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Risk-neutral densities : advanced methods of estimating nonnormal options underlying asset prices and returns

Santos, André; Guerra, João - In: The journal of risk model validation 14 (2020) 2, pp. 41-64

Persistent link: https://www.econbiz.de/10014335959

Bayesian dynamic modeling of high-frequency integer price changes

Barra, István; Borowska, Agnieszka; Koopman, Siem Jan - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 384-424

Persistent link: https://www.econbiz.de/10011987788

Bayesian dynamic modeling of high-frequency integer price changes

Barra, Istvan; Koopman, Siem Jan - 2016

estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price … each model we develop a Markov chain Monte Carlo estimation method that takes advantage of auxiliary mixture …

Persistent link: https://www.econbiz.de/10011456723

On the characteristic function for asymmetric Student distributions

Nadarajah, Saralees; Chan, Stephen; Afuecheta, Emmanuel - In: Economics letters 121 (2013) 2, pp. 271-274

Persistent link: https://www.econbiz.de/10010347125

The distribution of the maximum of a variance gamma process and path-dependent option pricing

Ivanov, Roman V. - In: Finance and stochastics 19 (2015) 4, pp. 979-993

Persistent link: https://www.econbiz.de/10011421382

On exact pricing of FX options in multivariate time-changed levy models

Ivanov, Roman V.; Ano, Katsunori - In: Review of derivatives research 19 (2016) 3, pp. 201-216

Persistent link: https://www.econbiz.de/10011927968

The leverage effect puzzle : the case of European sovereign credit default swap market

Kliber, Agata - In: Review of derivatives research 19 (2016) 3, pp. 217-235

Persistent link: https://www.econbiz.de/10011927969

On the evaluation of multivariate compound distributions with continuous severity distributions and sarmanov's counting distribution

Tamraz, Maissa; Vernic, Raluca - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 841-870

Persistent link: https://www.econbiz.de/10011875907

Testing in high-dimensional spiked models

Johnstone, Iain M.; Onatski, Alexei - 2018

Persistent link: https://www.econbiz.de/10012667588

The risk measurement under the variance-gamma process with drift switching

Ivanov, Roman V. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-27

The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial...

Persistent link: https://www.econbiz.de/10012813564