Pages that link to "Item:Q4066831"
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The following pages link to A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (Q4066831):
Displaying 50 items.
- An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach (Q68580) (← links)
- GMM estimation with cross sectional dependence (Q113633) (← links)
- On the use of non-linear transformations in stochastic volatility models (Q257523) (← links)
- An integrated inventory model with variable lead time, defective units and delay in payments (Q275071) (← 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)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830) (← links)
- Extracting a common stochastic trend: theory with some applications (Q302195) (← links)
- Additive subordination and its applications in finance (Q309162) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Capturing parameter risk with convex risk measures (Q362040) (← links)
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market (Q378275) (← links)
- Filtering a nonlinear stochastic volatility model (Q437251) (← links)
- Efficient likelihood estimation in state space models (Q449965) (← links)
- Testing for unit roots in time series models with non-stationary volatility (Q451288) (← links)
- Some problems for Clark's model. I. Estimating the non-ruin probability for an insurance company (Q465945) (← links)
- Some problems for Clark's model. II. A solution for Merton's portfolio problem (Q465988) (← links)
- Statistical estimation of Lévy-type stochastic volatility models (Q470521) (← links)
- Affine fractional stochastic volatility models (Q470522) (← links)
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380) (← links)
- Multi-scaling of moments in stochastic volatility models (Q492947) (← links)
- Trading volume in financial markets: an introductory review (Q508275) (← links)
- Stylized facts of price gaps in limit order books (Q508284) (← links)
- On the measurement and treatment of extremes in time series (Q508717) (← links)
- Series representations for multivariate time-changed Lévy models (Q518858) (← links)
- Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
- Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions (Q528145) (← links)
- Pricing of the time-change risks (Q543799) (← links)
- Gaussian mixture modelling to detect random walks in capital markets (Q597510) (← links)
- Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph empirical analysis with high-frequency financial data based on a Poisson mixture model (Q614551) (← links)
- Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models (Q641782) (← links)
- Statistical inference for time-changed Lévy processes via composite characteristic function estimation (Q651029) (← links)
- Dynamic relationship among intraday realized volatility, volume and number of trades (Q651375) (← links)
- A note on first-passage times of continuously time-changed Brownian motion (Q654495) (← links)
- On filtering and estimation of a threshold stochastic volatility model (Q658656) (← links)
- Optimal portfolio allocation with higher moments (Q665798) (← links)
- A note on intraday foreign exchange volatility and the informational role of quote arrivals (Q672930) (← links)
- A testable version of the Pareto-Stable CAPM (Q699422) (← links)
- Bad news and Dow Jones make the Spanish stocks go round (Q704092) (← links)
- On the class of distributions of subordinated Lévy processes and bases (Q730346) (← links)
- Bayesian semiparametric stochastic volatility modeling (Q736526) (← links)
- Estimating quadratic variation when quoted prices change by a constant increment (Q737253) (← links)
- Causal and dynamic relationships among stock returns, return volatility and trading volume: Evidence from emerging markets in South-East Asia (Q841839) (← links)
- Quantifying and understanding the economics of large financial movements (Q844583) (← links)
- Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
- Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility (Q867688) (← links)
- Financial crashes as endogenous jumps: estimation, testing and forecasting (Q956492) (← links)
- The dynamic relations among return volatility, trading imbalance, and trading volume in futures markets (Q960338) (← links)
