estimating integrated volatility using high-frequency data where the underlying prices are perturbed by a mixture of random noise … for four US stocks in the year 2009 show that our method has clear advantages over existing high-frequency volatility …

an input in the second step to estimate the parameters characterizing the risk-return tradeoff via a GMM approach. We …

study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with …

inference based on their lower dimensional representation. We apply DSFM to estimate the dynamic structure of risk neutral …

dynamic behavior of temperatures (further used for pricing weather derivatives), implied volatilities and risk patterns and …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …