Alternative models for stock price dynamics. (Q1398979): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Set OpenAlex properties.
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Post-'87 crash fears in the S\&P 500 futures option market / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Market Model of Interest Rate Dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spectral GMM estimation of continuous-time processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonlinearity and temporal dependence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic properties of Monte Carlo estimators of diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Transform Analysis and Asset Pricing for Affine Jump-diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Likelihood Inference for Discretely Observed Nonlinear Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5624436 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of stochastic volatility models with diagnostics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating stochastic differential equations efficiently by minimum chi-squared / rank
 
Normal rank
Property / cites work
 
Property / cites work: Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4714065 / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH models as diffusion approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak convergence of semimartingales and discretisation methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semiparametric Estimation of Index Coefficients / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Statistics / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/s0304-4076(03)00108-8 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2083685602 / rank
 
Normal rank

Latest revision as of 10:00, 30 July 2024

scientific article
Language Label Description Also known as
English
Alternative models for stock price dynamics.
scientific article

    Statements

    Alternative models for stock price dynamics. (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    7 August 2003
    0 references
    Efficient method of moments
    0 references
    Poisson jump processes
    0 references
    Stochastic volatility models
    0 references

    Identifiers