My bibliography
Save this item
The Pricing of Options on Assets with Stochastic Volatilities
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Pierdzioch, Christian & Döpke, Jörg & Hartmann, Daniel, 2008.
"Forecasting stock market volatility with macroeconomic variables in real time,"
Journal of Economics and Business, Elsevier, vol. 60(3), pages 256-276.
- Döpke, Jörg & Hartmann, Daniel & Pierdzioch, Christian, 2006. "Forecasting stock market volatility with macroeconomic variables in real time," Discussion Paper Series 2: Banking and Financial Studies 2006,01, Deutsche Bundesbank.
- Kirill Ilinski, 1999.
"How to account for virtual arbitrage in the standard derivative pricing,"
Papers
cond-mat/9902047, arXiv.org.
- Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance 9902002, University Library of Munich, Germany.
- Borak, Szymon & Fengler, Matthias R. & Härdle, Wolfgang Karl, 2005. "DSFM fitting of implied volatility surfaces," SFB 649 Discussion Papers 2005-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- J.L. Prigent & O. Scaillet, 2000.
"Weak Convergence of Hedging Strategies of Contingent Claims,"
THEMA Working Papers
2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jean-Luc PRIGENT & Olivier SCAILLET, 2002. "Weak Convergence of Hedging Strategies of Contingent Claims," FAME Research Paper Series rp39, International Center for Financial Asset Management and Engineering.
- Rui Luo & Weinan Zhang & Xiaojun Xu & Jun Wang, 2017. "A Neural Stochastic Volatility Model," Papers 1712.00504, arXiv.org, revised Dec 2018.
- Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
- Robert F. Engle & Joshua V. Rosenberg, 1995. "GARCH Gamma," NBER Working Papers 5128, National Bureau of Economic Research, Inc.
- Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Siddiqi, Hammad, 2013. "Analogy Making in Complete and incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 160608, University of Queensland, School of Economics.
- Chen, Jing & Han, Qian & Ryu, Doojin & Tang, Jing, 2022. "Does the world smile together? A network analysis of global index option implied volatilities," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
- Amit Sinha, 2024. "Daily and Weekly Geometric Brownian Motion Stock Index Forecasts," JRFM, MDPI, vol. 17(10), pages 1-22, September.
- Audrino, Francesco & Fengler, Matthias R., 2015.
"Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data,"
Journal of Banking & Finance, Elsevier, vol. 61(C), pages 46-63.
- Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
- Jingtang Ma & Wensheng Yang & Zhenyu Cui, 2021. "Semimartingale and continuous-time Markov chain approximation for rough stochastic local volatility models," Papers 2110.08320, arXiv.org, revised Oct 2021.
- Karel Brůna, 2009. "Měnová politika a predikce variability úrokových sazeb na peněžním trhu [Monetary policy and prediction of variability]," Politická ekonomie, Prague University of Economics and Business, vol. 2009(3), pages 361-382.
- Andronikos Paliathanasis & K. Krishnakumar & K.M. Tamizhmani & Peter G.L. Leach, 2016. "Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility," Mathematics, MDPI, vol. 4(2), pages 1-14, May.
- Hung-Hsi Huang & Ching-Ping Wang & Shiau-Hung Chen, 2011. "Pricing Taiwan option market with GARCH and stochastic volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(10), pages 747-754.
- 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.
- Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
- Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1989.
"The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(1), pages 105-116, March.
- Hall, Joyce A. & Brorsen, B. Wade & Irwin, Scott H., 1987. "The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses," 1987 Annual Meeting, August 2-5, East Lansing, Michigan 269968, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Nielsen, Morten Ørregaard & Frederiksen, Per, 2008.
"Finite sample accuracy and choice of sampling frequency in integrated volatility estimation,"
Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
- Morten Ø. Nielsen & Per Houmann Frederiksen, 2005. "Finite Sample Accuracy Of Integrated Volatility Estimators," Working Paper 1225, Economics Department, Queen's University.
- Göncü, Ahmet & Karahan, Mehmet Oğuz & Kuzubaş, Tolga Umut, 2016.
"A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns,"
The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 69-83.
- Ahmet Göncü & Mehmet Oguz Karahan & Tolga Umut Kuzubas, 2014. "A Comparative Goodness-of-fit Analysis of Distributions of Some Levy Processes and Heston Model to Stock Index Returns," Working Papers 2014/07, Bogazici University, Department of Economics.
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
"Stochastic Volatility,"
Papers
95.400, Toulouse - GREMAQ.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
- GHYSELS, Eric & HARVEY, Andrew & RENAULT, Eric, 1995. "Stochastic Volatility," LIDAM Discussion Papers CORE 1995069, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Rojas-Bernal, Alejandro & Villamizar-Villegas, Mauricio, 2021.
"Pricing the exotic: Path-dependent American options with stochastic barriers,"
Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(1).
- Alejandro Rojas-Bernal & Mauricio Villamizar-Villegas, 2021. "Pricing the exotic: Path-dependent American options with stochastic barriers," Borradores de Economia 1156, Banco de la Republica de Colombia.
- Söderlind, Paul, 2009.
"The C-CAPM without ex post data,"
Journal of Macroeconomics, Elsevier, vol. 31(4), pages 721-729, December.
- Söderlind, Paul, 2005. "C-CAPM without Ex Post Data," SIFR Research Report Series 39, Institute for Financial Research.
- Söderlind, Paul, 2005. "C-CAPM Without Ex Post Data," CEPR Discussion Papers 5407, C.E.P.R. Discussion Papers.
- Paul Söderlind, 2006. "C-CAPM without Ex Post Data," University of St. Gallen Department of Economics working paper series 2006 2006-22, Department of Economics, University of St. Gallen.
- Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an empirical evaluation," Computational Management Science, Springer, vol. 7(2), pages 189-206, April.
- Nobuya Takezawa & Noriyoshi Shiraishi, 1998. "A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 227-236, November.
- Blair, Bevan J. & Poon, Ser-Huang & Taylor, Stephen J., 2001. "Modelling S&P 100 volatility: The information content of stock returns," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1665-1679, September.
- Frido Rolloos & Kenichiro Shiraya, 2024. "A model‐free approximation for barrier options in a general stochastic volatility framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(6), pages 923-935, June.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999.
"The Distribution of Exchange Rate Volatility,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-059, New York University, Leonard N. Stern School of Business-.
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," Center for Financial Institutions Working Papers 99-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Torben Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 1999. "The Distribution of Exchange Rate Volatility," NBER Working Papers 6961, National Bureau of Economic Research, Inc.
- Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
- A. Paliathanasis & K. Krishnakumar & K. M. Tamizhmani & P. G. L. Leach, 2015. "Lie Symmetry Analysis of the Black-Scholes-Merton Model for European Options with Stochastic Volatility," Papers 1508.06797, arXiv.org, revised May 2016.
- Tai‐Yong Roh & Alireza Tourani‐Rad & Yahua Xu & Yang Zhao, 2021. "Volatility‐of‐volatility risk in the crude oil market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(2), pages 245-265, February.
- Kristensen, Dennis & Mele, Antonio, 2011.
"Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models,"
Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
- Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, Department of Economics and Business Economics, Aarhus University.
- Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996.
"Arbitrage-Based Pricing when Volatility is Stochastic,"
Cahiers de recherche
9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996. "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers 96s-20, CIRANO.
- Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Universite de Montreal, Departement de sciences economiques.
- Bossaerts, Peter & Ghysels, Eric & Gourieroux, Christian, 1996. "Arbitrage-Based Pricing When Volatility is Stochastic," Working Papers 977, California Institute of Technology, Division of the Humanities and Social Sciences.
- Boyle, Phelim & Draviam, Thangaraj, 2007. "Pricing exotic options under regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 267-282, March.
- Alexander David & Pietro Veronesi, 2014. "Investors' and Central Bank's Uncertainty Embedded in Index Options," The Review of Financial Studies, Society for Financial Studies, vol. 27(6), pages 1661-1716.
- Muneer Shaik & S. Maheswaran, 2019. "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 57-91, March.
- Nairobi Nairobi & Edwin Russel & Ambya Ambya & Arif Darmawan & Mustofa Usman & Wamiliana Wamiliana, 2020. "Dynamic Modeling Data Export Oil and Gas and Non-Oil and Gas by ARMA(2,1)-GARCH(1,1) Model: Study of Indonesian s Export over the Years 2008-2019," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 175-184.
- Koopman, Siem Jan & Shephard, Neil & Creal, Drew, 2009. "Testing the assumptions behind importance sampling," Journal of Econometrics, Elsevier, vol. 149(1), pages 2-11, April.
- Gifty Malhotra & R. Srivastava & H. C. Taneja, 2019. "Comparative Study of Two Extensions of Heston Stochastic Volatility Model," Papers 1912.10237, arXiv.org.
