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Equity index variance : evidence from flexible parametric jump-diffusion models

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103

Persistent link: https://www.econbiz.de/10011816827

What is beneath the surface? : option pricing with multifrequency latent states

Calvet, Laurent E.; Fearnley, Marcus; Fisher, Adlai; … - In: Journal of econometrics 187 (2015) 2, pp. 498-511

Persistent link: https://www.econbiz.de/10011499779

Estimating the parameters of stochastic volatility models using option price data

Hurn, Stan; Lindsay, Kenneth A.; McClelland, Andrew - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 579-594

Persistent link: https://www.econbiz.de/10011403243

Non-Gaussian OU based models and some of their uses in financial economics

Barndorff-Nielsen, Ole E.; Shephard, Neil G. - 2000

Persistent link: https://www.econbiz.de/10009581672

Leverage effect on stochastic volatility for option pricing in Hong Kong : a simulation and empirical study

Hong, Hui; Bian, Zhicun; Chen, Naiwei - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012666125

Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features

Fernandes, Mário Correia; Dias, José Carlos; Nunes, … - In: The journal of futures markets 44 (2024) 3, pp. 343-383

Persistent link: https://www.econbiz.de/10014475488

Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015101647

Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013203083

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573