Pages that link to "Item:Q2729107"
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The following pages link to Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (Q2729107):
Displayed 50 items.
- Simultaneity and non-linear variability in financial markets: simulation and forecasting (Q3439769) (← links)
- SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058) (← links)
- MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS (Q3502978) (← links)
- QUADRATIC HEDGING FOR THE BATES MODEL (Q3502983) (← links)
- The Volatility of Realized Volatility (Q3539863) (← links)
- Distinguishing short and long memory volatility specifications (Q3548528) (← links)
- Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces (Q3551497) (← links)
- (Q3552463) (← links)
- The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity (Q3552628) (← links)
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
- UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
- Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334) (← links)
- Inference in Lévy-type stochastic volatility models (Q3590750) (← links)
- Multifractality of products of geometric Ornstein-Uhlenbeck-type processes (Q3603201) (← links)
- Pricing a class of exotic commodity options in a multi-factor jump-diffusion model (Q3605222) (← links)
- FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS (Q3607473) (← links)
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028) (← links)
- Frailty models based on Lévy processes (Q4449509) (← links)
- Semiparametric estimation of Value at Risk (Q4458356) (← links)
- ARMA representation of integrated and realized variances (Q4458360) (← links)
- A PARSIMONIOUS CONTINUOUS TIME MODEL OF EQUITY INDEX RETURNS: INFERRED FROM HIGH FREQUENCY DATA (Q4658676) (← links)
- The use of the variogram in construction of stationary time series models (Q4660533) (← links)
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes (Q4665852) (← links)
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (Q4667987) (← links)
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (Q4670770) (← links)
- VASIČEK BEYOND THE NORMAL (Q4673672) (← links)
- A Skew Extension of the <i>T</i>-Distribution, with Applications (Q4673758) (← links)
- Inference for Observations of Integrated Diffusion Processes (Q4677104) (← links)
- Stochastic Volatility for Lévy Processes (Q4812839) (← links)
- Long-memory continuous-time correlation models (Q4819521) (← links)
- Power variation and stochastic volatility: a review and some new results (Q4822456) (← links)
- Representations of continuous-time ARMA processes (Q4822474) (← links)
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (Q4825509) (← links)
- A density function connected with a non-negative self-decomposable random variable (Q4826346) (← links)
- Likelihood analysis of a first‐order autoregressive model with exponential innovations (Q4828158) (← links)
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (Q4828199) (← links)
- Conditional Likelihood Estimators for Hidden Markov Models and Stochastic Volatility Models (Q4828200) (← links)
- Stochastic Integrals and Conditional Full Support (Q4933191) (← links)
- PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS (Q5193006) (← links)
- Flexible Threshold Models for Modelling Interest Rate Volatility (Q5292356) (← links)
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (Q5297933) (← links)
- Consistency Problems for Jump‐diffusion Models (Q5312580) (← links)
- Fast deterministic pricing of options on Lévy driven assets (Q5315443) (← links)
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes (Q5324878) (← links)
- Approximation of the fractional Brownian sheet<i>VIA</i>Ornstein-Uhlenbeck sheet (Q5429595) (← links)
- A Note on Non‐Negative Arma Processes (Q5430503) (← links)
- Parametric Estimation for Subordinators and Induced OU Processes (Q5430623) (← links)
- NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE (Q5455262) (← links)
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model (Q5459531) (← links)
- On the Structure and Estimation of Reflection Positive Processes (Q5459915) (← links)