- Li, Junye, 2013. "An unscented Kalman smoother for volatility extraction: Evidence from stock prices and options," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 15-26.
- Wang, Xingchun, 2021. "Valuation of options on the maximum of two prices with default risk under GARCH models," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Wenli Zhu & Xinfeng Ruan, 2019. "Pricing Swaps on Discrete Realized Higher Moments Under the Lévy Process," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 507-532, February.
- Nour Meddahi, 2002.
"A theoretical comparison between integrated and realized volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
- MEDDAHI, Nour, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Universite de Montreal, Departement de sciences economiques.
- Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
- 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.
- Ralf Remer & Reinhard Mahnke, 2004. "Application of the heston and hull-white models to german dax data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 685-693.
- Andersen, Torben G & Sorensen, Bent E, 1996.
"GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
- Torben G. Andersen & Hyung-Jin Chung & Bent E. Sorensen, "undated". "EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Computing in Economics and Finance 1997 6, Society for Computational Economics.
- Torben G. Andersen & Bent E. Sorensen, 1995. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Discussion Papers 95-19, University of Copenhagen. Department of Economics.
- Bertrand, Philippe & Prigent, Jean-luc, 2019.
"On the optimality of path-dependent structured funds: The cost of standardization,"
European Journal of Operational Research, Elsevier, vol. 277(1), pages 333-350.
- Philippe Bertrand & Jean-Luc Prigent, 2019. "On the optimality of path-dependent structured funds: The cost of standardization," Post-Print hal-02492961, HAL.
- Baaquie, Belal E. & Yu, Miao, 2017. "Option price and market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 512-535.
- Gonçalo Faria & João Correia-da-Silva, 2014.
"A closed-form solution for options with ambiguity about stochastic volatility,"
Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
- Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
- repec:lan:wpaper:3046 is not listed on IDEAS
- Dominique Guegan & Jing Zang, 2009.
"Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market,"
The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
- Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne b07057, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336, HAL.
- Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188248, HAL.
- Kim, In Joon & Kim, Sol, 2004. "Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 117-142, April.
- Harish S. Bhat & Nitesh Kumar, 2015. "Large-Scale Empirical Tests of the Markov Tree Model," IJFS, MDPI, vol. 3(3), pages 1-39, July.
- Le Pen, Yannick & Sévi, Benoît, 2010.
"Volatility transmission and volatility impulse response functions in European electricity forward markets,"
Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
- Yannick LE PEN & Benoît SEVI, 2008. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Cahiers du CREDEN (CREDEN Working Papers) 08.09.77, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1.
- Clement, E. & Gourieroux, C. & Monfort, A., 2000.
"Econometric specification of the risk neutral valuation model,"
Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
- E, Clement & Christian Gourieroux & Alain Monfort, 1997. "Econometric Specification of the Risk Neutral Valuation Model," Working Papers 97-33, Center for Research in Economics and Statistics.
- Clément, E. & Gourieroux, Christian & Monfort, Alain, 1997. "Econometric specification of the risk neutral valuation model," CEPREMAP Working Papers (Couverture Orange) 9706, CEPREMAP.
- Robert F. Engle & Joshua Rosenberg, 1966.
"Testing the Volatility Term Structure Using Option Hedging Criteria,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
96-24, New York University, Leonard N. Stern School of Business-.
- Robert F. Engle & Joshua Rosenberg, 1998. "Testing the Volatility Term Structure using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-031, New York University, Leonard N. Stern School of Business-.
- Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, May.
- Xin‐Jiang He & Wenting Chen, 2021. "A semianalytical formula for European options under a hybrid Heston–Cox–Ingersoll–Ross model with regime switching," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 343-352, January.
- Asai, Manabu & McAleer, Michael, 2015.
"Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing," Documentos de Trabajo del ICAE 2013-02, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," Tinbergen Institute Discussion Papers 13-003/III, Tinbergen Institute.
- Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
- McAleer, Michael & Wiphatthanananthakul, Chatayan, 2010.
"A simple expected volatility (SEV) index: Application to SET50 index options,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(10), pages 2079-2090.
- Chatayan Wiphatthanananthakul & Michael McAleer, 2009. "A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," CIRJE F-Series CIRJE-F-672, CIRJE, Faculty of Economics, University of Tokyo.
- Chatayan Wiphatthanananthakul & Michael McAleer, 2009. "Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," CARF F-Series CARF-F-173, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Michael McAleer & Chatayan Wiphatthanananthakul, 2010. "A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," Working Papers in Economics 10/15, University of Canterbury, Department of Economics and Finance.
- Chatayan Wiphatthanananthakul & Michael McAleer, 2009. "A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," Documentos de Trabajo del ICAE 2009-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Sol Kim & In Jung Song, 2021. "The traders' rule and long‐term options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(3), pages 406-436, March.
- Y. Wang & H. Yin & L. Qi, 2004. "No-Arbitrage Interpolation of the Option Price Function and Its Reformulation," Journal of Optimization Theory and Applications, Springer, vol. 120(3), pages 627-649, March.
- Dávid Zoltán Szabó & Kata Váradi, 2022. "Margin requirements based on a stochastic correlation model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1797-1820, October.
- Alberto Bueno-Guerrero & Steven P. Clark, 2023. "Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps," Mathematics, MDPI, vol. 12(1), pages 1-39, December.
- Calvet, Laurent E. & Fisher, Adlai J., 2008.
"Multifrequency jump-diffusions: An equilibrium approach,"
Journal of Mathematical Economics, Elsevier, vol. 44(2), pages 207-226, January.
- Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2008. "Multifrequency jump-diffusions: An equilibrium approach," Post-Print hal-00459681, HAL.
- Andrea J. Heuson & Tie Su, 2003. "Intra–day Behavior of Treasury Sector Index Option Implied Volatilities around Macroeconomic Announcements," The Financial Review, Eastern Finance Association, vol. 38(1), pages 161-177, February.
- Alessandro Gnoatto, 2017. "Coherent Foreign Exchange Market Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-29, February.
- Eric Benhamou & Alexandre Duguet, 2000. "A 2 Dimensional Pde For Discrete Asian Options," Computing in Economics and Finance 2000 33, Society for Computational Economics.
- Peter P. Carr & Zura Kakushadze, 2017.
"FX options in target zones,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1477-1486, October.
- Peter Carr & Zura Kakushadze, 2015. "FX Options in Target Zone," Papers 1512.01527, arXiv.org, revised Jul 2016.
- Falko Baustian & Katev{r}ina Filipov'a & Jan Posp'iv{s}il, 2019. "Solution of option pricing equations using orthogonal polynomial expansion," Papers 1912.06533, arXiv.org, revised Jun 2020.
- Erhan Bayraktar & Constantinos Kardaras & Hao Xing, 2010.
"Valuation equations for stochastic volatility models,"
Papers
1004.3299, arXiv.org, revised Dec 2011.
- Bayraktar, Erhan & Kardaras, Constantinos & Xing, Hao, 2012. "Valuation equations for stochastic volatility models," LSE Research Online Documents on Economics 43460, London School of Economics and Political Science, LSE Library.
- Yige Wang & Leyao Tong & Yueshu Zhao, 2024. "Revolutionizing Hedge Fund Risk Management: The Power of Deep Learning and LSTM in Hedging Illiquid Assets," JRFM, MDPI, vol. 17(6), pages 1-16, May.
- Liexin Cheng & Xue Cheng, 2024. "Approximating Smiles: A Time Change Approach," Papers 2401.03776, arXiv.org, revised Aug 2024.
- Minqiang Li & Fabio Mercurio, 2015.
"Analytic Approximation of Finite‐Maturity Timer Option Prices,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(3), pages 245-273, March.
- Li, Minqiang, 2014. "Analytic Approximation of Finite-Maturity Timer Option Prices," MPRA Paper 54597, University Library of Munich, Germany.
- Jaume Masoliver & Josep Perello, 2006.
"Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model,"
Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 423-433.
- Jaume Masoliver & Josep Perello, 2005. "Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model," Papers cond-mat/0501639, arXiv.org.
- Carr, Peter & Wu, Liuren, 2007.
"Stochastic skew in currency options,"
Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
- Peter Carr & Liuren Wu, 2004. "Stochastic Skew in Currency Options," Finance 0409014, University Library of Munich, Germany.
- Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, vol. 31(2), pages 316-321, March.
- Tong, Zhigang & Liu, Allen, 2022. "Pricing variance swaps under subordinated Jacobi stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
- Giorgia Callegaro & Martino Grasselli & Gilles Paèes, 2021. "Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough)," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 221-254, February.
- Douc, Randal & Olsson, Jimmy & Roueff, François, 2020. "Posterior consistency for partially observed Markov models," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 733-759.
