On the use of non-linear transformations in stochastic volatility models
DOI10.1007/S10260-008-0113-9zbMATH Open1333.62296OpenAlexW2057415605MaRDI QIDQ257523FDOQ257523
Authors: Georgios Tsiotas 
Publication date: 17 March 2016
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-008-0113-9
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Cites Work
- Inference from iterative simulation using multiple sequences
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- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- On generalised asymmetric stochastic volatility models
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- Title not available (Why is that?)
- Modeling and Forecasting Realized Volatility
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- A class of nonlinear stochastic volatility models and its implications for pricing currency options
- Estimation of stochastic volatility models with diagnostics
- On power transformations to symmetry
- Karhunen-Loeve Analysis of Historical Time Series With an Application to Plantation Births in Jamaica
- Volatility forecast comparison using imperfect volatility proxies
Cited In (6)
- Application in stochastic volatility models of nonlinear regression with stochastic design
- Revisiting linear and lognormal stochastic volatility models
- Realized non-linear stochastic volatility models with asymmetric effects and generalized Student's \(t\)-distributions
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- On generalised asymmetric stochastic volatility models
- Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions
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