Stochastic volatility and stochastic leverage
From MaRDI portal
Recommendations
- On leverage in a stochastic volatility model
- A semiparametric stochastic volatility model
- A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
- Stochastic volatility with leverage: fast and efficient likelihood inference
- On idiosyncratic stochasticity of financial leverage effects
Cites work
- scientific article; zbMATH DE number 5354344 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 1210412 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- A Stochastic Volatility Alternative to SABR
- A Tale of Two Time Scales
- A central limit theorem for realised power and bipower variation of continuous semimartingales
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- An interest rate model with upper and lower bounds
- Asymptotic properties of realized power variations and related functionals of semimartingales
- Bayesian Inference for Non-Gaussian Ornstein–Uhlenbeck Stochastic Volatility Processes
- Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Contingent claims and market completeness in a stochastic volatility model.
- Continuous Time Wishart Process for Stochastic Risk
- DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Econometric analysis of jump-driven stochastic volatility models
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Financial Modelling with Jump Processes
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Inference for Continuous Semimartingales Observed at High Frequency
- Inference for the jump part of quadratic variation of Itô semimartingales
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
- Martingale methods in financial modelling.
- Microstructure Noise, Realized Variance, and Optimal Sampling
- Microstructure noise in the continuous case: the pre-averaging approach
- Multivariate Jacobi process with application to smooth transitions
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On changes of measure in stochastic volatility models
- On leverage in a stochastic volatility model
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Stochastic processes and orthogonal polynomials
- Testing for jumps in a discretely observed process
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- The Wishart autoregressive process of multivariate stochastic volatility
- Transformations of Markov processes and classification scheme for solvable driftless diffusions
- Variation, jumps and high-frequency data in financial econometrics
- Volatility puzzles: a simple framework for gauging return-volatility regressions
- Wishart processes
Cited in
(25)- On the investment-uncertainty relationship in a real option model with stochastic volatility
- An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
- Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes
- A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
- The leverage effect puzzle: the case of European sovereign credit default swap market
- Some recent developments in stochastic volatility modelling
- VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
- On leverage in a stochastic volatility model
- On idiosyncratic stochasticity of financial leverage effects
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
- First steps towards an equilibrium theory for Lévy financial markets
- Multiple time scales in volatility and leverage correlations: a stochastic volatility model
- Smiles \& smirks: volatility and leverage by jumps
- Estimation of the stochastic leverage effect using the Fourier transform method
- Leverage causes fat tails and clustered volatility
- Stochastic equity volatility related to the leverage effect
- scientific article; zbMATH DE number 1865385 (Why is no real title available?)
- Exponentiation of conditional expectations under stochastic volatility
- Comparison of asymmetric stochastic volatility models under different correlation structures
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Estimation of correlation for continuous semimartingales
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Bias-optimal vol-of-vol estimation: the role of window overlapping
- How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
- The reactive volatility model
This page was built for publication: Stochastic volatility and stochastic leverage
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q470516)