- Soini, Vesa & Lorentzen, Sindre, 2019. "Option prices and implied volatility in the crude oil market," Energy Economics, Elsevier, vol. 83(C), pages 515-539.
- Yacin Jerbi, 2015. "A new closed-form solution as an extension of the Black-Scholes formula allowing smile curve plotting," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 2041-2052, December.
- Gondzio, Jacek & Kouwenberg, Roy & Vorst, Ton, 2003.
"Hedging options under transaction costs and stochastic volatility,"
Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 1045-1068, April.
- Roy Kouwenberg & Jacek Gondzio & Ton Vorst, 1999. "Hedging Options under Transaction Costs and Stochastic Volatility," Computing in Economics and Finance 1999 911, Society for Computational Economics.
- Wendong Zheng & Pingping Zeng, 2015. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Papers 1504.08136, arXiv.org.
- Peter Carr & Liuren Wu, 2014.
"Static Hedging of Standard Options,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46.
- Peter Carr & Liuren Wu, 2013. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46, December.
- Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, University Library of Munich, Germany.
- Yu, Chao & Fang, Yue & Zhao, Xujie & Zhang, Bo, 2013. "Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise," MPRA Paper 63293, University Library of Munich, Germany, revised 10 Mar 2014.
- Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019.
"Hyperbolic normal stochastic volatility model,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
- Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2018. "Hyperbolic normal stochastic volatility model," Papers 1809.04035, arXiv.org.
- Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics.
- Mihaela Craioveanu & Eric Hillebrand, 2012. "Why It Is Ok To Use The Har-Rv(1,5,21) Model," Working Papers 1201, University of Central Missouri, Department of Economics & Finance, revised Aug 2012.
- Zargar, Faisal Nazir & Kumar, Dilip, 2020. "Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 25-41.
- Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2020. "Statistical inferences for price staleness," Journal of Econometrics, Elsevier, vol. 218(1), pages 32-81.
- Lieberman, Offer & Phillips, Peter C.B., 2017.
"A multivariate stochastic unit root model with an application to derivative pricing,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 99-110.
- Offer Lieberman & Peter C.B. Phillips, 2014. "A Multivariate Stochastic Unit Root Model with an Application to Derivative Pricing," Cowles Foundation Discussion Papers 1964, Cowles Foundation for Research in Economics, Yale University.
- Bondarenko, Oleg, 2003. "Estimation of risk-neutral densities using positive convolution approximation," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 85-112.
- Carol Alexander & Leonardo M. Nogueira, 2004. "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2004-10, Henley Business School, University of Reading, revised Dec 2004.
- Casas, Isabel & Gao, Jiti, 2008.
"Econometric estimation in long-range dependent volatility models: Theory and practice,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
- Casas, Isabel & Gao, Jiti, 2006. "Econometric estimation in long-range dependent volatility models: Theory and practice," MPRA Paper 11981, University Library of Munich, Germany, revised Aug 2007.
- Cai, Mei-Ling & Chen, Zhang-HangJian & Li, Sai-Ping & Xiong, Xiong & Zhang, Wei & Yang, Ming-Yuan & Ren, Fei, 2022. "New volatility evolution model after extreme events," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
- Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
- Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
- Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015. "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 187(2), pages 418-435.
- Paul Brockman & Mustafa Chowdhury, 1997. "Deterministic versus stochastic volatility: implications for option pricing models," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 499-505.
- Simone Scotti, 2010. "The impact of uncertainties on the pricing of contingent claims," Papers 1001.5202, arXiv.org.
- Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
- Minqiang Li, 2015.
"Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(6), pages 582-595, June.
- Li, Minqiang, 2014. "Derivatives Pricing on Integrated Diffusion Processes: A General Perturbation Approach," MPRA Paper 54595, University Library of Munich, Germany.
- Peter Carr & Liuren Wu, 2004. "Variance Risk Premia," Finance 0409015, University Library of Munich, Germany.
- Athanasia Gavala & Nikolay Gospodinov & Deming Jiang, 2006. "Forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(6), pages 381-400.
- Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
- repec:cte:wsrepe:ws131110 is not listed on IDEAS
- Peter Christoffersen & Kris Jacobs, 2004. "Which GARCH Model for Option Valuation?," Management Science, INFORMS, vol. 50(9), pages 1204-1221, September.
- Mei-Ling Cai & Zhang-HangJian Chen & Sai-Ping Li & Xiong Xiong & Wei Zhang & Ming-Yuan Yang & Fei Ren, 2022. "New volatility evolution model after extreme events," Papers 2201.03213, arXiv.org.
- 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.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Asymmetry and Long Memory in Volatility Modelling," Working Papers in Economics 10/60, University of Canterbury, Department of Economics and Finance.
- Asai, M. & McAleer, M.J. & Medeiros, M.C., 2010. "Asymmetry and Long Memory in Volatility Modelling," Econometric Institute Research Papers EI 2010-60, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011. "Asymmetry and Long Memory in Volatility Modelling," Documentos de Trabajo del ICAE 2011-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2010. "Asymmetry and Long Memory in Volatility Modelling," KIER Working Papers 726, Kyoto University, Institute of Economic Research.
- Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
- Ke Nian & Thomas F. Coleman & Yuying Li, 2018. "Learning minimum variance discrete hedging directly from the market," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1115-1128, July.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Loddo, Antonello & Ni, Shawn & Sun, Dongchu, 2011.
"Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 342-355.
- Antonello Loddo & Shawn Ni & Dongchu Sun, 2011. "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 342-355, July.
- Shawn Ni & Antonello Loddo & Dongchu Sun, 2009. "Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search," Working Papers 0911, Department of Economics, University of Missouri.
- Alibeiki, Hedayat & Lotfaliei, Babak, 2022. "To expand and to abandon: Real options under asset variance risk premium," European Journal of Operational Research, Elsevier, vol. 300(2), pages 771-787.
- Bernard Dumas & Elisa Luciano, 2019. "From volatility smiles to the volatility of volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 387-406, December.
- Roman Frydman & Nicholas Mangee, 2021.
"Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic,"
JRFM, MDPI, vol. 14(11), pages 1-13, November.
- Roman Frydman & Nicholas Mangee, 2021. "Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic," Working Papers Series inetwp164, Institute for New Economic Thinking.
- Mustafayeva, Konul & Wang, Weining, 2020. "Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data," IRTG 1792 Discussion Papers 2020-025, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Tore Selland Kleppe & Jun Yu & H.J. Skaug, 2010.
"Simulated maximum likelihood estimation of continuous time stochastic volatility models,"
Advances in Econometrics, in: Maximum Simulated Likelihood Methods and Applications, pages 137-161,
Emerald Group Publishing Limited.
- Tore Selland Kleppe & Hans J. Skaug & Jun Yu, 2009. "Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers CoFie-09-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Tore Selland KLEPPE & Jun YU & Hans J. SKAUG, 2009. "Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models," Working Papers 20-2009, Singapore Management University, School of Economics.
- Fornari, Fabio & Mele, Antonio, 2001.
"Recovering the probability density function of asset prices using garch as diffusion approximations,"
Journal of Empirical Finance, Elsevier, vol. 8(1), pages 83-110, March.
- F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Fabio Fornari & Antonio Mele, 2001. "Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations," Temi di discussione (Economic working papers) 396, Bank of Italy, Economic Research and International Relations Area.
- Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
- Kuldip Singh Patel & Mani Mehra, 2018. "Fourth-Order Compact Scheme For Option Pricing Under The Merton’S And Kou’S Jump-Diffusion Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-26, June.
- Kohlmann, Michael & Tang, Shanjian, 2000. "Recent Advances in Backward Stochastics Riccati Equations and Their Applications," CoFE Discussion Papers 00/30, University of Konstanz, Center of Finance and Econometrics (CoFE).
- Jondeau, Eric & Rockinger, Michael, 2000.
"Reading the smile: the message conveyed by methods which infer risk neutral densities,"
Journal of International Money and Finance, Elsevier, vol. 19(6), pages 885-915, December.
- Michael Rockinger & Eric Jondeau, 1997. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," Working Papers hal-00601591, HAL.
- Jondeau, Eric & Rockinger, Michael, 1998. "Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities," CEPR Discussion Papers 2009, C.E.P.R. Discussion Papers.
- Ha, Mijin & Kim, Donghyun & Yoon, Ji-Hun, 2024. "Valuing of timer path-dependent options," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 208-227.
- Kim, Hyun-Gyoon & Kim, Jeong-Hoon, 2023. "A stochastic-local volatility model with Le´vy jumps for pricing derivatives," Applied Mathematics and Computation, Elsevier, vol. 451(C).
- Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
- Robert Jarrow & Haitao Li & Feng Zhao, 2007. "Interest Rate Caps “Smile” Too! But Can the LIBOR Market Models Capture the Smile?," Journal of Finance, American Finance Association, vol. 62(1), pages 345-382, February.
