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Volatility model applications in China's SSE50 options market

Chi, Yeguang; Hao, Wenyan; Zhang, Yifei - In: The journal of futures markets 42 (2022) 9, pp. 1704-1720

Persistent link: https://www.econbiz.de/10013465807

Volatility models for cryptocurrencies and applications in the options market

Chi, Yeguang; Hao, Wenyan - In: Journal of international financial markets, … 75 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012820318

Robust estimation of intraweek periodicity in volatility and jump detection

Boudt, Kris; Croux, Christophe; Laurent, Sébastien - In: Journal of empirical finance 18 (2011) 2, pp. 353-367

Persistent link: https://www.econbiz.de/10009301110

A slightly depressing jump model : intraday volatility pattern simulation

Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224

Persistent link: https://www.econbiz.de/10011905864

Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market

Schneider, Michael; Lillo, Fabrizio; Pelizzon, Loriana - In: Quantitative finance 18 (2018) 2, pp. 283-293

Persistent link: https://www.econbiz.de/10011906340

Identifying events in financial time series : a new approach with bipower variation

Andor, György; Bohák, András - In: Finance research letters 22 (2017), pp. 42-48

Persistent link: https://www.econbiz.de/10011807956

Modeling jumps and volatility of the indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics 14 (2016) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10012418200

Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data

Chen, Yi-Ting; Lai, Wan Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844

Persistent link: https://www.econbiz.de/10012134380

Modeling jumps and volatility of the Indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics : official journal of … 14 (2016) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10011639870

An analytic approximation of the likelihood function for the Heston model volatility estimation problem

Atiya, Amir; Wall, Steve - In: Quantitative Finance 9 (2009) 3, pp. 289-296

Estimating the volatility from the underlying asset price history for the discrete observations case is a challenging inference problem. Yet it has attracted much research interest due to the key role of volatility in many areas of finance. In this paper we consider the Heston stochastic...

Persistent link: https://www.econbiz.de/10004982263