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Parameter identification for fractional Ornstein-Uhlenbeck processes based on discrete observation
Zhang, Pu; Xiao, Wei-lin; Zhang, Xi-li; Niu, Pan-qiang - In: Economic modelling 36 (2014), pp. 198-203
Persistent link: https://www.econbiz.de/10010412366
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Testing volatility persistence on Markov switching stochastic volatility models
Pan, Qi; Li, Yong - In: Economic modelling 35 (2013), pp. 45-50
Persistent link: https://www.econbiz.de/10010258578
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Testing for a unit root in the presence of stochastic volatility and leverage effect
Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038
Persistent link: https://www.econbiz.de/10009666985
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Stochastic lattice models for valuation of volatility options
Ma, Jingtang; Li, Wenyuan; Han, Xu - In: Economic modelling 47 (2015), pp. 93-104
Persistent link: https://www.econbiz.de/10011438895
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Equilibrium asset pricing under the Lévy process with stochastic volatility and moment risk premiums
Ruan, Xinfeng; Zhu, Wenli; Huang, Jiexiang; Zhang, Jin E. - In: Economic modelling 54 (2016), pp. 326-338
Persistent link: https://www.econbiz.de/10011642179
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Forecasting structural change and fat-tailed events in Australian macroeconomic variables
Cross, Jamie; Poon, Aubrey - In: Economic modelling 58 (2016), pp. 34-51
Persistent link: https://www.econbiz.de/10011647028
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Trend inflation estimates for Thailand from disaggregated data
Pym Manopimoke; Vorada Limjaroenrat - In: Economic modelling 65 (2017), pp. 75-94
Persistent link: https://www.econbiz.de/10011813600
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Estimating general equilibrium models with stochastic volatility and changing parameters
Higgins, C. Richard - In: Economic modelling 66 (2017), pp. 163-170
Persistent link: https://www.econbiz.de/10011813705
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Optimal stopping time with stochastic volatility
Zhang, Ran; Xu, Shuang - In: Economic modelling 41 (2014), pp. 319-328
Persistent link: https://www.econbiz.de/10010440735
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Asset prices and economic fluctuations : the implications of stochastic volatility
Chen, Junping; Xiong, Xiong; Zhu, Jie; Zhu, Xiaoneng - In: Economic modelling 64 (2017), pp. 128-140
Persistent link: https://www.econbiz.de/10011756611