Statistical methods in finance
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Cited in
(92)- Inference on two-component mixtures under tail restrictions
- Leroux's method for general hidden Markov models
- Dr C R Rao's contributions to the advancement of economic science
- The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1
- On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?
- Towards a computationally tractable maximum entropy principle for nonstationary financial time series
- A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
- The Wishart autoregressive process of multivariate stochastic volatility
- Realized volatility of index constituent stocks in Hong Kong
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
- Comparing the accuracy of multivariate density forecasts in selected regions of the copula support
- Finite sample multivariate tests of asset pricing models with coskewness
- Frontiers of financial econometrics and financial engineering. Papers of a conference, Durham. NC, USA
- An introduction to statistical finance
- Computing the CEV option pricing formula using the semiclassical approximation of path integral
- Stable modeling of value at risk
- The distribution of test statistics for outlier detection in heavy-tailed samples
- Evidence of Markov properties of high frequency exchange rate data
- Option surface statistics with applications
- The pricing kernel puzzle: survey and outlook
- An investigation of model selection criteria for neural network time series forecasting
- Generalization of symmetric \(\alpha\)-stable Lévy distributions for \(q > 1\)
- Simultaneous inference for time-varying models
- A multiscale correction to the Black-Scholes formula
- Early warning systems for sovereign debt crises: The role of heterogeneity
- Likelihood-based inference for a class of multivariate diffusions with unobserved paths
- Quantifying and understanding the economics of large financial movements
- Decision technologies for computational finance. Proceedings of the fifth international conference computational finance, London, GB, December 1997.
- Consistent tests for symmetric stability with finite mean based on the empirical characteristic function
- Identification of Time-Varying Factor Models
- An asset return model capturing stylized facts
- Modelling and forecasting noisy realized volatility
- New approach and analysis of the generalized constant elasticity of variance model
- Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
- Finite sample distributions of self-normalized sums
- Structural change tests for simulated method of moments.
- Evaluation of asset pricing models using two-pass cross-sectional regressions
- Financial data modeling by Poisson mixture regression
- Pricing and hedging long-term options
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- News, volatility and jumps: the case of natural gas futures
- Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
- Fractal market hypothesis and two power-laws
- Discrete time parametric models with long memory and infinite variance
- Estimate of a volatility's common component in ARSV models: a simulation study
- A non-linear explicit filter.
- Nonparametric volatility prediction
- Testing for persistence in stock returns with GARCH-stable shocks
- Nonparametric estimation of American options' exercise boundaries and call prices
- Estimating quadratic variation when quoted prices change by a constant increment
- Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19
- Estimation of unknown parameters in nonlinear and non-Gaussian state-space models
- Conditional VaR estimation using Pearson's type IV distribution
- Identification and inference in two-pass asset pricing models
- Moment estimator for random vectors with heavy tails
- Multivariate normal \(\alpha\)-stable exponential families
- Option valuation with IG-GARCH model and a U-shaped pricing kernel
- Some statistical models for durations and an application to News Corporation stock prices
- Estimating the logarithm of characteristic function and stability parameter for symmetric stable laws
- Statistics in finance
- Simple estimators and inference for higher-order stochastic volatility models
- Iterated importance sampling in missing data problems
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Maximum likelihood estimation of stable Paretian models.
- Statistics and Data Analysis for Financial Engineering
- Post-'87 crash fears in the S\&P 500 futures option market
- Estimation of time-varying autoregressive stochastic volatility models with stable innovations
- Construction of the Black-Scholes PDE with jump-diffusion model
- scientific article; zbMATH DE number 5982712 (Why is no real title available?)
- Probability-conservative simulation for \textit{Lévy} financial model by a mixed finite element method
- Testing the assumptions behind importance sampling
- On leverage in a stochastic volatility model
- Temporal aggregation of volatility models
- Deciding between GARCH and stochastic volatility via strong decision rules
- Stochastic volatility with leverage: fast and efficient likelihood inference
- scientific article; zbMATH DE number 1226877 (Why is no real title available?)
- Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: a Bayesian approach
- Spatio-temporal dependence measures for bivariate AR(1) models with \(\alpha \)-stable noise
- Nonparametric cointegration analysis of fractional systems with unknown integration orders
- Combination of transition probability distribution and stable Lorentz distribution in stock markets
- Extending the volatility concept to point processes
- Variance reduction for Monte Carlo simulation in a stochastic volatility environment
- Analysis of high dimensional multivariate stochastic volatility models
- GMM estimation of a realized stochastic volatility model: a Monte Carlo study
- Variable dimension via stochastic volatility model using FX rates
- Tests for normal mixtures based on the empirical characteristic function
- Testing nonlinear forecastability in time series: Theory and evidence from the EMS
- Empirical assessment of an intertemporal option pricing model with latent variables.
- The large-sample distribution of the maximum Sharpe ratio with and without short sales
- The Gibbs sampler with particle efficient importance sampling for state-space models
- Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations
- Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
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