- Franco Parisi, 1997. "Medición y Test del Impacto de Innovaciones en la Volatilidad de Índices Accionarios," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 34(101), pages 27-47.
- Kohlmann, Michael & Tang, Shanjian, 2002. "Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 255-288, February.
- Hwang, Soosung & Satchell, Stephen E., 2000. "Market risk and the concept of fundamental volatility: Measuring volatility across asset and derivative markets and testing for the impact of derivatives markets on financial markets," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 759-785, May.
- Isakov, Dusan & Perignon, Christophe, 2001.
"Evolution of market uncertainty around earnings announcements,"
Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1769-1788, September.
- Isakov, D. & Perignon, C., 1999. "Evolution of Market Uncertainty around Earnings Announcements," Papers 99.12, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Dušan Isakov & Christophe Pérignon, 2000. "Evolution of Market Uncertainty around Earnings Announcements," FAME Research Paper Series rp15, International Center for Financial Asset Management and Engineering.
- Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, "undated". "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York.
- Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
- Assaf, Ata, 2006. "The stochastic volatility in mean model and automation: Evidence from TSE," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 241-253, May.
- Liang-Ching Lin & Li-Hsien Sun, 2019. "Modeling financial interval time series," PLOS ONE, Public Library of Science, vol. 14(2), pages 1-20, February.
- David G. McMillan & Pako Thupayagale, 2009. "The efficiency of African equity markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(4), pages 275-292, October.
- Robert F. Engle & Che-Hsiung Hong & Alex Kane, 1990. "Valuation of Variance Forecast with Simulated Option Markets," NBER Working Papers 3350, National Bureau of Economic Research, Inc.
- Adam Kolkiewicz & Ken Tan, 2004. "Volatility Risk For Regime-Switching Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 8(4), pages 127-145.
- van Zundert, Jeroen & Driessen, Joost, 2022. "Stocks versus corporate bonds: A cross-sectional puzzle," Journal of Banking & Finance, Elsevier, vol. 137(C).
- Wang, XiaoTian & Yang, ZiJian & Cao, PiYao & Wang, ShiLin, 2021. "The closed-form option pricing formulas under the sub-fractional Poisson volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).
- Jérôme Detemple & Carlton Osakwe, 2000.
"The Valuation of Volatility Options,"
Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
- Jérôme Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO.
- René Garcia & Richard Luger & Eric Renault, 2000.
"Asymmetric Smiles, Leverage Effects and Structural Parameters,"
Working Papers
2000-57, Center for Research in Economics and Statistics.
- René Garcia & Richard Luger & Eric Renault, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," CIRANO Working Papers 2001s-01, CIRANO.
- GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Luger, R. & Renault, E., 2001. "Asymmetric Smiles, Leverage Effects and Structural Parameters," Cahiers de recherche 2001-09, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Tan, Abby, 2006. "Long-memory volatility in derivative hedging," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 689-696.
- Jiang, George J., 1998. "Jump-diffusion model of exchange rate dynamics : estimation via indirect inference," Research Report 98A40, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
- Erhard Reschenhofer, 2010. "Forecasting volatility: double averaging and weighted medians," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 1(3/4), pages 317-326.
- Yixiao Jiang, 2020. "A Hausman Test for Partially Linear Models with an Application to Implied Volatility Surface," JRFM, MDPI, vol. 13(11), pages 1-12, November.
- Piotr Wdowinski & Marta Malecka, 2010. "Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets," CESifo Working Paper Series 2974, CESifo.
- Lin, Y.-T. & Shih, Y.-T. & Chien, C.-S. & Sheng, Q., 2021. "A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing," Applied Mathematics and Computation, Elsevier, vol. 393(C).
- Neil Shephard & Michael K. Pitt, 1999. "Auxiliary variable based particle filters," Economics Series Working Papers 1999-W13, University of Oxford, Department of Economics.
- Kumar, Dilip, 2015.
"Sudden changes in extreme value volatility estimator: Modeling and forecasting with economic significance analysis,"
Economic Modelling, Elsevier, vol. 49(C), pages 354-371.
- Da Silva, M. E. & Guimarães, B. V., 1999. "Precificação de Opções com Volatilidade Estocástica e Saltos," Finance Lab Working Papers flwp_11, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
- E. Ngounda & K. C. Patidar & E. Pindza, 2014. "A Robust Spectral Method for Solving Heston’s Model," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 164-178, April.
- Michele Azzone & Roberto Baviera, 2023. "Is (independent) subordination relevant in option pricing?," Papers 2307.08628, arXiv.org, revised Oct 2023.
- Arnaud Gloter, 2007. "Efficient estimation of drift parameters in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(4), pages 495-519, October.
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2014. "Bayesian option pricing using mixed normal heteroskedasticity models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 588-605.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," Cahiers de recherche 0926, CIRPEE.
- Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V.K. & STENTOFT, Lars, 2009. "Bayesian option pricing using mixed normal heteroskedasticity models," LIDAM Discussion Papers CORE 2009013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CIRANO Working Papers 2009s-19, CIRANO.
- Olkhov, Victor, 2019. "New Essentials of Economic Theory," MPRA Paper 95065, University Library of Munich, Germany.
- F. Fornari & A. Mele, 1998. "ARCH Models and Option Pricing : The Continuous Time Connection," THEMA Working Papers 98-30, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Antonio Mele & Fabio Fornari, 1999. "ARCH Models and Option Pricing: the Continuous-Time Connection," Computing in Economics and Finance 1999 113, Society for Computational Economics.
- Fornari, F. & Mele, A., 1998. "ARCH Models and Option Pricing: The Continuous Time Connection," Papers 9830, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Henry L. Bryant & Michael S. Haigh, 2005. "Derivative pricing model and time‐series approaches to hedging: A comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(7), pages 613-641, July.
- Bloom, Nicholas & Bunn, Philip & Chen, Scarlet & Mizen, Paul & Smietanka, Pawel & Thwaites, Gregory, 2019. "The impact of Brexit on UK firms," Bank of England working papers 818, Bank of England.
- Nicholas Bloom & Philip Bunn & Scarlet Chen & Paul Mizen & Pawel Smietanka & Gregory Thwaites, 2019. "The Impact of Brexit on UK Firms," NBER Working Papers 26218, National Bureau of Economic Research, Inc.
- Dilip Kumar, 2016. "Sudden changes in crude oil price volatility: an application of extreme value volatility estimator," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 215-234.
- Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, August.
- Yuji Yamada & James Primbs, 2004. "Properties of Multinomial Lattices with Cumulants for Option Pricing and Hedging," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(3), pages 335-365, September.
- Arun Chockalingam & Kumar Muthuraman, 2011. "American Options Under Stochastic Volatility," Operations Research, INFORMS, vol. 59(4), pages 793-809, August.
- Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2010. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 60.
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 59.
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 59.
- Ruttan, Vernon W., 1977. "Induced innovation and agricultural development," Food Policy, Elsevier, vol. 2(3), pages 196-216, August.
- Senauer, Benjamin, 1989. "Major Consumer Trends Affecting the U.S. Food System," Choices, Agricultural and Applied Economics Association, vol. 4(4).
- Clement A. Tisdell, 2007. "Sustainable Agriculture," Chapters, in: Handbook of Sustainable Development, chapter 22 Edward Elgar Publishing.
- Thomas Grebel & Andreas Pyka & Horst Hanusch, 2003. "An Evolutionary Approach to the Theory of Entrepreneurship," Industry and Innovation, Taylor & Francis Journals, vol. 10(4), pages 493-514.
- Friebel, Guido & Schnedler, Wendelin, 2011. "Team governance: Empowerment or hierarchical control," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 1-13, April.
- Llavador, Humberto & Solano-García, Angel, 2011. "Immigration policy with partisan parties," Journal of Public Economics, Elsevier, vol. 95(1), pages 134-142.
- Brañas-Garza, Pablo & Espinosa, María Paz & Rey-Biel, Pedro, 2011. "Travelers’ types," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1), pages 25-36.
- J. Galí & D. López-Salido & J. Vallés, 2003. "Understanding the effects of government spending on consumption," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Jordi Galí & Luca Gambetti, 2013. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy National Bureau of Economic Research, Inc.
- Alison Booth & Melvyn Coles, 2010. "Education, Matching, and the Allocative Value of Romance," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 744-775, 06.
- Olivier Jean Blanchard & Jordi Galí, 2005. "Real wage rigidities and the New Keynesian model," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Jordi Galí & Frank Smets & Rafael Wouters, 2011. "Unemployment in an Estimated New Keynesian Model," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 329-360 National Bureau of Economic Research, Inc.
- Broner, Fernando & Gelos, Gaston & Reinhart, Carmen, 2004. "When in peril, retrench: testing the portfolio channel of contagion," Proceedings, Federal Reserve Bank of San Francisco, issue Jun, pages 1-34.
- Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
- Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
- Edgerton, David & Wells, Curt, 1994. "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(3), pages 355-65, August.
- Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
- Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
- Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
- Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
- Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November.
- Kenji Nishizaki & Toshitaka Sekine & Yuichi Ueno & Yuko Kawai, 2013. "Chronic deflation in Japan," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 9-19 Bank for International Settlements.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juli 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(15), pages 67-69, 08.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juni 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(12), pages 55-57, 06.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juli 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(15), pages 67-69, 08.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juni 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(12), pages 55-57, 06.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juli 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(14), pages 44-46, 07.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juni 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(12), pages 69-71, 06.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juli 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(14), pages 44-46, 07.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juni 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(12), pages 69-71, 06.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juli 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(14), pages 46-48, 07.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juni 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(12), pages 61-63, 06.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(23), pages 53-61, December.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juli 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(14), pages 46-48, 07.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juni 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(12), pages 61-63, 06.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(10), pages 44-53, 05.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(16), pages 35-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Owens, Trudy & Hoddinott, John & Kinsey, Bill, 2003. "The Impact of Agricultural Extension on Farm Production in Resettlement Areas of Zimbabwe," Economic Development and Cultural Change, University of Chicago Press, vol. 51(2), pages 337-57, January.
- Facchini, Giovanni & Steinhardt, Max Friedrich, 2011. "What drives U.S. immigration policy? Evidence from congressional roll call votes," Journal of Public Economics, Elsevier, vol. 95(7), pages 734-743.
- Davide Castellani & Giorgia Giovannetti, 2010. "Productivity and the international firm: dissecting heterogeneity," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 13(1), pages 25-42.
- Artjoms Ivlevs & Jaime De Melo, 2010. "FDI, the Brain Drain and Trade: Channels and Evidence," Annals of Economics and Statistics, GENES, issue 97-98, pages 103-121.
- Julien Gourdon & Nicolas Maystre & Jaime de Melo, 2008. "Openness, inequality and poverty: Endowments matter," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 17(3), pages 343-378.
- Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
- Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
- Lars E. O. Svensson & Michael Woodford, 2000. "Indicator variables for optimal policy," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, European Economic Association, vol. 8(4), pages 872-912, 06.
- Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14(1), pages C25-C44, February.
- Domenico Giannone & Michele Lenza, 2010. "The Feldstein-Horioka Fact," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 103-117 National Bureau of Economic Research, Inc.
- Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007. "Long-Run Money Demand in the New EU Member States with Exchange Rate Effects," Eastern European Economics, Taylor & Francis Journals, vol. 45(2), pages 75-94, April.
- Christian Daude & Marcel Fratzscher, 2007. "The pecking order of cross-border investment," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 53-89 Bank for International Settlements.
- Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2002. "Equity and bond market signals as leading indicators of bank fragility," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Kalin Nikolov, 2012. "Bubbles, banks and financial stability," Research Bulletin, European Central Bank, vol. 15, pages 2-6.
- Forbes, Kristin J. & Fratzscher, Marcel & Kostka, Thomas & Straub, Roland, 2012. "Bubble thy neighbor: portfolio effects and externalities from capital controls," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-48.
- Marcel Fratzscher, 2012. "Capital Controls and Foreign Exchange Policy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pages 66-98, August.
- Geert Bekaert & Marie Hoerova, 2010. "Risk, uncertainty and monetary policy," Research Bulletin, European Central Bank, vol. 10, pages 11-13.
- António Afonso & João Tovar Jalles, 2013. "Fiscal Composition and Long-term Growth," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum.
- Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti, 2011. "Weak and strong cross‐section dependence and estimation of large panels," Econometrics Journal, Royal Economic Society, vol. 14, pages C45-C90, 02.
- Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Chapters, in: Global Financial Crisis National Bureau of Economic Research, Inc.
- Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
- Elena Bobeica & Paulo Esteves & António Rua & Karsten Staehr, 2016. "Exports and domestic demand pressure: a dynamic panel data model for the euro area countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 107-125, February.
- Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, European Finance Association, vol. 9(1), pages 97-137.
- Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Pierpaolo Benigno & Michael Woodford, 2003. "Optimal monetary and fiscal policy: a linear-quadratic approach," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- J. Galí & D. López-Salido & J. Vallés, 2003. "Understanding the effects of government spending on consumption," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Athanasios Orphanides & John C. Williams, 2003. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Fabrice Collard & Harris Dellas, 2003. "The great inflation of the 1970s," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Banbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
- Stephen Bond & Dietmar Harhoff & John Van Reenen, 2005. "Investment, R&D and Financial Constraints in Britain and Germany," Annals of Economics and Statistics, GENES, issue 79-80, pages 433-460.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Francesco Caselli & Silvana Tenreyro, 2004. "Is Poland the next Spain?," Communities and Banking, Federal Reserve Bank of Boston.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Christopher A. Pissarides, 2009. "The Unemployment Volatility Puzzle: Is Wage Stickiness the Answer?," Econometrica, Econometric Society, vol. 77(5), pages 1339-1369, 09.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Jo Blanden & Stephen Machin, 2004. "Educational Inequality and the Expansion of UK Higher Education," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(2), pages 230-249, 05.
- Anthony J. Venables, 2006. "Shifts in economic geography and their causes," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 15-39.
- Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P. Tsomocos, 2002. "Procyclicality and the New Basel Accord: banks' choice of loan rating system," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Jean-Charles Rochet & Jean Tirole, 2003. "Platform Competition in Two-Sided Markets," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 990-1029, 06.
- Larcinese, Valentino & Puglisi, Riccardo & Snyder, James M., 2011. "Partisan bias in economic news: Evidence on the agenda-setting behavior of U.S. newspapers," Journal of Public Economics, Elsevier, vol. 95(9), pages 1178-1189.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Richard Freeman & John Van Reenen, 2009. "What if Congress Doubled R&D Spending on the Physical Sciences?," NBER Chapters, in: Innovation Policy and the Economy, Volume 9, pages 1-38 National Bureau of Economic Research, Inc.
- Richard Perkins & Eric Neumayer, 2010. "Geographic variations in the early diffusion of corporate voluntary standards: comparing ISO 14001 and the Global Compact," Environment and Planning A, Pion Ltd, London, vol. 42(2), pages 347-365, February.
- Richard B. Freeman, 2007. "When Workers Share in Profits: Effort and Responses to Shirking," Rivista di Politica Economica, SIPI Spa, vol. 97(6), pages 9-36, November-.
- Robert C. Allen & Jean‐Pascal Bassino & Debin Ma & Christine Moll‐Murata & Jan Luiten Van Zanden, 2011. "Wages, prices, and living standards in China, 1738–1925: in comparison with Europe, Japan, and India," Economic History Review, Economic History Society, vol. 64(s1), pages 8-38, February.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nancy Holman & Gabriel M Ahlfeldt, 2015. "No escape? The coordination problem in heritage preservation," Environment and Planning A, Pion Ltd, London, vol. 47(1), pages 172-187, January.
- Paul Beaudry & David A. Green & Benjamin M. Sand, 2013. "The Great Reversal in the Demand for Skill and Cognitive Tasks," NBER Chapters, in: Labor Markets in the Aftermath of the Great Recession, pages 199-247 National Bureau of Economic Research, Inc.
- Giuseppe Moscarini & Fabien Postel-Vinay, 2013. "Did the Job Ladder Fail after the Great Recession?," NBER Chapters, in: Labor Markets in the Aftermath of the Great Recession, pages 55-93 National Bureau of Economic Research, Inc.
- Nuno Ferreira da Cruz & Pedro Simões & Rui Cunha Marques, 2013. "The hurdles of local governments with PPP contracts in the waste sector," Environment and Planning C: Government and Policy, Pion Ltd, London, vol. 31(2), pages 292-307, April.
- Eric Neumayer & Peter Nunnenkamp & Martin Roy, 2016. "Are stricter investment rules contagious? Host country competition for foreign direct investment through international agreements," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 177-213, February.
- Joseph Seidel & Yang Xu, 2016. "MHTEXP: Stata module to perform multiple hypothesis testing correction procedure," Statistical Software Components S458153, Boston College Department of Economics.
- Heike Hennig-Schmidt & Bettina Rockenbach & Abdolkarim Sadrieh, 2010. "In Search Of Workers' Real Effort Reciprocity-A Field and a Laboratory Experiment," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 817-837, 06.
- Karlan, Dean & List, John A. & Shafir, Eldar, 2011. "Small matches and charitable giving: Evidence from a natural field experiment," Journal of Public Economics, Elsevier, vol. 95(5), pages 344-350.
