Pages that link to "Item:Q2729107"
From MaRDI portal
The following pages link to Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (Q2729107):
Displayed 50 items.
- Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo (Q2911650) (← links)
- The Double Gaussian Approximation for High Frequency Data (Q2911663) (← links)
- Goodness-of-Fit based on Downsampling with Applications to Linear Drift Diffusions (Q2911667) (← links)
- Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes (Q2922163) (← links)
- Parameter estimation for reciprocal gamma Ornstein–Uhlenbeck type processes (Q2922895) (← links)
- High-frequency sampling of a continuous-time ARMA process (Q2930909) (← links)
- Consistent Pricing of Options on Leveraged ETFs (Q2941473) (← links)
- A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304) (← links)
- The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
- Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference (Q2965535) (← links)
- NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING (Q2970319) (← links)
- (Q2971501) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES (Q2986526) (← links)
- Student-like models for risky asset with dependence (Q2986696) (← links)
- Electricity spot price modelling with a view towards extreme spike risk (Q2994839) (← links)
- Variance-Optimal Hedging for Time-Changed Lévy Processes (Q3004473) (← links)
- CHARACTERIZING SPECIES DISTRIBUTIONS BY PRODUCTIVITY AND MORTALITY RATES IN MULTISPECIES MODELS (Q3005107) (← links)
- AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELS (Q3005841) (← links)
- Sequential Monte Carlo methods for stochastic volatility models: a review (Q3008580) (← links)
- Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (Q3018503) (← links)
- Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models (Q3019508) (← links)
- THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS (Q3022099) (← links)
- Sato Processes in Default Modelling (Q3063871) (← links)
- New evidence on the relation between return volatility and trading volume (Q3065535) (← links)
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958) (← links)
- Assessment and propagation of input uncertainty in tree-based option pricing models (Q3077471) (← links)
- Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes (Q3094135) (← links)
- A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS (Q3094327) (← links)
- THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS (Q3100748) (← links)
- PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
- Well-balanced Lévy driven Ornstein–Uhlenbeck processes (Q3107438) (← links)
- Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models (Q3111058) (← links)
- Sequential Monte Carlo Methods for Option Pricing (Q3168706) (← links)
- MULTIVARIATE ECOGARCH PROCESSES (Q3168874) (← links)
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes (Q3174918) (← links)
- The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model (Q3182399) (← links)
- Integrating Volatility Clustering Into Exponential Lévy Models (Q3182422) (← links)
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes (Q3182428) (← links)
- Multifractal scenarios for products of geometric Lévy-based stationary models (Q3185980) (← links)
- Modelling Electricity Futures by Ambit Fields (Q3191820) (← links)
- Stationarity and Ergodicity for an Affine Two-Factor Model (Q3191827) (← links)
- REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS (Q3191831) (← links)
- Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion (Q3368564) (← links)
- Wavelet Galerkin pricing of American options on Lévy driven assets (Q3375382) (← links)
- Backward simulation of multivariate mixed Poisson processes (Q3390358) (← links)
- CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (Q3393977) (← links)
- Modelling Electricity Prices with Forward Looking Capacity Constraints (Q3395723) (← links)
- Option pricing with Lévy-Stable processes generated by Lévy-Stable integrated variance (Q3404096) (← links)
- Portfolio optimization and a factor model in a stochastic volatility market (Q3426318) (← links)
- Regression Properties for Asymmetric Generalized Scale Mixtures of Multivariate Gaussian Variables (Q3436007) (← links)