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A solution for multicollinearity in stochastic frontier production function models

Castaño Vélez, Elkin; Gallón, Santiago - In: Lecturas de economía 86 (2017), pp. 9-23

Persistent link: https://www.econbiz.de/10011948512

Nearly exact option price simulation using characteristic functions

Bernard, Carole; Cui, Zhenyu; McLeish, Don L. - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10009685897

The pricing of single name credit default swap based on jump-diffusion process and volatility with Markov regime shift

Liu, Xianghua; Xiao, Xueping - In: International journal of services technology and management 20 (2014) 1/2/3, pp. 71-84

Persistent link: https://www.econbiz.de/10010505392

Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144

Persistent link: https://www.econbiz.de/10011326801

A theory of misperception in a stochastic dominance framework and its application to structured financial products

Castellano, Rosella; Cerqueti, Roy - In: IMA journal of management mathematics 29 (2018) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10011858928

Fundamentalists heterogeneity and the role of the sentiment indicator

Campisi, Giovanni; Muzzioli, Silvia - 2020

Persistent link: https://www.econbiz.de/10012211252

A testing procedure for constant parameters in stochastic volatility models

Hoyo, Juan del; Llorente, Guillermo; Rivero, Carlos - In: Computational economics 56 (2020) 1, pp. 163-186

Persistent link: https://www.econbiz.de/10012272023

A non-parametric estimator for stochastic volatility density

Ouamaliche, Soufiane; Sayah, Awatef - In: International journal of computational economics and … 11 (2021) 4, pp. 349-367

Persistent link: https://www.econbiz.de/10012655445

Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-49

Persistent link: https://www.econbiz.de/10012019776

Exponential time trends in a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Econometrics : open access journal 12 (2024) 2, pp. 1-14

This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration framework. The proposed model is based on a specific test on fractional integration that is more general than the standard methods, which allow for only...

Persistent link: https://www.econbiz.de/10014636409