- Matthew T. Cole & Amélie Guillin, 2015. "The determinants of trade agreements in services vs. goods," International Economics, CEPII research center, issue 144, pages 66-82.
- Yilmazkuday, Hakan, 2016. "Forecasting the Great Trade Collapse," International Economics, Elsevier, vol. 147(C), pages 145-154.
- Georgy Idrisov & Yuri Bobylev & Arseny Mamedov & Olga Morgunova & Mikhail Khromov & Sergey Tsukhlo & Olesia Rasenko, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 15, pages 1-26, November.
- Georgy Idrisov & Mikhail Khromov & Evgeny Goryunov & Alexander Knobel & Yuri Ponomarev & Alexander Deryugin & Julia Florinskaya & Nikita Mkrtchan, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 16, pages 1-26, November.
- Alexander Knobel & Yuri Bobylev & Alexandra Bozhechkova & Pavel Trunin & Mikhail Khromov & Natalia Shagaida & Vasily Uzun & Elena Avraamova & D. Loginov, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 14, pages 1-26, October.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Drobyshevsky Sergey & Turuntseva Marina & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Averkiev Vladimir & Shishkina Ekaterina & Florinskaya Yulia & Mkrtchian N. & S, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 24, pages 1-27, April.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 20, pages 1-26, February.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
- Sergey Drobyshevsky & Mikhail Khromov & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Mikhail Khromov & Sergey Drobyshevsky & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Natalia & Kiyutsevskaya Ann, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
- Drobyshevsky Sergey & Turuntseva Marina & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shishkina Ekaterina & Uzun Vasily & Flor, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 24, pages 1-27, April.
- Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Nat, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Idrisov Georgy & Bozhechkova Alexandra & Trunin Pavel & Khromov Mikhail & Tsukhlo Sergey & Goryunov Evgeny & Deryugin Alexander & Kaukin Andrey, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 25, pages 1-22, April.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Alexandra Bozhechkova & Alexander Knobel & Sergey Tsukhlo & Elena Grishina & Pavel Trunin & Alexander Firanchuk & Olga Berezinskaya, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 22, pages 1-27, March.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Idrisov Georgy & Bozhechkova Alexandra & Trunin Pavel & Khromov Mikhail & Tsukhlo Sergey & Goryunov Evgeny & Deryugin Alexander & Kaukin Andrey, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 25, pages 1-22, April.
- Loginov D. & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Goryunov Evgeny & Kiyutsevskaya Anna & Larionova M. & Sakharov A. & Shelepov A. & Avraamova A., 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 29, pages 1-26, June.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 32, pages 1-27, September.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Mikhail Khromov & Yuri Bobylev & Sergey Tsukhlo & E. Avraamova & D. Loginov & O. Rasenko & Ekaterina Ponomareva & Sergey Sudakov, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 23, pages 1-27, March.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Alexandra Bozhechkova & Alexander Knobel & Georgy Idrisov & Yuri Ponomarev & Sergey Tsukhlo & Pavel Trunin & Sergey Sudakov & Alexandra Burdyak & Elena Grishina, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 18, pages 1-26, December.
- Mikhail Khromov & Sergey Drobyshevsky & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Bozhechkova Alexandra & Trunin Pavel & Grishina Elena & Khromov Mikhail & Tsukhlo Sergey & Deryugin Alexander & Burdyak Alexandra, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 31, pages 1-27, July.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
- Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016.
"Online Monitoring of Russia's Economic Outlook,"
Monitoring of Russia's Ec
- Andrei Cozma & Christoph Reisinger, 2015. "A mixed Monte Carlo and PDE variance reduction method for foreign exchange options under the Heston-CIR model," Papers 1509.01479, arXiv.org, revised Apr 2016.
- He, Xin-Jiang & Zhu, Song-Ping, 2016. "An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 77-85.
- Epstein, Larry G. & Ji, Shaolin, 2014. "Ambiguous volatility, possibility and utility in continuous time," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
- Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
- Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
- Jin-Chuan Duan & Jean-Guy Simonato, 1998. "Empirical Martingale Simulation for Asset Prices," Management Science, INFORMS, vol. 44(9), pages 1218-1233, September.
- Feng, Shih-Ping & Hung, Mao-Wei & Wang, Yaw-Huei, 2016. "The importance of stock liquidity on option pricing," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 457-467.
- Capelle-Blancard, Gunther & Jurczenko, Emmanuel & Maillet, Bertrand, 2001. "The approximate option pricing model: performances and dynamic properties," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 427-443, December.
- Gunther Capelle-Blancard & Emmanuel Jurczenko & Bertrand Maillet, 2001. "The Approximate Option Pricing Model: Performances and Dynamic Properties," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308985, HAL.
- Gunther Capelle-Blancard & Emmanuel Jurczenko & Bertrand Maillet, 2001. "The Approximate Option Pricing Model: Performances and Dynamic Properties," Post-Print hal-00308985, HAL.
- Alessandra Cretarola & Gianna Figà-Talamanca & Marco Patacca, 2020. "Market attention and Bitcoin price modeling: theory, estimation and option pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 187-228, June.
- Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
- Xibin Zhang & Maxwell L. King, 2004. "Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors," Monash Econometrics and Business Statistics Working Papers 26/04, Monash University, Department of Econometrics and Business Statistics.
- Yu, Jun & Yang, Zhenlin & Zhang, Xibin, 2006. "A class of nonlinear stochastic volatility models and its implications for pricing currency options," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
- Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
- Konstantinos Kalogeropoulos & Gareth O. Roberts & Petros Dellaportas, 2007. "Inference for stochastic volatility models using time change transformations," Papers 0711.1594, arXiv.org.
- Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros, 2010. "Inference for stochastic volatility models using time change transformations," LSE Research Online Documents on Economics 31421, London School of Economics and Political Science, LSE Library.
- Kalogeropoulos, Konstantinos & Roberts, Gareth O. & Dellaportas, Petros, 2007. "Inference for stochastic volatility model using time change transformations," MPRA Paper 5697, University Library of Munich, Germany.
- Samuel N. Cohen & Martin Tegn'er, 2018. "European Option Pricing with Stochastic Volatility models under Parameter Uncertainty," Papers 1807.03882, arXiv.org.
- Omar Euch & Masaaki Fukasawa & Mathieu Rosenbaum, 2018. "The microstructural foundations of leverage effect and rough volatility," Finance and Stochastics, Springer, vol. 22(2), pages 241-280, April.
- Ning Cai & Yingda Song & Nan Chen, 2017. "Exact Simulation of the SABR Model," Operations Research, INFORMS, vol. 65(4), pages 931-951, August.
- Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2022. "Market and model risks: a feasible joint estimate methodology," Risk Management, Palgrave Macmillan, vol. 24(3), pages 187-213, September.
- Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
- Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, Department of Economics and Business Economics, Aarhus University.
- Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2008. "The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets," Working Paper 1181, Economics Department, Queen's University.
- John S. Ying & Joel S. Sternberg, 2005. "The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew," Working Papers 05-12, University of Delaware, Department of Economics.
- Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
- Cadogan, Godfrey, 2010. "Canonical Representation Of Option Prices and Greeks with Implications for Market Timing," MPRA Paper 23426, University Library of Munich, Germany.
- Bin Xie & Weiping Li & Nan Liang, 2021. "Pricing S&P 500 Index Options with L\'evy Jumps," Papers 2111.10033, arXiv.org, revised Nov 2021.
- DAVID G. McMILLAN & ALAN E. H. SPEIGHT, 2007. "Value‐at‐Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long‐Memory GARCH Models," International Review of Finance, International Review of Finance Ltd., vol. 7(1‐2), pages 1-19, March.
- Christian Hafner, 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Computational Statistics, Springer, vol. 18(3), pages 339-353, September.
- Hafner, C.M., 2003. "Simple approximations for option pricing under mean reversion and stochastic volatility," Econometric Institute Research Papers EI 2003-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hossein Jafari & Ghazaleh Rahimi, 2019. "Small-Time Asymptotics In Geometric Asian Options For A Stochastic Volatility Jump-Diffusion Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-19, March.
- Rachid Belhachemi, 2024. "Option Valuation with Conditional Heteroskedastic Hidden Truncation Models," Computational Economics, Springer;Society for Computational Economics, vol. 63(6), pages 2585-2601, June.
- Robert J. Ritchey, 1990. "Call Option Valuation For Discrete Normal Mixtures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 285-296, December.
- Manabu Asai & Michael McAleer, 2011. "Alternative Asymmetric Stochastic Volatility Models," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 548-564, October.
- Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CARF F-Series CARF-F-166, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," Working Papers in Economics 10/70, University of Canterbury, Department of Economics and Finance.
- Manabu Asai & Michael McAleer, 2010. "Alternative Asymmetric Stochastic Volatility Models," KIER Working Papers 739, Kyoto University, Institute of Economic Research.
