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~person:"Forbes, Catherine Scipione"
~subject:"Monte Carlo simulation"
~subject:"Portfolio-Management"
~subject:"Stochastic process"
~type_genre:"Graue Literatur"
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Option Prices with Stochastic...
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Forbes, Catherine Scipione
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Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
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2017
Persistent link: https://www.econbiz.de/10011782238
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2
Bayesian estimation of a stochastic volatility model using option and spot prices
Forbes, Catherine Scipione
;
Martin, Gael M.
;
Wright, Jill
-
2002
Persistent link: https://www.econbiz.de/10001704968
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3
Bayesian estimation of a stochastic volatility model using option and spot prices : application of a Bivariate Kalman Filter
Forbes, Catherine Scipione
;
Martin, Gael M.
;
Wright, Jill
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2003
Persistent link: https://www.econbiz.de/10001854495
Saved in:
4
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
5
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
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