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The leverage effect puzzle under semi-nonparametric stochastic volatility models
Chen, Dachuan; Li, Chenxu; Tang, Cheng Yong; Yan, Jun - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 548-562
Persistent link: https://www.econbiz.de/10015053427
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Nonparametric estimation for a class of Lévy processes
Chen, Song Xi; Delaigle, Aurore; Hall, Peter - In: Journal of econometrics 157 (2010) 2, pp. 257-271
Persistent link: https://www.econbiz.de/10008663024
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Empirical likelihood methods based on characteristic functions with applications to Lévy processes
Chan, Ngai Hang; Chen, Song Xi; Peng, Liang; Yu, Cindy L. - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1621-1630
Persistent link: https://www.econbiz.de/10003993190