Dynamic forecasting and mechanisms of volatility synchronization in complex financial systems. [PDF]
Li JC, Guo J, Ma R, Zhong G.
europepmc +1 more source
Bond market opening, monetary policy, and systemic financial risks - An empirical study based on the TVP-SV-VAR model. [PDF]
Ping WY, Hu YW, Luo LQ.
europepmc +1 more source
A Simulation Study comparing MCMC, QML and GMM Estimation of the Stochastic Volatility Model
Carl Nilsson
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Closed-form approximations for option prices in stochastic volatility models via the mixing solution
Kaustav Das
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Empirical Study on Fluctuation Theorem for Volatility Cascade Processes in Stock Markets. [PDF]
Maskawa JI.
europepmc +1 more source
Calibration of Stochastic Volatility Models on a Multi-Core CPU Cluster
Matthew Dixon, Mohammed Zubair
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Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
Ben Hambly, Nikolaos Kolliopoulos
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Entropy and Chaos-Based Modeling of Nonlinear Dependencies in Commodity Markets. [PDF]
Georgescu I, Kinnunen J.
europepmc +1 more source

