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Search: subject:"Continuous Time"
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Volatility
Theorie
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195
continuous time
114
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93
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86
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66
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54
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1
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Journal of empirical finance
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Physica A: Statistical Mechanics and its Applications
1
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1
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1
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ECONIS (ZBW)
32
RePEc
2
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11
The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
Saved in:
12
A comparative study of several bootstrap-based tests for the volatility in
continuous-time
diffusion models
Yan, Tianshun
;
Zhang, Liping
- In:
Portuguese economic journal
19
(
2020
)
1
,
pp. 33-47
Persistent link: https://www.econbiz.de/10012254540
Saved in:
13
Variance reduction estimation for return models with jumps using gamma asymmetric kernels
Song, Yuping
;
Hou, Weijie
;
Zhou, Shengyi
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
23
(
2019
)
5
,
pp. 1-38
Persistent link: https://www.econbiz.de/10012198377
Saved in:
14
Bond and option prices with permanent shocks
Zoubi, Haitham al-
- In:
Journal of empirical finance
53
(
2019
),
pp. 272-290
Persistent link: https://www.econbiz.de/10012171645
Saved in:
15
A rank test for the number of factors with high-frequency data
Kong, Xin-Bing
;
Liu, Zhi
;
Zhou, Wang
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 439-460
Persistent link: https://www.econbiz.de/10012303820
Saved in:
16
Comparison of the Korean and US stock markets using
continuous-time
stochastic volatility models
Choi, Seungmoon
- In:
Han gug gae bal yeon gu
40
(
2018
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011954453
Saved in:
17
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
18
Effects of jumps and small noise in high-frequency financial econometrics
Kunitomo, Naoto
;
Kurisu, Daisuke
- In:
Asia-Pacific financial markets
24
(
2017
)
1
,
pp. 39-73
Persistent link: https://www.econbiz.de/10011742284
Saved in:
19
Pricing range accrual interest rate swap employing LIBOR market models with jump risks
Lin, Shih-kuei
;
Wang, Shin-yun
;
Chen, Carl R.
;
Xu, Lian-Wen
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 359-373
Persistent link: https://www.econbiz.de/10011938138
Saved in:
20
Forecasting latent volatility through a Markov chain approximation filter
Lo, Chia Chun
;
Skindilias, Konstantinos
; …
- In:
Journal of forecasting
35
(
2016
)
1
,
pp. 54-69
Persistent link: https://www.econbiz.de/10011417712
Saved in:
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