Results 271 to 280 of about 22,447 (299)

Testing for Volatility Jumps in the Stochastic Volatility Process

Asia-Pacific Financial Markets, 2005
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openaire   +1 more source

Stochastic Volatility and Realized Stochastic Volatility Models

2023
Makoto Takahashi, Yasuhiro Omori, Toshiaki Watanabe   +2 more
openaire   +1 more source

Analytically pricing variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching

Expert Systems With Applications, 2023
Sha Lin, Xin-Jiang He
exaly  

A new nonlinear stochastic volatility model with regime switching stochastic mean reversion and its applications to option pricing

Expert Systems With Applications, 2023
Xin-Jiang He, Sha Lin
exaly  

Stochastic Volatility

SSRN Electronic Journal, 2015
Carl Chiarella, Xue-Zhong He, Christina Sklibosios Nikitopoulos   +2 more
openaire   +2 more sources

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Journal of the Royal Statistical Society Series B: Statistical Methodology, 2002
Ole E Barndorff-Nielsen, Neil Shephard
exaly  

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Management Science, 2009
Peter Christoffersen, Kris Jacobs
exaly  

Bayesian Analysis of Stochastic Volatility Models

Journal of Business and Economic Statistics, 1994
Eric Jacquier, Nicholas G Polson, Peter E Rossi   +2 more
exaly  

A market model for stochastic implied volatility

Philosophical Transactions Series A, Mathematical, Physical, and Engineering Sciences, 1999
Philipp J Schönbucher
exaly  

Multivariate Stochastic Volatility: A Review

Econometric Reviews, 2006
Manabu Asai, Michael Mcaleer, Jun Yu
exaly