim
;
Stier, Hauke
- In:
Annals of finance
18
(
2022
)
1
,
pp. 109-119
Persistent link: https://www.econbiz.de/10013194639
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11
Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
Bufalo, Michele
;
Di Bari, Antonio
;
Villani, Giovanni
- In:
Annals of finance
18
(
2022
)
2
,
pp. 247-266
Persistent link: https://www.econbiz.de/10013278984
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12
Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Zhang, Yumo
- In:
Annals of finance
18
(
2022
)
4
,
pp. 511-544
Persistent link: https://www.econbiz.de/10013489465
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13
Dynamic optimal hedge ratio design when price and production are stochastic with jump
Clément, Nyassoke Titi Gaston
;
Jules, Sadefo Kamdem
; …
- In:
Annals of finance
18
(
2022
)
3
,
pp. 419-428
Persistent link: https://www.econbiz.de/10013440645
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14
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
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15
Fractional Barndorff-Nielsen and Shephard model : applications in variance and volatility swaps, and hedging
Salmon, Nicholas
;
SenGupta, Indranil
- In:
Annals of finance
17
(
2021
)
4
,
pp. 529-558
Persistent link: https://www.econbiz.de/10012664151
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16
A stock market model based on CAPM and market size
Flores, Brandon
;
Ofori-Atta, Blessing
;
Sarantsev, Andrey
- In:
Annals of finance
17
(
2021
)
3
,
pp. 405-424
Persistent link: https://www.econbiz.de/10012622329
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17
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
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18
Optimal trading of a basket of futures contracts
Angoshtari, Bahman
;
Leung, Tim
- In:
Annals of finance
16
(
2020
)
2
,
pp. 253-280
Persistent link: https://www.econbiz.de/10012496334
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19
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
20
Forecasting volatility in bitcoin market
Segnon, Mawuli
;
Bekiros, Stelios
- In:
Annals of finance
16
(
2020
)
3
,
pp. 435-462
Persistent link: https://www.econbiz.de/10012496404
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21
Asian options pricing in Hawkes-type jump-diffusion models
Brignone, Riccardo
;
Sgarra, Carlo
- In:
Annals of finance
16
(
2020
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012495966
Saved in:
22
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
Roberts, Michael
;
SenGupta, Indranil
- In:
Annals of finance
16
(
2020
)
1
,
pp. 121-139
Persistent link: https://www.econbiz.de/10012495976
Saved in:
23
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2016
-
Revised 14, 30
Persistent link: https://www.econbiz.de/10011781663
Saved in:
24
Auxiliary likelihood-based approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendon P. M.
;
Frazier, David T.
; …
-
2016
Persistent link: https://www.econbiz.de/10011781699
Saved in:
25
CLT for largest eigenvalues and unit root tests for high-dimensional nonstationary time series
Zhang, Bo
;
Pan, Guangming
;
Gao, Jiti
-
2016
Persistent link: https://www.econbiz.de/10011781720
Saved in:
26
Optimal dynamic basis trading
Angoshtari, Bahman
;
Leung, Tim
- In:
Annals of finance
15
(
2019
)
3
,
pp. 307-335
Persistent link: https://www.econbiz.de/10012240079
Saved in:
27
Dynamic portfolio strategies under a fully correlated jump-diffusion process
Escobar, Marcos
;
Moreno-Franco, Harold A.
- In:
Annals of finance
15
(
2019
)
3
,
pp. 421-453
Persistent link: https://www.econbiz.de/10012240153
Saved in:
28
Extreme-strike asymptotics for general Gaussian stochastic volatility models
Gulisashvili, Archil
;
Viens, Frederi G.
;
Zhang, Xin
- In:
Annals of finance
15
(
2019
)
1
,
pp. 59-101
Persistent link: https://www.econbiz.de/10012058191
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29
Vanishing central bank intervention in stochastic impulse control
Gagnon, Gregory
- In:
Annals of finance
15
(
2019
)
1
,
pp. 125-153
Persistent link: https://www.econbiz.de/10012058193
Saved in:
30
A switching self-exciting jump diffusion process for stock prices
Hainaut, Donatien
;
Moraux, Franck
- In:
Annals of finance
15
(
2019
)
2
,
pp. 267-306
Persistent link: https://www.econbiz.de/10012058243
Saved in:
31
Approximate Bayesian computation in state space models
Martin, Gael M.
