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.
- 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)
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing (Q4554251) (← links)
- Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
- A dynamic equilibrium model for U-shaped pricing kernels (Q4554467) (← links)
- Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions (Q4554510) (← links)
- Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
- A non-Gaussian Ornstein–Uhlenbeck model for pricing wind power futures (Q4559324) (← links)
- A Simple Stochastic Rate Model for Rate Equity Hybrid Products (Q4584998) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: Stationarity versus nonstationarity (Q4601375) (← links)
- Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium (Q4604739) (← links)
- A Lévy-Driven Asset Price Model with Bankruptcy and Liquidity Risk (Q4609028) (← links)
- Non-parametric estimation of historical volatility (Q4610250) (← links)
- From local volatility to local Lévy models (Q4610266) (← links)
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise (Q4619499) (← links)
- Implicit expectiles and measures of implied volatility (Q4619525) (← links)
- Particle Markov Chain Monte Carlo Methods (Q4632633) (← links)
- DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION (Q4634639) (← links)
- A non-iterative posterior sampling algorithm for linear quantile regression model (Q4638786) (← links)
- DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS (Q4645330) (← links)
- Some recent developments in stochastic volatility modelling (Q4646765) (← links)
- Dynamics of implied volatility surfaces (Q4646769) (← links)
- Semi-parametric modelling in finance: theoretical foundations (Q4646785) (← links)
- A semi-parametric approach to risk management (Q4647288) (← 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)