The following pages link to Asset pricing for general processes (Q804457):
Displaying 50 items.
- Positive alphas and a generalized multiple-factor asset pricing model (Q253114) (← 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)
- A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous (Q284320) (← links)
- Monitoring disruptions in financial markets (Q291846) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Inference from high-frequency data: a subsampling approach (Q515131) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Correlation and the pricing of risks (Q665786) (← links)
- Realised quantile-based estimation of the integrated variance (Q736690) (← links)
- Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data (Q736693) (← links)
- High-frequency returns, jumps and the mixture of normals hypothesis (Q737271) (← links)
- Causality effects in return volatility measures with random times (Q737283) (← links)
- Semilattices, canonical embeddings and representing measures (Q777918) (← links)
- Econometric analysis of high frequency data (Q862781) (← links)
- Dividends in the theory of derivative securities pricing (Q878400) (← links)
- Bias-correcting the realized range-based variance in the presence of market microstructure noise (Q964674) (← links)
- Optimal consumption choice with intolerance for declining standard of living (Q1030171) (← links)
- Martingale densities for general asset prices (Q1199742) (← links)
- Continuous-time security pricing. A utility gradient approach (Q1322708) (← links)
- Labor income, borrowing constraints, and equilibrium asset prices (Q1341465) (← links)
- Value preserving portfolio strategies in continuous-time models (Q1360868) (← links)
- Heterogeneous information arrival and option pricing (Q1377317) (← links)
- Actuarial bridges to dynamic hedging and option pricing (Q1381457) (← links)
- Explicit characterizations of financial prices with history-dependent utility (Q1602940) (← links)
- Stochastic string models with continuous semimartingales (Q1618536) (← links)
- Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices (Q1739058) (← links)
- Large-dimensional factor modeling based on high-frequency observations (Q1739630) (← links)
- Viable prices in financial markets with solvency constraints (Q1890932) (← links)
- Structured products equilibria in conic two price markets (Q1938974) (← links)
- Asset pricing theory for two price economies (Q2018556) (← links)
- Forecasting volatility with time-varying coefficient regressions (Q2187983) (← links)
- Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
- Yan theorem in \(L^{\infty}\) with applications to asset pricing (Q2480082) (← links)
- New evidence on the relation between return volatility and trading volume (Q3065535) (← links)
- No Arbitrage and the Growth Optimal Portfolio (Q3423706) (← links)
- ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE (Q3502124) (← links)
- SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS (Q3503048) (← links)
- Option Pricing With V. G. Martingale Components<sup>1</sup> (Q4345917) (← links)
- Optimal Consumption‐Portfolio Policies With Habit Formation<sup>1</sup> (Q4345934) (← links)
- Option Pricing When Jump Risk Is Systematic<sup>1</sup> (Q4345937) (← links)
- Forecasting and trading high frequency volatility on large indices (Q4554453) (← links)
- POSITIVE ALPHAS, ABNORMAL PERFORMANCE, AND ILLUSORY ARBITRAGE (Q4906513) (← links)
- A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY (Q4979933) (← links)
- Effects of intervaling on high-frequency realized higher-order moments (Q5139222) (← links)
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets (Q5431993) (← links)
- DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS (Q5464333) (← links)
- An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis (Q5938035) (← links)
- Equilibrium with new investment opportunities (Q5941431) (← links)
- A GMM approach to estimate the roughness of stochastic volatility (Q6108276) (← links)
- IMPLEMENTING ARROW–DEBREU EQUILIBRIA IN APPROXIMATELY COMPLETE SECURITY MARKETS (Q6196942) (← links)