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Supervised kernel principal component analysis for forecasting

Fang, Puyi; Gao, Zhaoxing; Tsay, Ruey S. - In: Finance research letters 58 (2023) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10014581032

Shrinkage estimation of multiple threshold factor models

Ma, Chenchen; Tu, Yundong - In: Journal of econometrics 235 (2023) 2, pp. 1876-1892

Persistent link: https://www.econbiz.de/10014471434

Computationally efficient approximations for distributionally robust optimization under moment and Wasserstein ambiguity

Cheramin, Meysam; Cheng, Jianqiang; Jiang, Ruiwei; Pan, Kai - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 3, pp. 1768-1794

Persistent link: https://www.econbiz.de/10013361843

High dimensional stochastic regression with latent factors, endogeneity and nonlinearity

Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312

Persistent link: https://www.econbiz.de/10011504536

Deep structural estimation: with an application to option pricing

Chen, Hui; Didisheim, Antoine; Scheidegger, Simon - 2021

Persistent link: https://www.econbiz.de/10012819482

Risk-neutral modeling with affine and nonaffine models

Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681

Persistent link: https://www.econbiz.de/10010233868

Note on an extension of an asymptotic expansion scheme

Takahashi, Akihiko; Toda, Masashi - In: International journal of theoretical and applied finance 16 (2013) 5, pp. 1-23

Persistent link: https://www.econbiz.de/10009783991

An application of nonparametric volatility estimators to option pricing

Kenmoe, Romuald N.; Sanfelici, Simona - In: Decisions in economics and finance : DEF ; a journal of … 37 (2014) 2, pp. 393-412

Persistent link: https://www.econbiz.de/10010412432

Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

While the stochastic volatility (SV) generalization has been shown to improvethe explanatory power compared to the Black-Scholes model, the empiricalimplications of the SV models on option pricing have not been adequately tested.The purpose of this paper is to first estimate a multivariate SV...

Persistent link: https://www.econbiz.de/10011284060

Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model

Langrené, Nicolas; Lee, Geoffrey; Zhu, Zili - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37

Persistent link: https://www.econbiz.de/10011525109