Beyond Stochastic Volatility and Jumps in Returns and Volatility
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- Daniela Neykova & Marcos Escobar & Rudi Zagst, 2015. "Optimal investment in multidimensional Markov-modulated affine models," Annals of Finance, Springer, vol. 11(3), pages 503-530, November.
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"Portfolio Optimization In Affine Models With Markov Switching,"
International Journal of Theoretical and Applied Finance (IJTAF),
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- Marcos Escobar & Daniela Neykova & Rudi Zagst, 2014. "Portfolio Optimization in Affine Models with Markov Switching," Papers 1403.5247, arXiv.org.
- Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015.
"What is beneath the surface? Option pricing with multifrequency latent states,"
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Elsevier, vol. 187(2), pages 498-511.
- Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013. "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," Les Cahiers de Recherche 969, HEC Paris.
- repec:eee:jbfina:v:83:y:2017:i:c:p:85-103 is not listed on IDEAS
- Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
- Reyes-García, Nallely Jacqueline & Venegas-Martínez, Francisco & Cruz-Aké, Salvador, 2018.
"Un análisis comparativo entre GARCH-M, EGARCH y PJ-RS-EV para modelar la volatilidad de Índice de precios y cotizaciones de la Bolsa Mexicana de Valores
[A Comparative Analysis among GARCH-M, EGARC," MPRA Paper 84304, University Library of Munich, Germany.
- Andrey Itkin, 2015. "LSV models with stochastic interest rates and correlated jumps," Papers 1511.01460, arXiv.org, revised Nov 2016.
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