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The Impact of Jumps in Volatil...
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Polson, Nicholas G.
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7
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5
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5
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3
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3
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
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The Impact of Jumps in Volatility and Returns
Eraker, Bjørn
;
Johannes, Michael
;
Polson, Nicholas
- In:
The journal of finance : the journal of the American …
58
(
2003
)
3
,
pp. 1269-1300
Persistent link: https://www.econbiz.de/10006555533
Saved in:
2
Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices
Johannes, Michael S.
;
Polson, Nicholas G.
;
Stroud, …
- In:
The review of financial studies
22
(
2013
)
7
,
pp. 2759-2758
Persistent link: https://www.econbiz.de/10010114149
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3
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
Eraker, Bjørn
- In:
The journal of finance : the journal of the American …
59
(
2004
)
3
,
pp. 1367-1404
Persistent link: https://www.econbiz.de/10006551329
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4
The 2001 JBES Invited Paper - Comment - Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion
Eraker, Bjørn
- In:
Journal of business & economic statistics : JBES ; a …
20
(
2002
)
3
,
pp. 327-329
Persistent link: https://www.econbiz.de/10008216273
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5
MCMC Analysis of Diffusion Models With Application to Finance
Eraker, Bjørn
- In:
Journal of business & economic statistics : JBES ; a …
19
(
2001
)
2
,
pp. 177-191
Persistent link: https://www.econbiz.de/10008217160
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6
The performance of model based option trading strategies
Eraker, Bjørn
- In:
Review of derivatives research
16
(
2013
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10010095373
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7
Affine General Equilibrium Models
Eraker, Bjørn
- In:
Management science : journal of the Institute for …
54
(
2008
)
12
,
pp. 2068-2080
Persistent link: https://www.econbiz.de/10008153912
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8
AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS
Eraker, Bjørn
;
Shaliastovich, Ivan
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 519-544
Persistent link: https://www.econbiz.de/10008103932
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9
Comment - Iterative and Recursive Estimation in Structural Nonadaptive Models
Johannes, Michael
;
Polson, Nicholas
- In:
Journal of business & economic statistics : JBES ; a …
21
(
2003
)
4
,
pp. 493-494
Persistent link: https://www.econbiz.de/10008215219
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10
MCMC maximum likelihood for latent state models
Jacquier, Eric
;
Johannes, Michael
;
Polson, Nicholas
- In:
Journal of econometrics
137
(
2007
)
2
,
pp. 615-640
Persistent link: https://www.econbiz.de/10007604718
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