Stochastic Volatility (1995)

by Eric Ghysels , Andrew Harvey , Eric Renault
Citations:212 - 13 self

Active Bibliography

THE VOLATILITY PROCESS: A STUDY OF STOCK MARKET DYNAMICS VIA PARAMETRIC STOCHASTIC VOLATILITY MODELS AND A COMPARISON TO THE INFORMATION EMBEDDED IN THE OPTIONS PRICE – De Paris, Collège Doctoral, M. Lane, M. Marco, M. Piotr, Karasinski Examinateur, M. Bernard, Lapeyre Examinateur, M. Yves, Rouchaleau Examinateur Acknowledgments, Peter Carr, Espen Haug, Ali Hirsa, Simon Julier, Alan Lewis, Dilip Madan, Youssef R, Paul Wilmott, David Wong
Prepared for The Handbook of Econometrics, Volume 4 by – Tim Bollerslev, Robert F. Engle, Daniel B. Nelson, Tim Bollerslev, Robert F. Engle, Daniel B. Nelson, The Torben, G. Andersen, Patrick Billingsley, William A. Brock, Lars P. Hansen, Arch Models, T. Bollerslev, R. F. Engle, D. B. Nelson - 1993
Is volatility priced? – Yueh-neng Lin, Ken Hung - 2008
38 Derivative asset analysis in models with level-dependent and stochastic volatility – Rüdiger Frey - 1996
and methods in financial econometrics Contents – Zhibiao Zhao - 801
72 The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets – Christopher S. Jones - 2000
88 Parametric and Nonparametric Volatility Measurement – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Neil Shephard - 2002
6 Volatility Forecasting – Torben G. Andersen , Tim Bollerslev , Peter F. Christoffersen , Francis X. Diebold - 2005
9 Discrete Time Option Pricing with Flexible Volatility Estimation – Wolfgang Härdle, Christian Hafner - 2000
42 Complete Models with Stochastic Volatility – David G. Hobson, L.C.G. Rogers - 1996
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
59 Testing Option Pricing Models – David S. Bates
Working Paper 10/2003Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation – Xibin Zhang, Maxwell L. King, Xibin Zhang, Maxwell L. King - 2003
Affine Stochastic Skewness ∗ – Bruno Feunou, Roméo Tédongap - 2007
Université de Montréal and CREST – Bruno Feunou, Roméo Tédongap - 2006
Aggregations and Marginalization of GARCH and Stochastic Volatility Models – Nour Meddahi Y, Eric Renault Z - 1996
18 AGGREGATIONS AND MARGINALIZATION OF GARCH AND STOCHASTIC VOLATILITY MODELS – Nour Meddahi, Eric Renault - 1997
32 Continuous-time methods in finance: A review and an assessment – Suresh M. Sundaresan - 2000