- Asai, M. & McAleer, M.J., 2010. "Alternative Asymmetric Stochastic Volatility Models," Econometric Institute Research Papers EI 2010-69, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Michael McAleer, 2009. "Alternative Asymmetric Stochastic Volatility Models," CIRJE F-Series CIRJE-F-655, CIRJE, Faculty of Economics, University of Tokyo.
- Contreras G., Mauricio, 2014. "Stochastic volatility models at ρ=±1 as second class constrained Hamiltonian systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 289-302.
- A. H. Nzokem, 2022. "Pricing European Options under Stochastic Volatility Models: Case of five-Parameter Variance-Gamma Process," Papers 2201.03378, arXiv.org, revised Jan 2023.
- 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.
- Zhang, Yuanyuan & Zhang, Qian & Wang, Zerong & Wang, Qi, 2024. "Option valuation via nonaffine dynamics with realized volatility," Journal of Empirical Finance, Elsevier, vol. 77(C).
- Li, Yanxin & Walker, Stephen G., 2023. "A latent slice sampling algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 179(C).
- Stentoft, Lars, 2005. "Pricing American options when the underlying asset follows GARCH processes," Journal of Empirical Finance, Elsevier, vol. 12(4), pages 576-611, September.
- I‐Doun Kuo & Kai‐Li Wang, 2009. "Implied deterministic volatility functions: An empirical test for Euribor options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(4), pages 319-347, April.
- Shvimer, Yossi & Herbon, Avi, 2020. "Comparative empirical study of binomial call-option pricing methods using S&P 500 index data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Andrew E. B. Lim, 2004. "Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market," Mathematics of Operations Research, INFORMS, vol. 29(1), pages 132-161, February.
- Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
- Yun, Jaeho, 2014. "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 74-87.
- Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2006. "Assessing central bank credibility during the ERM crises: Comparing option and spot market-based forecasts," Journal of Financial Stability, Elsevier, vol. 2(1), pages 28-54, April.
- Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004. "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers 200424, Rutgers University, Department of Economics.
- Haas, Markus & Mittnik, Stefan & Mizrach, Bruce, 2005. "Assessing central bank credibility during the EMS crises: Comparing option and spot market-based forecasts," CFS Working Paper Series 2005/09, Center for Financial Studies (CFS).
- Jan Matas & Jan Posp'iv{s}il, 2021. "On simulation of rough Volterra stochastic volatility models," Papers 2108.01999, arXiv.org, revised Aug 2022.
- Matthias R. Fengler & Helmut Herwartz & Christian Werner, 2012. "A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew," Journal of Financial Econometrics, Oxford University Press, vol. 10(3), pages 457-493, June.
- Matthias Fengler & Helmut Herwartz & Christian Werner, 2010. "A dynamic copula approach to recovering the index implied volatility skew," University of St. Gallen Department of Economics working paper series 2010 1132, Department of Economics, University of St. Gallen, revised Nov 2011.
- Jean-Pierre Fouque & Ning Ning, 2017. "Uncertain Volatility Models with Stochastic Bounds," Papers 1702.05036, arXiv.org.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017. "Volatility of aggregate volatility and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
- Vikas Agarwal & Eser Arisoy & Narayan y Naik, 2015. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01412976, HAL.
- Vikas Agarwal & Eser Arisoy & Narayan Y. Naik, 2017. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01634155, HAL.
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
- Carey, Alexander, 2006. "Path-conditional forward volatility," MPRA Paper 4964, University Library of Munich, Germany.
- Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84, January.
- Platen, E. & Schweizer, M., 1997. "On Feedback Effects from Hedging Derivatives," SFB 373 Discussion Papers 1997,83, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Yu, Xiao-Jian & Wang, Zi-Ling & Xiao, Wei-Lin, 2020. "Is the nonlinear hedge of options more effective?—Evidence from the SSE 50 ETF options in China," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Carvalho, Augusto & Guimaraes, Bernardo, 2018. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Journal of Public Economics, Elsevier, vol. 159(C), pages 66-78.
- Carvalho, Augusto & Guimarães, Bernardo de Vasconcellos, 2016. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," Textos para discussão 435, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Augusto Carvalho & Bernardo Guimaraes, 2016. "State-controlled companies and political risk: Evidence from the 2014 Brazilian election," Discussion Papers 1702, Centre for Macroeconomics (CFM).
- Carvalho, Augusto & Guimaraes, Bernardo, 2017. "State-controlled companies and political risk: evidence from the 2014 Brazilian election," LSE Research Online Documents on Economics 86172, London School of Economics and Political Science, LSE Library.
- Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
- Gurdip Bakshi & John Crosby & Xiaohui Gao, 2023. "Dark Matter in (Volatility and) Equity Option Risk Premiums," Papers 2303.16371, arXiv.org.
- Christoffersen, Peter & Heston, Steven & Jacobs, Kris, 2010. "Option Anomalies and the Pricing Kernel," Working Papers 11-17, University of Pennsylvania, Wharton School, Weiss Center.
- Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.
- Laurent Calvet & Adlai Fisher, 1999. "Forecasting Multifractal Volatility," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-017, New York University, Leonard N. Stern School of Business-.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2001. "Forecasting multifractal volatility," Post-Print hal-00477952, HAL.
- Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
- Guo, Weiyu, 2004. "Some evidence in the trading and pricing of equity LEAPS," International Review of Economics & Finance, Elsevier, vol. 13(4), pages 407-426.
- Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," Risk and Sustainable Management Group Working Papers 207677, University of Queensland, School of Economics.
- Guidolin, Massimo & Timmermann, Allan, 2003. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," Journal of Economic Dynamics and Control, Elsevier, vol. 27(5), pages 717-769, March.
- Allan Timmermann & Massimo Guidolin, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," FMG Discussion Papers dp397, Financial Markets Group.
- Guidolin, Massimo & Timmermann, Allan, 2001. "Option prices under Bayesian learning: implied volatility dynamics and predictive densities," LSE Research Online Documents on Economics 119091, London School of Economics and Political Science, LSE Library.
- Timmermann, Allan & Guidolin, Massimo, 2001. "Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities," CEPR Discussion Papers 3005, C.E.P.R. Discussion Papers.
- Eduardo Ramos-Pérez & Pablo J. Alonso-González & José Javier Núñez-Velázquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Mathematics, MDPI, vol. 9(15), pages 1-18, July.
- Alvaro Cartea & Sam Howison, 2004. "Option Pricing with Levy-Stable Processes," OFRC Working Papers Series 2004mf01, Oxford Financial Research Centre.
- Barr, Kanlaya Jintanakul, 2009. "The implied volatility bias and option smile: is there a simple explanation?," ISU General Staff Papers 200901010800002026, Iowa State University, Department of Economics.
- Villamor, Enrique & Olivares, Pablo, 2024. "Pricing exchange options under stochastic correlation," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
- Alexander Lipton & Andrey Gal & Andris Lasis, 2013. "Pricing of vanilla and first generation exotic options in the local stochastic volatility framework: survey and new results," Papers 1312.5693, arXiv.org.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2021. "A Black-Scholes user's guide to the Bachelier model," Papers 2104.08686, arXiv.org, revised Feb 2022.
- Pastorello, Sergio & Patilea, Valentin & Renault, Eric, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 449-482, October.
- Sergio Pastorello & Valentin Patilea & Eric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO.
- Koopman, Siem Jan & Jungbacker, Borus & Hol, Eugenie, 2005. "Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 445-475, June.
- Eugenie Hol & Siem Jan Koopman & Borus Jungbacker, 2004. "Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements," Computing in Economics and Finance 2004 342, Society for Computational Economics.
- Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute.
- Nikolai Dokuchaev, 2012. "On statistical indistinguishability of the complete and incomplete markets," Papers 1209.4695, arXiv.org, revised May 2013.
- Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society.
- Peng He, 2012. "Option Portfolio Value At Risk Using Monte Carlo Simulation Under A Risk Neutral Stochastic Implied Volatility Model," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 6(5), pages 65-72.
- Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models," Mathematics, MDPI, vol. 9(18), pages 1-25, September.
- Miss Kinga Z Elo, 2007. "The Effect of Capital Controlson Foreign Direct Investment Decisions Under Country Risk with Intangible Assets," IMF Working Papers 2007/079, International Monetary Fund.
- Renò, Roberto, 2008. "Nonparametric Estimation Of The Diffusion Coefficient Of Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1174-1206, October.
- 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.
- Falko Baustian & Martin Fencl & Jan Posp'iv{s}il & Vladim'ir v{S}v'igler, 2021. "A note on a PDE approach to option pricing under xVA," Papers 2105.00051, arXiv.org, revised Jul 2021.
- Joe Akira Yoshino, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6, pages 385-403, November.
