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Alternative Models for Stock Price Dynamics

Citations

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Cited by:

  1. Ana-Maria Dumitru & Giovanni Urga, 2011. "Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 242-255, October.
  2. Liao, Yin & Pan, Zheyao, 2022. "Extreme risk connectedness among global major financial institutions: Links to globalization and emerging market fear," Pacific-Basin Finance Journal, Elsevier, vol. 76(C).
  3. Oliver Pfante & Nils Bertschinger, 2019. "Information-Theoretic Analysis Of Stochastic Volatility Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-21, February.
  4. Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh, 2013. "Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach," Knut Wicksell Working Paper Series 2013/4, Lund University, Knut Wicksell Centre for Financial Studies.
  5. Manabu Asai & Michael McAleer, 2017. "The impact of jumps and leverage in forecasting covolatility," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 638-650, October.
  6. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006. "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper 1188, Economics Department, Queen's University.
  7. Manabu Asai & Michael McAleer, 2017. "A fractionally integrated Wishart stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 42-59, March.
  8. Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
  9. Jin-Huei Yeh & Jying-Nan Wang & Chung-Ming Kuan, 2014. "A noise-robust estimator of volatility based on interquantile ranges," Review of Quantitative Finance and Accounting, Springer, vol. 43(4), pages 751-779, November.
  10. Kim, Kyong-Hui & Yun, Sim & Kim, Nam-Ung & Ri, Ju-Hyuang, 2019. "Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 522(C), pages 215-231.
  11. Lazar, Emese & Qi, Shuyuan, 2022. "Model risk in the over-the-counter market," European Journal of Operational Research, Elsevier, vol. 298(2), pages 769-784.
  12. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
  13. Bidder, R.M. & Smith, M.E., 2018. "Doubts and variability: A robust perspective on exotic consumption series," Journal of Economic Theory, Elsevier, vol. 175(C), pages 689-712.
  14. Hatchett, Robert B. & Brorsen, B. Wade & Anderson, Kim B., 2010. "Optimal Length of Moving Average to Forecast Futures Basis," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 35(1), pages 1-16.
  15. Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2019. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 158-184.
  16. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
  17. Jón Daníelsson & Francisco Peñaranda, 2011. "On The Impact Of Fundamentals, Liquidity, And Coordination On Market Stability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(3), pages 621-638, August.
  18. Federico M. Bandi & Roberto Reno, 2009. "Nonparametric Stochastic Volatility," Global COE Hi-Stat Discussion Paper Series gd08-035, Institute of Economic Research, Hitotsubashi University.
  19. Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
  20. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  21. Adam Clements & Stan Hurn & Scott White, 2006. "Estimating Stochastic Volatility Models Using a Discrete Non-linear Filter. Working paper #3," NCER Working Paper Series 3, National Centre for Econometric Research.
  22. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
  23. Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013. "Do jumps contribute to the dynamics of the equity premium?," Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
  24. Markus Bibinger & Nikolaus Hautsch & Peter Malec & Markus Reiss, 2019. "Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 419-435, July.
  25. Corsi, Fulvio & Pirino, Davide & Renò, Roberto, 2010. "Threshold bipower variation and the impact of jumps on volatility forecasting," Journal of Econometrics, Elsevier, vol. 159(2), pages 276-288, December.
  26. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
  27. Andreou, Elena & Ghysels, Eric, 2008. "Quality control for structural credit risk models," Journal of Econometrics, Elsevier, vol. 146(2), pages 364-375, October.
  28. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2021. "Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects," JRFM, MDPI, vol. 14(5), pages 1-28, May.
  29. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
  30. Hounyo, Ulrich & Varneskov, Rasmus T., 2020. "Inference for local distributions at high sampling frequencies: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 215(1), pages 1-34.
  31. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
  32. Cai, Ning & Li, Chenxu & Shi, Chao, 2021. "Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  33. Ole E. Barndorff-Nielsen & Neil Shephard, 2006. "Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 1-30.
  34. Asai, M. & McAleer, M.J. & Medeiros, M.C., 2008. "Asymmetry and leverage in realized volatility," Econometric Institute Research Papers EI 2008-31, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  35. Grassi, Stefano & Santucci de Magistris, Paolo, 2015. "It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 62-78.
