scientific article; zbMATH DE number 2065158
From MaRDI portal
Publication:4459831
zbMATH Open1069.91041MaRDI QIDQ4459831FDOQ4459831
Giovanni De Luca, Francesco Bartolucci
Publication date: 18 May 2004
Title of this publication is not available (Why is that?)
Recommendations
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
- Bayesian analysis of stochastic volatility models
- Inference methods for stochastic volatility models
- scientific article; zbMATH DE number 1222311
Cited In (45)
- Stochastic Volatility Estimation Using Markov Chain Simulation
- ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS
- Iterative estimation procedure for option pricing with stochastic volatility models
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
- Local influence of stochastic volatility models
- Title not available (Why is that?)
- Stochastic volatility models for ordinal-valued time series with application to finance
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
- Econometric analysis of realized volatility and its use in estimating stochastic volatility models
- Title not available (Why is that?)
- Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
- Complications with stochastic volatility models
- Numerical integration‐based Gaussian mixture filters for maximum likelihood estimation of asymmetric stochastic volatility models
- Log-Modulated Rough Stochastic Volatility Models
- Linear‐representation Based Estimation of Stochastic Volatility Models
- Volatility, risk modeling and utility
- Random coefficient volatility models
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Estimating the instantaneous volatility and covariance of risky assets
- Estimation of Stochastic Volatility Models: An Approximation to the Nonlinear State Space Representation
- Structural stochastic volatility in asset pricing dynamics: estimation and model contest
- Fourier-Malliavin Volatility Estimation
- Title not available (Why is that?)
- A Stochastic Volatility Alternative to SABR
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
- Stochastic volatility and DSGE models
- A semiparametric stochastic volatility model
- Volatility estimation from short time series of stock prices
- Correlations and bounds for stochastic volatility models
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- Stochastic models for risk estimation in volatile markets: a survey
- A Note on Efficient Fitting of Stochastic Volatility Models
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Quasi-maximum likelihood estimation of multivariate diffusions
- Title not available (Why is that?)
- Estimation of stochastic volatility in the Hull-White model
- Probabilistic Properties of Stochastic Volatility Models
- Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
- On normal-Laplace stochastic volatility model
- Stochastic volatility models including open, close, high and low prices
- Stochastic volatility: likelihood inference and comparison with ARCH models
- Estimating dynamic equilibrium models with stochastic volatility
- Complete Models with Stochastic Volatility
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4459831)
