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Asset pricing for general processes

Citations

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Cited by:

  1. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics," Economics Papers 2002-W13, Economics Group, Nuffield College, University of Oxford, revised 18 Mar 2002.
  3. Peter C. B. Phillips & Jun Yu, 2024. "Information loss in volatility measurement with flat price trading," Advanced Studies in Theoretical and Applied Econometrics, in: Subal C. Kumbhakar & Robin C. Sickles & Hung-Jen Wang (ed.), Advances in Applied Econometrics, pages 501-543, Springer.
  4. Asea, Patrick K. & Ncube, Mthuli, 1998. "Heterogeneous information arrival and option pricing," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 291-323.
  5. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
  6. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
  7. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
  8. Bent Jesper Christensen & Rasmus Tangsgaard Varneskov, 2021. "Dynamic Global Currency Hedging [Arbitrage in the Foreign Exchange Market: Turning on the Microscope]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 97-127.
  9. 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.
  10. Melenberg, B. & Werker, B.J.M., 1996. "On the Pricing of Options in Incomplete Markets," Other publications TiSEM 3531d5d5-d0a6-4d54-9d8a-9, Tilburg University, School of Economics and Management.
  11. Barndorff-Nielsen, Ole E. & Hansen, Peter Reinhard & Lunde, Asger & Shephard, Neil, 2011. "Subsampling realised kernels," Journal of Econometrics, Elsevier, vol. 160(1), pages 204-219, January.
  12. Morten Mosegaard Christensen & Eckhard Platen, 2007. "Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1339-1364.
  13. Barbachan, José Fajardo, 2002. "Equilibrium in stochastic economies with incomplete financial markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 22(1), May.
  14. Anderson, Robert M. & Raimondo, Roberto C., 2007. "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets," Department of Economics, Working Paper Series qt0zq6v5gd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  15. Ole E. Barndorff-Nielsen & Peter Reinhard Hansen & Asger Lunde & Neil Shephard, 2008. "Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise," Econometrica, Econometric Society, vol. 76(6), pages 1481-1536, November.
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