The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets (2000)

by Christopher S. Jones
Citations:73 - 1 self

Active Bibliography

28 Bayesian estimation of continuous-time finance models – Christopher S. Jones - 1999
6 BAYESIAN OPTION PRICING USING MIXED NORMAL HETEROSKEDASTICITY MODELS – Jeroen V. K. Rombouts, Lars Stentoft - 2009
heteroskedasticity models – Jeroen Rombouts, Lars Stentoft, Jeroen V. K. Rombouts, Lars Stentoft Core, Jeroen V. K. Rombouts, Lars Stentoft - 2009
1 Essays in Financial Econometrics – Mikhail Chernov - 2000
212 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
17 Which GARCH Model for Option Valuation – Peter Christoffersen, Kris Jacobs - 2004
1 Complex Times: Asset Pricing and Conditional Moments under Non-Affine Diffusions ∗ – Robert L. Kimmel - 2006
ΣΤΑΤΙΣΤΙΚΗ ΚΑΤΑ BAYES ΓΙΑ ΠΟΛΥΔΙΑΣΤΑΤΕΣ ΔΙΑΔΙΚΑΣΙΕΣ ΔΙΑΧΥΣΗΣ – Konstantinos P. Kalogeropoulos, Κωνσταντίνος Π. Καλογερόπουλος, Διδακτορικη Διατριβη, Διδακτορικού Διπλώματος Στη Στατιστική
89 Time-Changed Lévy Processes and Option Pricing – Peter Carr , Liuren Wu - 2002
19 Nonlinear Mean Reversion in the Short-Term Interest Rate – Christopher S. Jones - 2003
Option Pricing Bounds and Statistical . . . – Per A. Mykland - 2009
73 A Study towards a Unified Approach to the Joint Estimation of Objective and Risk Neutral Measures for the Purpose of Options Valuation – Mikhail Chernov, Eric Ghysels, Roger Lee, Especially Ron Gallant, Insightful Discussions We - 1999
87 Parametric and Nonparametric Volatility Measurement – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Neil Shephard - 2002
and methods in financial econometrics Contents – Zhibiao Zhao - 801
100 Stochastic Volatility for Lévy Processes – Peter Carr, Dilip B. Madan, Marc Yor - 2001
Les organisations-partenaires / The Partner Organizations – Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès, Octobre Cirano, École Des Hautes Études Commerciales
No-Arbitrage Valuation of Contingent Claims in Discrete Time – Peter Christoffersen, Redouane Elkamhi, Kris Jacobs - 2005
8 Option Valuation with Conditional Heteroskedasticity and Non-Normality – Peter Christoffersen, Redouane Elkamhi, Bruno Feunou, Kris Jacobs - 2009
6 Volatility Forecasting – Torben G. Andersen , Tim Bollerslev , Peter F. Christoffersen , Francis X. Diebold - 2005