Stochastic Volatility (2005)

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by Neil Shephard
Citations:7 - 0 self

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5 Volatility Forecasting – Torben G. Andersen , Tim Bollerslev , Peter F. Christoffersen , Francis X. Diebold - 2005
161 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
5 Impact of Jumps on Returns and Realised Variances: Econometric analysis of time-deformed Lévy processes – Ole E. Barndorff-Nielsen, Neil Shephard - 2004
5 Pricing stock options under stochastic volatility and stochastic interest rates with efficient method . . . – George J. Jiang, Pieter J. van der Sluis - 1998
and methods in financial econometrics Contents – Zhibiao Zhao - 801
47 Parametric and Nonparametric Volatility Measurement – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Neil Shephard - 2002
2 A class of nonlinear stochastic volatility models and its implication on pricing currency options – Jun Yu, Zhenlin Yang, Xibin Zhang - 2002
Aggregation and Model Construction . . . – Ole E. Barndorff-Nielsen, Neil Shephard - 1998
19 Aggregation and Model Construction for Volatility Models – Ole E. Barndorff-Nielsen, Ny Munkegade, Dk- Aarhus C, Neil Shephard - 1998
76 Range-based estimation of stochastic volatility models – Sassan Alizadeh, Michael W. Brandt, Francis X. Diebold - 2002
57 Do stock prices and volatility jump? Reconciling evidence from spot and option prices – Bjørn Eraker - 2001
1 Bayesian Time Series: Financial Models And Spectral Analysis – Yang Chen, Yang Chen - 1997
Spectral GMM . . . – George Chacko, Luis M. Viceira - 2001
16 Maximum likelihood estimation for stochastic volatility models – Yacine Aït-Sahalia, Robert Kimmel - 2007
Essays in Financial Econometrics – Mikhail Chernov - 2000
2 Bayesian Inference for Generalised Markov Switching Stochastic Volatility Models – Roberto Casarin - 2004
Simulation Methods for Nonlinear . . . – Roberto Casarin - 2004
3 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates – J. Jiang, Pieter J. van der Sluis, George J. Jiang - 2000
18 The Distribution of Stock Return Volatility – Torben G. Andersen, Tim Bollerslev, Francis X. Diebold, Heiko Ebens - 2000