  36. Bas Peeters, 2012. "Risk premiums in a simple market model for implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 739-748, January.
  37. Todorov, Viktor & Tauchen, George & Grynkiv, Iaryna, 2014. "Volatility activity: Specification and estimation," Journal of Econometrics, Elsevier, vol. 178(P1), pages 180-193.
  38. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
  39. MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
  40. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
  41. Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
  42. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
  43. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  44. Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, and Sebastien McMahon, 2015. "The Convenience Yield and the Informational Content of the Oil Futures Price," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  45. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group.
  46. Nakajima, Jouchi & Omori, Yasuhiro, 2009. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April.
  47. Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J. M., 2007. "The Impact of Overnight Periods on Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(2), pages 517-533, June.
  48. Christensen, Kim & Thyrsgaard, Martin & Veliyev, Bezirgen, 2019. "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing," Journal of Econometrics, Elsevier, vol. 212(2), pages 556-583.
  49. Sizova, Natalia, 2011. "Integrated variance forecasting: Model based vs. reduced form," Journal of Econometrics, Elsevier, vol. 162(2), pages 294-311, June.
  50. Andras Fulop & Junye Li & Jun Yu, 2012. "Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach," Global COE Hi-Stat Discussion Paper Series gd12-264, Institute of Economic Research, Hitotsubashi University.
  51. Belén Nieto & Alfonso Novales & Gonzalo Rubio, 2015. "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-41, December.
  52. Isao Ishida & Michael McAleer & Kosuke Oya, 2011. "Estimating the Leverage Parameter of Continuous-time Stochastic Volatility Models Using High Frequency S&P 500 and VIX," Documentos de Trabajo del ICAE 2011-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  53. Connor, Gregory & Suurlaht, Anita, 2013. "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
  54. Cyrille Dubarry & Randal Douc, 2014. "Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 443-456, March.
  55. Anders Eriksson & Daniel P. A. Preve & Jun Yu, 2019. "Forecasting Realized Volatility Using a Nonnegative Semiparametric Model," JRFM, MDPI, vol. 12(3), pages 1-23, August.
  56. Daniël Vullings, 2016. "Contingent convertible bonds with floating coupon payments: fixing the equilibrium problem," DNB Working Papers 517, Netherlands Central Bank, Research Department.
  57. Yuecai Han & Xudong Zheng, 2022. "Approximate Pricing of Derivatives Under Fractional Stochastic Volatility Model," Papers 2210.15453, arXiv.org.
  58. repec:wyi:journl:002108 is not listed on IDEAS
  59. Bollerslev, Tim & Gibson, Michael & Zhou, Hao, 2011. "Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities," Journal of Econometrics, Elsevier, vol. 160(1), pages 235-245, January.
  60. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2007. "Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 701-720, November.
  61. A. S. Hurn & K. A. Lindsay & A. J. McClelland, 2015. "Estimating the Parameters of Stochastic Volatility Models Using Option Price Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 579-594, October.
  62. Huang, Darien & Kilic, Mete, 2019. "Gold, platinum, and expected stock returns," Journal of Financial Economics, Elsevier, vol. 132(3), pages 50-75.
  63. Huber, Christoph & Huber, Jürgen & Kirchler, Michael, 2021. "Market shocks and professionals’ investment behavior – Evidence from the COVID-19 crash," Journal of Banking & Finance, Elsevier, vol. 133(C).
  64. Gordon R. Richards, 2004. "A fractal forecasting model for financial time series," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 586-601.
  65. Stephen J. Taylor & Chi‐Feng Tzeng & Martin Widdicks, 2018. "Information about price and volatility jumps inferred from options prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(10), pages 1206-1226, October.
  66. Helena Veiga, 2007. "Are Feedback Factors Important in Modeling Financial Data?," International Review of Finance, International Review of Finance Ltd., vol. 7(3‐4), pages 105-118, September.
  67. Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
  68. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options," NBER Working Papers 11861, National Bureau of Economic Research, Inc.