;
McCabe, Brendan Peter Martin
; …
-
2014
Persistent link: https://www.econbiz.de/10011780814
Saved in:
32
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2014
Persistent link: https://www.econbiz.de/10011781063
Saved in:
33
Specification testing in structural nonparametric cointegration
Dong, Chaohua
;
Gao, Jiti
-
2014
Persistent link: https://www.econbiz.de/10010245252
Saved in:
34
Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
Krasin, Vladislav Y.
;
Smirnov, Ivan
;
Melʹnikov, …
- In:
Annals of finance
14
(
2018
)
2
,
pp. 195-209
Persistent link: https://www.econbiz.de/10011945591
Saved in:
35
On the implied market price of risk under the stochastic numéraire
Dokučaev, Nikolaj G.
- In:
Annals of finance
14
(
2018
)
2
,
pp. 223-251
Persistent link: https://www.econbiz.de/10011945595
Saved in:
36
Inconspicuousness and obfuscation : how large shareholders dynamically manipulate output and information for trading purposes
Taub, Bart
- In:
Annals of finance
14
(
2018
)
4
,
pp. 429-464
Persistent link: https://www.econbiz.de/10012268311
Saved in:
37
Option pricing under fast-varying and rough stochastic volatility
Garnier, Josselin
;
Sølna, Knut
- In:
Annals of finance
14
(
2018
)
4
,
pp. 489-516
Persistent link: https://www.econbiz.de/10012268319
Saved in:
38
Inference on nonstationary time series with moving mean
Gao, Jiti
;
Robinson, Peter M.
-
2013
Persistent link: https://www.econbiz.de/10009789503
Saved in:
39
Nonparametric estimation and parametric calibration of time-varying coefficient realized volatility models
Chen, Xiangjin B.
;
Gao, Jiti
;
Li, Degui
;
Silvapulle, …
-
2013
Persistent link: https://www.econbiz.de/10010189526
Saved in:
40
Orthogonal expansion of Lévy process functionals : theory and practice
Dong, Chaohua
;
Gao, Jiti
-
2013
Persistent link: https://www.econbiz.de/10009701598
Saved in:
41
Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo
;
Seo, Myung Hwan
-
2013
-
Rev. ed.
Persistent link: https://www.econbiz.de/10009740804
Saved in:
42
Inference on self-exciting jumps in prices and volatility using high frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
-
2013
Persistent link: https://www.econbiz.de/10010245443
Saved in:
43
Testing indepedence for a large number of high-dimensional random vectors
Pan, Guangming
;
Gao, Jiti
;
Yang, Yanrong
-
2013
Persistent link: https://www.econbiz.de/10009724611
Saved in:
44
Structural-break models under mis-specification : implications for forecasting
Koo, Bonsoo
;
Seo, Myung Hwan
-
2013
Persistent link: https://www.econbiz.de/10009724649
Saved in:
45
Intermittent demand forecasting for inventory control : a multi-series approach
Snyder, Ralph D.
;
Beaumont, Adrian
;
Ord, John Keith
-
2012
Persistent link: https://www.econbiz.de/10009572479
Saved in:
46
Semiparametric methods in nonlinear time series analysis : a selective review
Saart, Patrick
;
Gao, Jiti
-
2012
Persistent link: https://www.econbiz.de/10009672964
Saved in:
47
Solving replication problems in complete market by orthogonal series expansion
Dong, Chaohua
;
Gao, Jiti
-
2012
Persistent link: https://www.econbiz.de/10009565425
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48
Identification, estimation and specification in a class of semiparametic time series models
Gao, Jiti
-
2012
Persistent link: https://www.econbiz.de/10009565428
Saved in:
49
Expansion of Lé process functionals and its application in statistical estimation
Dong, Chaohua
;
Gao, Jiti
-
2012
Persistent link: https://www.econbiz.de/10009565480
Saved in:
50
An improved nonparametric unit–root test
Gao, Jiti
;
King, Maxwell L.
-
2012
Persistent link: https://www.econbiz.de/10009583670
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