Pages that link to "Item:Q1398979"
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The following pages link to Alternative models for stock price dynamics. (Q1398979):
Displaying 50 items.
- BART: Bayesian additive regression trees (Q65651) (← links)
- A component model for dynamic correlations (Q128853) (← links)
- MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Term structure of risk under alternative econometric specifications (Q292020) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
- Quality control for structural credit risk models (Q299230) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models (Q302189) (← links)
- Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
- A new exact solution for pricing European options in a two-state regime-switching economy (Q356242) (← links)
- A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
- On generalised asymmetric stochastic volatility models (Q429633) (← links)
- Modelling and forecasting noisy realized volatility (Q429642) (← links)
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (Q515127) (← links)
- Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
- Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model (Q614589) (← links)
- An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts (Q659261) (← links)
- American options: the EPV pricing model (Q665543) (← links)
- Maximum likelihood estimation of the double exponential jump-diffusion process (Q665791) (← links)
- Robust portfolio optimization with a generalized expected utility model under ambiguity (Q665830) (← links)
- Jump diffusion models and the evolution of financial prices (Q715465) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Threshold bipower variation and the impact of jumps on volatility forecasting (Q737246) (← links)
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
- Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279) (← links)
- Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
- Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
- Realized Laplace transforms for estimation of jump diffusive volatility models (Q738034) (← links)
- American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
- A viscosity solution method for optimal stopping problems with regime switching (Q829599) (← links)
- Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (Q858848) (← links)
- Volatility, risk modeling and utility (Q858849) (← links)
- Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
- A tale of two option markets: pricing kernels and volatility risk (Q894646) (← links)
- Simulation-based exact jump tests in models with conditional heteroskedasticity (Q951480) (← links)
- Comparing stochastic volatility models through Monte Carlo simulations (Q959262) (← links)
