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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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Exponential stock models driven by tempered stable processes
Küchler, Uwe; Tappe, Stefan - In: Journal of econometrics 181 (2014) 1, pp. 53-63
Persistent link: https://www.econbiz.de/10010473381
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Explicit form of approximate transition probability density functions of diffusion processes
Choi, Seungmoon - In: Journal of econometrics 187 (2015) 1, pp. 57-73
Persistent link: https://www.econbiz.de/10011498739
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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446
Persistent link: https://www.econbiz.de/10011499703
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What is beneath the surface? : option pricing with multifrequency latent states
Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511
Persistent link: https://www.econbiz.de/10011499779
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Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen - In: Journal of econometrics 214 (2020) 2, pp. 295-325
Persistent link: https://www.econbiz.de/10012438391
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Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu - In: Journal of econometrics 222 (2021) 1,2, pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
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A simple joint model for returns, volatility and volatility of volatility
Ding, Yashuang - In: Journal of econometrics 232 (2023) 2, pp. 521-543
Persistent link: https://www.econbiz.de/10014340096
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Quasi score-driven models
Blasques, F.; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 234 (2023) 1, pp. 251-275
Persistent link: https://www.econbiz.de/10014364807
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522
Persistent link: https://www.econbiz.de/10010256919