Pages that link to "Item:Q4372033"
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The following pages link to MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (Q4372033):
Displaying 50 items.
- Robust option pricing (Q297417) (← links)
- Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
- Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models (Q302189) (← links)
- Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644) (← links)
- The leverage effect puzzle: the case of European sovereign credit default swap market (Q345723) (← links)
- American stochastic volatility call option pricing: a lattice based approach (Q375256) (← links)
- Filtering a nonlinear stochastic volatility model (Q437251) (← links)
- Product autoregressive models for non-negative variables (Q449010) (← links)
- Efficient likelihood estimation in state space models (Q449965) (← links)
- Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
- Tractable stochastic analysis in high dimensions via robust optimization (Q715242) (← links)
- Comparison of value-at-risk models using the MCS approach (Q736648) (← links)
- Nonparametric model validations for hidden Markov models with applications in financial econometrics (Q737900) (← links)
- Interacting multiple try algorithms with different proposal distributions (Q746262) (← links)
- Sample quantile analysis for long-memory stochastic volatility models (Q888329) (← links)
- An option pricing formula for the GARCH diffusion model (Q957204) (← links)
- Iterated importance sampling in missing data problems (Q959418) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Combining estimating functions for volatility (Q999000) (← links)
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (Q1023615) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study (Q1298478) (← links)
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood (Q1305633) (← links)
- Estimation of stochastic volatility models with diagnostics (Q1372927) (← links)
- The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
- Bounds for present value functions with stochastic interest rates and stochastic volatility. (Q1394966) (← links)
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns (Q1604080) (← links)
- Long memory with stochastic variance model: a recursive analysis for US inflation (Q1623516) (← links)
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility (Q1657206) (← links)
- Estimation and asymptotic covariance matrix for stochastic volatility models (Q1697869) (← links)
- Filtering and estimation for a class of stochastic volatility models with intractable likelihoods (Q1757658) (← links)
- Spatio-temporal change-point modeling (Q1763441) (← links)
- No-arbitrage, leverage and completeness in a fractional volatility model (Q1783279) (← links)
- Markov chain Monte Carlo methods for stochastic volatility models. (Q1867723) (← links)
- Asymptotic filtering theory for multivariate ARCH models (Q1915438) (← links)
- Capturing deep tail risk via sequential learning of quantile dynamics (Q2007859) (← links)
- Estimation of time-varying autoregressive stochastic volatility models with stable innovations (Q2058757) (← links)
- Time-delayed stochastic volatility model (Q2077847) (← links)
- A score statistic for testing the presence of a stochastic trend in conditional variances (Q2127331) (← links)
- A new filtering inference procedure for a GED state-space volatility model (Q2156805) (← links)
- Modeling volatility using state space models with heavy tailed distributions (Q2228729) (← links)
- A fast and efficient Markov chain Monte Carlo method for market microstructure model (Q2244387) (← links)
- On evaluation of strategies of a return process (Q2255594) (← links)
- Model for dynamic multiple of CPPI strategy (Q2320718) (← links)
- Moving average stochastic volatility models with application to inflation forecast (Q2442456) (← links)
- Properties of a simple bilinear stochastic model: Estimation and predictability (Q2482024) (← links)
- Tail behavior of a threshold autoregressive stochastic volatility model (Q2488465) (← links)
- A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
- Divergent Perpetuities Modulated by Regime Switches (Q2841131) (← links)
- Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036) (← links)
