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- Exchange Rate Volatility 2003-08-10 Paper Estimating stochastic volatility diffusion using conditional moments of integrated volatility 2003-04-02 Paper...10 bytes (16 words) - 21:48, 9 December 2023
- Integration theory for infinite dimensional volatility modulated Volterra processes 2016-05-12 Paper Simulation of volatility modulated Volterra processes using...10 bytes (19 words) - 10:32, 9 December 2023
- Approximation’ of Implied Volatility 2018-12-11 Paper Geometric Asian option pricing in general affine stochastic volatility models with jumps 2018-11-19...10 bytes (18 words) - 22:21, 10 December 2023
- at high frequencies 2014-09-25 Paper Volatility activity: specification and estimation 2014-08-07 Paper Volatility occupation times 2013-12-11 Paper The...10 bytes (17 words) - 14:47, 10 December 2023
- 2021-11-04 Paper EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS 2021-09-10 Paper Realized Semicovariances 2021-06-07...10 bytes (17 words) - 14:47, 10 December 2023
- fractional stochastic volatility model 2023-10-02 Paper Valuation of barrier and lookback options under hybrid CEV and stochastic volatility 2023-06-28 Paper...10 bytes (18 words) - 11:27, 11 December 2023
- models 2012-12-30 Paper SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS 2012-05-14 Paper Handbook of Volatility Models and Their Applications 2012-04-19 Paper...10 bytes (19 words) - 15:35, 10 December 2023
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors 2013-12-11 Paper Spot volatility estimation for...10 bytes (16 words) - 16:58, 9 December 2023
- stochastic volatility models with reflection 2023-07-06 Paper Large deviations for fractional volatility models with non-Gaussian volatility driver 2021-11-03...10 bytes (16 words) - 22:26, 9 December 2023
- Data-based ranking of realised volatility estimators 2016-08-10 Paper Volatility forecast comparison using imperfect volatility proxies 2016-08-10 Paper High-dimensional...10 bytes (18 words) - 21:48, 9 December 2023
- variance swaps with stochastic volatility 2016-01-04 Paper Analytically pricing volatility swaps under stochastic volatility 2015-06-22 Paper On the valuation...10 bytes (17 words) - 13:05, 11 December 2023
- Application to Stochastic Volatility Model 2015-11-04 Paper An approximation formula for basket option prices under local stochastic volatility with jumps: an application...10 bytes (16 words) - 19:05, 9 December 2023
- 2021-02-09 Paper Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors 2021-02-04 Paper On the Size Distortion...10 bytes (16 words) - 22:05, 9 December 2023
- 2006-03-09 Paper Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2005-04-22 Paper Computationally intensive...10 bytes (16 words) - 03:18, 10 December 2023
- 2007-09-18 Paper Multivariate Stochastic Volatility: A Review 2006-08-28 Paper Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison...10 bytes (18 words) - 01:29, 10 December 2023
- autoregressions with non-stationary volatility 2016-08-04 Paper Testing for a change in persistence in the presence of non-stationary volatility 2016-06-22 Paper Erratum...10 bytes (20 words) - 04:48, 9 December 2023
- 2023-12-12 Paper Scalable inference for a full multivariate stochastic volatility model 2023-02-01 Paper Variance reduction for Metropolis-Hastings samplers...10 bytes (16 words) - 21:03, 9 December 2023
- Publication Type Local volatility under rough volatility 2024-01-31 Paper Reconstructing volatility: Pricing of index options under rough volatility 2023-09-28 Paper...10 bytes (19 words) - 10:16, 8 December 2023
- Between the Volatility Swap Strike and the Zero Vanna Implied Volatility 2021-09-08 Paper On the short-maturity behaviour of the implied volatility skew for...10 bytes (16 words) - 10:16, 9 December 2023
- and forecasting noisy realized volatility 2012-06-20 Paper The Benefits of Bagging for Forecast Models of Realized Volatility 2010-12-15 Paper TESTING FOR...10 bytes (19 words) - 00:46, 9 December 2023
