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Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin
;
Lee, Jaesung
;
Mittnik, Stefan
;
Park, Jiho
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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2
Prediction of Lévy-driven CARMA processes
Brockwell, Peter J.
;
Lindner, Alexander
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 263-271
Persistent link: https://www.econbiz.de/10011504524
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3
Double asymptotics for explosive continuous time models
Wang, XiaoHu
;
Yu, Jun
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 35-53
Persistent link: https://www.econbiz.de/10011704761
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4
The likelihood of mixed hitting times
Abbring, Jaap H.
;
Salimans, Tim
- In:
Journal of econometrics
223
(
2021
)
2
,
pp. 361-375
Persistent link: https://www.econbiz.de/10012619975
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5
Nonparametric analysis of a duration model with stochastic unobserved heterogeneity
Botosaru, Irene
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 112-139
Persistent link: https://www.econbiz.de/10012482741
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6
Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients
Dou, Baojun
;
Parrella, Maria Lucia
;
Yao, Qiwei
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 369-382
Persistent link: https://www.econbiz.de/10011705211
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7
Maximum likelihood estimation for score-driven models
Blasques, Francisco
;
Brummelen, Janneke van
;
Koopman, …
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 325-346
Persistent link: https://www.econbiz.de/10013442028
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8
Dynamic partial correlation models
D'Innocenzo, Enzo
;
Lucas, André
- In:
Journal of econometrics
241
(
2024
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10015075172
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9
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
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10
Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
Jensen, Mark J.
;
Maheu, John M.
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 523-538
Persistent link: https://www.econbiz.de/10010256874
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