  69. Jeon, Jaegi & Kim, Geonwoo & Huh, Jeonggyu, 2021. "An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
  70. Laurini Márcio Poletti, 2013. "A Hybrid Data Cloning Maximum Likelihood Estimator for Stochastic Volatility Models," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 193-229, May.
  71. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2002. "An Empirical Investigation of Continuous‐Time Equity Return Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1239-1284, June.
  72. Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers 207677, University of Queensland, School of Economics.
  73. Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard, 2017. "Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination," Journal of Econometrics, Elsevier, vol. 197(2), pages 218-244.
  74. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2008. "Time-Deformation Modeling Of Stock Returns Directed By Duration Processes," Working Papers 08010, University of Waterloo, Department of Economics.
  75. Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
  76. Francesco Audrino & Yujia Hu, 2016. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Econometrics, MDPI, vol. 4(1), pages 1-24, February.
  77. Lee, Suzanne S. & Mykland, Per A., 2012. "Jumps in equilibrium prices and market microstructure noise," Journal of Econometrics, Elsevier, vol. 168(2), pages 396-406.
  78. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," Center for Financial Institutions Working Papers 02-27, Wharton School Center for Financial Institutions, University of Pennsylvania.
  79. Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
  80. Qian Han & Calum G. Turvey, 2013. "A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  81. Ilze Kalnina & Dacheng Xiu, 2017. "Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
  82. Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
  83. Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.
  84. Wu, Xin-Yu & Ma, Chao-Qun & Wang, Shou-Yang, 2012. "Warrant pricing under GARCH diffusion model," Economic Modelling, Elsevier, vol. 29(6), pages 2237-2244.
  85. Alexandre Ziegler, 2002. "Why does Implied Risk Aversion Smile?," FAME Research Paper Series rp47, International Center for Financial Asset Management and Engineering.
  86. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
  87. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat & Wang, Yintian, 2008. "Option valuation with long-run and short-run volatility components," Journal of Financial Economics, Elsevier, vol. 90(3), pages 272-297, December.
  88. Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2012. "Asymmetry and Long Memory in Volatility Modeling," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 495-512, June.
  89. Mark Broadie & Mikhail Chernov & Michael Johannes, 2009. "Understanding Index Option Returns," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4493-4529, November.
  90. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well," Management Science, INFORMS, vol. 55(12), pages 1914-1932, December.
  91. Dingan Feng & Peter X.-K. Song & Tony S. Wirjanto, 2015. "Time-Deformation Modeling of Stock Returns Directed by Duration Processes," Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 480-511, April.
  92. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
  93. Çelik, Sibel & Ergin, Hüseyin, 2014. "Volatility forecasting using high frequency data: Evidence from stock markets," Economic Modelling, Elsevier, vol. 36(C), pages 176-190.
  94. repec:hal:journl:peer-00741630 is not listed on IDEAS
  95. Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.
  96. Brennan, Michael J & LIU, XIAOQUAN & Xia, Yihong, 2005. "Option Pricing Kernels and the ICAPM," University of California at Los Angeles, Anderson Graduate School of Management qt4d90p8ss, Anderson Graduate School of Management, UCLA.
  97. Bent Jesper Christensen & Morten Ø. Nielsen, 2005. "The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices," Working Paper 1186, Economics Department, Queen's University.
  98. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
  99. Neil Shephard & Ole E. Barndorff-Nielsen & Department of Mathematical Sciences & University of Aarhus & Denmark, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Series Working Papers 240, University of Oxford, Department of Economics.
  100. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
  101. Cheng, Ai-ru (Meg) & Gallant, A. Ronald & Ji, Chuanshu & Lee, Beom S., 2008. "A Gaussian approximation scheme for computation of option prices in stochastic volatility models," Journal of Econometrics, Elsevier, vol. 146(1), pages 44-58, September.
  102. Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
  103. Chris Brooks & Marcel Prokopczuk, 2013. "The dynamics of commodity prices," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 527-542, March.
  104. Yanhong Zhong & Guohe Deng, 2019. "Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate," Complexity, Hindawi, vol. 2019, pages 1-13, January.
  105. Nakajima, Jouchi & Omori, Yasuhiro, 2012. "Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3690-3704.
  106. Per Bjarte Solibakke, 2022. "Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics," Energies, MDPI, vol. 15(10), pages 1-20, May.
