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Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen - In: Journal of econometrics 214 (2020) 2, pp. 295-325
Persistent link: https://www.econbiz.de/10012438391
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Rough stochastic elasticity of variance and option pricing
Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
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Joint modelling of S&P500 and VIX indices with rough fractional Ornstein-Uhlenbeck volatility model
Önalan, Ömer - In: Romanian journal of economic forecasting 25 (2022) 1, pp. 68-84
Persistent link: https://www.econbiz.de/10013411688
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Overnight volatility, realized volatility, and option pricing
Wang, Tianyi; Cheng, Sicong; Yin, Fangsheng; Yu, Mei - In: The journal of futures markets 42 (2022) 7, pp. 1264-1283
Persistent link: https://www.econbiz.de/10013287956
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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
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An application of damped diffusion for modeling volatility dynamics
Hung, Mao-Wei; Ko, Yi-Chen; Wang, Jr-Yan - In: Journal of financial econometrics 21 (2023) 3, pp. 779-809
Persistent link: https://www.econbiz.de/10014314820
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Risk premia and Lévy jumps : theory and evidence
Fallahgoul, Hasan; Hugonnier, Julien; Mancini, Loriano - In: Journal of financial econometrics 21 (2023) 3, pp. 810-851
Persistent link: https://www.econbiz.de/10014314823
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VIX pricing in the rBergomi model under a regime switching change of measure
Guerreiro, Henrique; Guerra, João - In: Quantitative finance 23 (2023) 5, pp. 721-738
Persistent link: https://www.econbiz.de/10014304326
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Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model
Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196
Persistent link: https://www.econbiz.de/10011378505