Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model (Q3437399): Difference between revisions

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-Jaume Masoliver
@@ Property / author: Jaume Masoliver / rank @@
-Normal rank
@@ Property / author @@
-Josep Perelló
@@ Property / author: Josep Perelló / rank @@
-Normal rank
@@ Property / author @@
+Jaume Masoliver
@@ Property / author: Jaume Masoliver / rank @@
+Normal rank
@@ Property / author @@
+Josep Perelló
@@ Property / author: Josep Perelló / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2128832002
@@ Property / OpenAlex ID: W2128832002 / rank @@
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@@ Property / arXiv ID @@
+cond-mat/0501639
@@ Property / arXiv ID: cond-mat/0501639 / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory processes and fractional integration in econometrics
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@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Generalized autoregressive conditional heteroscedasticity
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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@@ Property / cites work @@
+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
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+A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE  AND OTHER STYLIZED FACTS
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+Volatility in financial markets: Stochastic models and empirical results
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@@ Property / cites work @@
+Multiple time scales in volatility and leverage correlations: a stochastic volatility model
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@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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@@ links / mardi / name / links / mardi / name @@
+Publication:3437399