  107. Xavier Calmet & Nathaniel Wiesendanger Shaw, 2020. "An analytical perturbative solution to the Merton–Garman model using symmetries," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 3-22, January.
  108. Veiga, Helena, 2006. "Volatility forecasts: a continuous time model versus discrete time models," DES - Working Papers. Statistics and Econometrics. WS ws062509, Universidad Carlos III de Madrid. Departamento de Estadística.
  109. Song Bin & Liu Bing & Liang Enqi, 2014. "American Option Pricing Using Particle Filtering Under Stochastic Volatility Correlated Jump Model," Journal of Systems Science and Information, De Gruyter, vol. 2(6), pages 505-519, December.
  110. Julien Chevallier & St�phane Goutte, 2015. "Detecting jumps and regime switches in international stock markets returns," Applied Economics Letters, Taylor & Francis Journals, vol. 22(13), pages 1011-1019, September.
  111. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  112. Andreou, Elena & Ghysels, Eric, 2021. "Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors," Journal of Econometrics, Elsevier, vol. 220(2), pages 366-398.
  113. Gonzalez-Hermosillo Gonzalez, B.M., 2008. "Transmission of shocks across global financial markets : The role of contagion and investors' risk appetite," Other publications TiSEM d684f3c7-7ad8-4e93-88cf-a, Tilburg University, School of Economics and Management.
  114. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
  115. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, vol. 160(1), pages 176-189, January.
  116. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers 389, University of Oxford, Department of Economics.
  117. Xin‐Jiang He & Song‐Ping Zhu, 2018. "On full calibration of hybrid local volatility and regime‐switching models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 586-606, May.
  118. Mark Broadie & Özgür Kaya, 2006. "Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes," Operations Research, INFORMS, vol. 54(2), pages 217-231, April.
  119. Yasuhiro Omori & Siddhartha Chib & Neil Shephard & Jouchi Nakajima, 2004. "Stochastic volatility with leverage: fast likelihood inference," Economics Papers 2004-W19, Economics Group, Nuffield College, University of Oxford.
  120. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  121. Choi, Sun-Yong, 2019. "The influence of shock signals on the change in volatility term structure," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
  122. Kadir G. Babaoglou & Peter Christoffersen & Steven L. Heston & Kris Jacobs, 2014. "Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels," CREATES Research Papers 2015-55, Department of Economics and Business Economics, Aarhus University.
  123. Asai, Manabu & McAleer, Michael & Medeiros, Marcelo C., 2012. "Modelling and forecasting noisy realized volatility," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 217-230, January.
  124. Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
  125. Ulrich Hounyo & Rasmus T. Varneskov, 2018. "Inference for Local Distributions at High Sampling Frequencies: A Bootstrap Approach," CREATES Research Papers 2018-16, Department of Economics and Business Economics, Aarhus University.
  126. Londono Yarce, J.M., 2011. "Essays on asset pricing," Other publications TiSEM 744a2ac5-7ada-4fa8-a7aa-e, Tilburg University, School of Economics and Management.
  127. Chernov, Mikhail, 2003. "Empirical reverse engineering of the pricing kernel," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 329-364.
  128. Per Bjarte Solibakke, 2021. "Forecasting Stochastic Volatility Characteristics for the Financial Fossil Oil Market Densities," JRFM, MDPI, vol. 14(11), pages 1-17, October.
  129. Fangfang Wang, 2016. "An Unbiased Measure of Integrated Volatility in the Frequency Domain," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 147-164, March.
  130. Pukthuanthong, Kuntara & Roll, Richard, 2012. "Internationally correlated jumps," Working Paper Series 1436, European Central Bank.
  131. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2021. "Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 559-576, May.
  132. Lena Cleanthous & Pany Karamanou, 2011. "The ECB Monetary Policy and the Current Financial Crisis," Working Papers 2011-1, Central Bank of Cyprus.
  133. Carsten H. Chong & Viktor Todorov, 2023. "Volatility of Volatility and Leverage Effect from Options," Papers 2305.04137, arXiv.org, revised Jan 2024.
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