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Bayesian analysis of contingent claim model error
Jacquier, Eric; Jarrow, Robert A. - In: Journal of econometrics 94 (2000) 1/2, pp. 145-180
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001437752
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Empirical assessment of an intertemporal option pricing model with latent variables
Garcia, René; Luger, Richard; Renault, Eric - In: Journal of econometrics 116 (2003) 1/2, pp. 49-83
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001772141
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010258291
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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010372651
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A multivariate stochastic unit root model with an application to derivative pricing
Lieberman, Offer; Phillips, Peter C. B. - In: Journal of econometrics 196 (2017) 1, pp. 99-110
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011743783
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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://ebvufind01.dmz1.zbw.eu/10012619431
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Local parametric analysis of hedging in discrete time
Bossaerts, Peter L. - In: Journal of econometrics 81 (1997) 1, pp. 243-272
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001336795
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Goodness-of-fit tests for kernel regression with an application to option implied volatilities
Aït-Sahalia, Yacine; Bickel, Peter J.; Stoker, Thomas … - In: Journal of econometrics 105 (2001) 2, pp. 363-412
Persistent link: https://ebvufind01.dmz1.zbw.eu/10001633671
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A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation
Zhang, Xibin; Brooks, Robert; King, Maxwell L. - In: Journal of econometrics 153 (2009) 1, pp. 21-32
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003892641
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009242522