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Modeling share returns : an empirical study on the Variance Gamma model

Rathgeber, Andreas W.; Stadler, Johannes; Stöckl, Stefan - In: Journal of economics and finance 40 (2016) 4, pp. 653-682

Persistent link: https://www.econbiz.de/10011659065

Efficient estimation of expected stock price returns

Madan, Dilip B. - In: Finance research letters 23 (2017), pp. 31-38

Persistent link: https://www.econbiz.de/10011808349

l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes

Neto, David; Sardy, Sylvain; Tseng, Paul - 2009

Persistent link: https://www.econbiz.de/10003926975

Estimating stochastic volatility models using integrated nested Laplace approximations

Martino, Sara; Aas, Kjersti; Lindqvist, Ola; Neef, Linda R. - In: The European journal of finance 17 (2011) 7/8, pp. 487-503

Persistent link: https://www.econbiz.de/10009509861

Efficient, almost exact simulation of the heston stochastic volatility model

van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43

Persistent link: https://www.econbiz.de/10008860425

On the use of high frequency measures of volatility in MIDAS regressions

Andreou, Elena - 2016

Persistent link: https://www.econbiz.de/10011521697

Nonparametric specification tests for stochastic volatility models based on volatility density

Zu, Yang - In: Journal of econometrics 187 (2015) 1, pp. 323-344

Persistent link: https://www.econbiz.de/10011499459

Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models

Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127

Persistent link: https://www.econbiz.de/10011389921

On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model

Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541

Persistent link: https://www.econbiz.de/10011338705

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751