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~person:"Hernández-Lerma, Onésimo"
~person:"McAleer, Michael"
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Search: subject:"Continuous Time"
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Continuous time
4
Overtaking optimality
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4
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high frequency data
4
implied volatility
4
stochastic volatility
4
Average reward criteria
2
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Hernández-Lerma, Onésimo
McAleer, Michael
Posch, Olaf
30
Wälde, Klaus
20
Friedman, Daniel
15
Andersen, Torben G.
14
Bollerslev, Tim
14
Oprea, Ryan
14
Riedel, Frank
14
Trimborn, Timo
13
Scalas, Enrico
12
Nuño, Galo
11
Steg, Jan-Henrik
10
Diebold, Francis X.
9
Federici, Daniela
9
Flaschel, Peter
9
Gandolfo, Giancarlo
8
Guo, Xianping
8
Parra-Alvarez, Juan Carlos
8
Prieto-Rumeau, Tomás
8
Bayer, Christian
7
Behringer, Stefan
7
Benndorf, Volker
7
Chambers, Marcus J.
7
Ebina, Takeshi
7
Hong, Yongmiao
7
Maggi, Bernardo
7
Park, Joon Y.
7
Szydlowski, Martin
7
Yu, Jun
7
Benth, Fred Espen
6
Cui, Zhenyu
6
Fabbri, Giorgio
6
Folmer, Henk
6
Franke, Reiner
6
Herzberg, Frederik
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Kleinow, Torsten
6
Matsushima, Noriaki
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Nijkamp, Peter
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Patuelli, Roberto
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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Institute of Economic Research, Kyoto University
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RePEc
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Date (oldest first)
1
Estimating the Leverage Parameter of
Continuous-time
Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
This paper proposes a new method for estimating
continuous-time
stochastic volatility (SV) models for the S&P 500 stock … popular
continuous-time
models to short intraday time intervals, and estimate the parameters using such data, can lead to …
Persistent link: https://www.econbiz.de/10009142363
Saved in:
2
Estimating the Leverage Parameter of
Continuous-time
Stochastic Volatility Models Using High Frequency S&P 500 VIX
McAleer, Michael
;
Ishida, Ishida, I.
;
Oya, Oya, K.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2011
This paper proposes a new method for estimating
continuous-time
stochastic volatility (SV) models for the S&P 500 stock … parameters of popular
continuous-time
models can lead to nonsensical estimates due to severe intraday seasonality. A primary …
Persistent link: https://www.econbiz.de/10010837976
Saved in:
3
Estimating the Leverage Parameter of
Continuous-time
Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
Institute of Economic Research, Kyoto University
-
2011
This paper proposes a new method for estimating
continuous-time
stochastic volatility (SV) models for the S&P 500 stock … parameters of popular
continuous-time
models can lead to nonsensical estimates due to severe intraday seasonality. A primary …
Persistent link: https://www.econbiz.de/10008828716
Saved in:
4
Econometric modelling in finance and risk management: An overview
Gao, Jiti
;
McAleer, Michael
;
Allen, Dave
-
Volkswirtschaftliche Fakultät, …
-
2006
volatility, modeling time series and
continuous-time
models with long-range dependence, estimation and specification testing of …
Persistent link: https://www.econbiz.de/10005786907
Saved in:
5
Estimating the Leverage Parameter of
Continuous-time
Stochastic Volatility Models Using High Frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
-
Department of Economics and Finance, College of …
-
2011
This paper proposes a new method for estimating
continuous-time
stochastic volatility (SV) models for the S&P 500 stock … parameters of popular
continuous-time
models can lead to nonsensical estimates due to severe intraday seasonality. A primary …
Persistent link: https://www.econbiz.de/10008836557
Saved in:
6
Estimating the leverage parameter of
continuous-time
stochastic volatility models using high frequency S&P 500 and VIX
Ishida, Isao
;
McAleer, Michael
;
Oya, Kosuke
- In:
Managerial Finance
37
(
2011
)
October
,
pp. 1048-1067
Purpose – The purpose of this paper is to propose a new method for estimating
continuous-time
stochastic volatility (SV …
Persistent link: https://www.econbiz.de/10010675798
Saved in:
7
Variance minimization and the overtaking optimality approach to
continuous-time
controlled Markov chains
Prieto-Rumeau, Tomás
;
Hernández-Lerma, Onésimo
- In:
Computational Statistics
70
(
2009
)
3
,
pp. 527-540
This paper deals with denumerable-state
continuous-time
controlled Markov chains with possibly unbounded transition and …
Persistent link: https://www.econbiz.de/10010759505
Saved in:
8
Variance minimization and the overtaking optimality approach to
continuous-time
controlled Markov chains
Prieto-Rumeau, Tomás
;
Hernández-Lerma, Onésimo
- In:
Mathematical Methods of Operations Research
70
(
2009
)
3
,
pp. 527-540
This paper deals with denumerable-state
continuous-time
controlled Markov chains with possibly unbounded transition and …
Persistent link: https://www.econbiz.de/10010999914
Saved in:
9
Realized Volatility: A Review
McAleer, Michael
;
Medeiros, Marcelo
- In:
Econometric Reviews
27
(
2008
)
1-3
,
pp. 10-45
main results. A
continuous
time
specification provides the theoretical foundation for the main results in this literature …
Persistent link: https://www.econbiz.de/10005511988
Saved in:
10
Bias and overtaking equilibria for zero-sum
continuous-time
Markov games
Prieto-Rumeau, Tomás
;
Hernández-Lerma, Onésimo
- In:
Computational Statistics
61
(
2005
)
3
,
pp. 437-454
This paper deals with
continuous-time
zero-sum two-person Markov games with denumerable state space, general (Borel …
Persistent link: https://www.econbiz.de/10010847694
Saved in:
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