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Detecting rough volatility : a filtering approach
Damian, Camilla; Frey, Rüdiger - In: Quantitative finance 24 (2024) 10, pp. 1493-1508
Persistent link: https://www.econbiz.de/10015196937
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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
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Pairs trading with general state space models
Zhang, Guang - In: Quantitative finance 21 (2021) 9, pp. 1567-1587
Persistent link: https://www.econbiz.de/10012624158
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Informative option portfolios in filter design for option pricing models
Orłowski, Piotr - In: Quantitative finance 21 (2021) 6, pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
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Pairs trading with wavelet transform
Eroğlu, Burak Alparslan; Yener, Haluk; Yigit, Taner M. - In: Quantitative finance 23 (2023) 7/8, pp. 1129-1154
Persistent link: https://www.econbiz.de/10014321668
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A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; … - In: Quantitative finance 22 (2022) 8, pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
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Markovian approximations of stochastic Volterra equations with the fractional kernel
Bayer, Christian; Breneis, Simon - In: Quantitative finance 23 (2023) 1, pp. 53-70
Persistent link: https://www.econbiz.de/10013490954
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Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
Huang, Yinzhong; Xiao, Weilin; Yu, Xiaojian - In: Quantitative finance 24 (2024) 10, pp. 1509-1527
Persistent link: https://www.econbiz.de/10015196938
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Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517
Persistent link: https://www.econbiz.de/10011906404
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Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515