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A multivariate pure-jump model with multi-factorial dependence structure

Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10009624464

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

Gamma kernels and BSS/LSS processes

Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Analyse deutscher Aktien und Optionsscheine mittels ARCH-Modellen unter besonderer Berücksichtigung von Verteilungen der robusten Statistik

Bönte, Gunnar - 1997

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The dual jump diffusion model for security prices

Frost, Daniel Allen - 1993

Persistent link: https://www.econbiz.de/10000996118

Statistical inference for random variance option pricing

Pastorello, Sergio; Renault, Eric; Touzi, Nizar - 1997

Persistent link: https://www.econbiz.de/10000984169

Pitfalls in estimating jump-diffusion models

Honoré, Peter - 1998

Persistent link: https://www.econbiz.de/10000994072

A general approach for modeling the term structure of interest rates : estimation and application

Zhang, Hua - In: Advances in quantitative analysis of finance and … 5 (1997), pp. 61-85

Persistent link: https://www.econbiz.de/10001230054

Bayesian estimation of the Heston volatility model

Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Operations research proceedings 2002 : selected papers …, (pp. 480-485). 2003

Persistent link: https://www.econbiz.de/10001752050

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Persistent link: https://www.econbiz.de/10001650407