- Härdle, Wolfgang Karl & Myšičková, Alena, 2008. "Numerics of implied binomial trees," SFB 649 Discussion Papers 2008-044, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Ayla Ogus, 2002. "Pricing of S&P 100 Index Options Based On Garch Volatility Estimates," Working Papers 0201, Izmir University of Economics.
- Ayla Ogus, 2005. "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates," Finance 0504005, University Library of Munich, Germany.
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Robert A. Jarrow, 2023. "The no-arbitrage pricing of non-traded assets," Annals of Finance, Springer, vol. 19(3), pages 401-418, September.
- 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.
- Barunik, Jozef & Barunikova, Michaela, 2015. "Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression," FinMaP-Working Papers 43, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
- René Garcia & Richard Luger & Éric Renault, 2005. "Viewpoint: Option prices, preferences, and state variables," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(1), pages 1-27, February.
- René Garcia & Richard Luger & Éric Renault, 2005. "Viewpoint: Option prices, preferences, and state variables," Canadian Journal of Economics, Canadian Economics Association, vol. 38(1), pages 1-27, February.
- Martin Melecky, 2012. "Choosing The Currency Structure Of Foreign‐Currency Debt: A Review Of Policy Approaches," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 133-151, March.
- Melecky, Martin, 2010. "Choosing the Currency Structure of Foreign-currency Debt: a Review of Policy Approaches," MPRA Paper 21268, University Library of Munich, Germany.
- Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option pricing revisited: The role of price volatility and dynamics," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Chenxu Li, 2016. "Bessel Processes, Stochastic Volatility, And Timer Options," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 122-148, January.
- Zhao, Zhibiao, 2011. "Nonparametric model validations for hidden Markov models with applications in financial econometrics," Journal of Econometrics, Elsevier, vol. 162(2), pages 225-239, June.
- Chen, Gang & Roberts, Matthew C. & Roe, Brian E., 2005. "Managing Livestock Feed Cost Risks Using Futures and Options," 2005 Annual meeting, July 24-27, Providence, RI 19399, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689, December.
- Siem Jan Koopman & Eugenie Hol Uspensky, 2002. "The stochastic volatility in mean model: empirical evidence from international stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 667-689.
- Alain Bensoussan & Michel Crouhy & Dan Galai, 1994. "Stochastic equity volatility related to the leverage effect," Applied Mathematical Finance, Taylor & Francis Journals, vol. 1(1), pages 63-85.
- Michael C. Fu & Bingqing Li & Rongwen Wu & Tianqi Zhang, 2020. "Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model," Papers 2006.15054, arXiv.org.
- Chuan-Hsiang Han & Wei-Han Liu & Tzu-Ying Chen, 2014. "VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-35.
- Elisa Alòs & Yan Yang, 2014. "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers 1446, Department of Economics and Business, Universitat Pompeu Fabra.
- Elisa Alòs & Rafael De Santiago & Josep Vives, 2012. "Calibration of stochastic volatility models via second order approximation: the Heston model case," Economics Working Papers 1346, Department of Economics and Business, Universitat Pompeu Fabra.
- Bara Kim & In-Suk Wee, 2014. "Pricing of geometric Asian options under Heston's stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1795-1809, October.
- Sebastian A. Gehricke & Jin E. Zhang, 2018. "Modeling VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 958-976, August.
- Lucio Fiorin & Wim Schoutens, 2020. "Conic quantization: stochastic volatility and market implied liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 531-542, April.
- Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2095-2114.
- Benhamou, Eric & Duguet, Alexandre, 2003. "Small dimension PDE for discrete Asian options," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11-12), pages 2095-2114, September.
- Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2023. "Stock illiquidity and option returns," Journal of Financial Markets, Elsevier, vol. 63(C).
- Anders Johansson, 2009. "Stochastic volatility and time-varying country risk in emerging markets," The European Journal of Finance, Taylor & Francis Journals, vol. 15(3), pages 337-363.
- Driessen, Joost & Klaassen, Pieter & Melenberg, Bertrand, 2003. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(3), pages 635-672, September.
- Driessen, J.J.A.G. & Klaassen, P. & Melenberg, B., 2000. "The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions," Discussion Paper 2000-93, Tilburg University, Center for Economic Research.
- Li, Nan & Wang, Song & Zhang, Kai, 2022. "Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method," Applied Mathematics and Computation, Elsevier, vol. 421(C).
- Michael W. Brandt & Francis X. Diebold, 2006. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," The Journal of Business, University of Chicago Press, vol. 79(1), pages 61-74, January.
- Michael W. Brandt & Francis X. Diebold & April, "undated". "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," Center for Financial Institutions Working Papers 03-15, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Brandt, Michael W. & Diebold, Francis X., 2004. "A no-arbitrage approach to range-based estimation of return covariances and correlations," CFS Working Paper Series 2004/07, Center for Financial Studies (CFS).
- Michael W. Brandt & Francis X. Diebold, 2003. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," NBER Working Papers 9664, National Bureau of Economic Research, Inc.
- Michael W. Brandt & Francis X. Diebold, 2001. "A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations," PIER Working Paper Archive 03-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Apr 2003.
- Kaeck, Andreas, 2013. "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1872-1888.
- Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
- Gurdip S. Bakshi & Zhiwu Chen, 1996. "An Alternative Valuation Model for Contingent Claims," Yale School of Management Working Papers ysm78, Yale School of Management.
- David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
- Font, Begoña, 1998. "Modelización de series temporales financieras. Una recopilación," DES - Documentos de Trabajo. EstadÃstica y EconometrÃa. DS 3664, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Bing-Huei Lin & Mao-Wei Hung & Jr-Yan Wang & Ping-Da Wu, 2013. "A lattice model for option pricing under GARCH-jump processes," Review of Derivatives Research, Springer, vol. 16(3), pages 295-329, October.
- Alessandra Cretarola & Gianna Fig`a-Talamanca & Marco Patacca, 2017. "A sentiment-based model for the BitCoin: theory, estimation and option pricing," Papers 1709.08621, arXiv.org.
- E. Alòs & F. Antonelli & A. Ramponi & S. Scarlatti, 2021. "Cva And Vulnerable Options In Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(02), pages 1-34, March.
- Elisa Alos & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2019. "CVA and vulnerable options in stochastic volatility models," Papers 1907.12922, arXiv.org.
- Liu, Ying & Papakirykos, Eli & Yuan, Mingwei, 2006. "Market Valuation and Risk Assessment of Canadian Banks," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 2(1), pages 1-18.
- Ying Liu & Eli Papakirykos & Mingwei Yuan, 2004. "Market Valuation and Risk Assessment of Canadian Banks," Staff Working Papers 04-34, Bank of Canada.
- Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous Volatility and Asset Pricing in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
- Larry G. Epstein & Shaolin Ji, 2012. "Ambiguous Volatility and Asset Pricing in Continuous Time," CIRANO Working Papers 2012s-29, CIRANO.
- Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous volatility and asset pricing in continuous time," Papers 1301.4614, arXiv.org.
- Davidson, Wallace N. & Kim, Jin Kyoung & Ors, Evren & Szakmary, Andrew, 2001. "Using implied volatility on options to measure the relation between asset returns and variability," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1245-1269, July.
- Bartolucci, F. & De Luca, G., 2003. "Likelihood-based inference for asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 445-449, March.
- Matthew Lorig, 2010. "Time-Changed Fast Mean-Reverting Stochastic Volatility Models," Papers 1010.5203, arXiv.org, revised Apr 2012.
- Cao, Melanie, 2001. "Systematic jump risks in a small open economy: simultaneous equilibrium valuation of options on the market portfolio and the exchange rate," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 191-218, April.
- Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
- Christopher J. Neely, 2004. "Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?," Working Papers 2002-017, Federal Reserve Bank of St. Louis.
- Chang, Eric C. & Ren, Jinjuan & Shi, Qi, 2009. "Effects of the volatility smile on exchange settlement practices: The Hong Kong case," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 98-112, January.
- Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
- Brignone, Riccardo & Gonzato, Luca, 2024. "Exact simulation of the Hull and White stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
- Corradi, Valentina, 2000. "Reconsidering the continuous time limit of the GARCH(1, 1) process," Journal of Econometrics, Elsevier, vol. 96(1), pages 145-153, May.
- Lu, Jin-Ray & Yang, Ya-Huei, 2021. "Option valuations and asset demands and supplies," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 49-64.
- Aleksey S. Polunchenko & Grigory Sokolov, 2016. "An Analytic Expression for the Distribution of the Generalized Shiryaev–Roberts Diffusion," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1153-1195, December.
- Matthias Fengler & Wolfgang Härdle & Christophe Villa, 2003. "The Dynamics of Implied Volatilities: A Common Principal Components Approach," Review of Derivatives Research, Springer, vol. 6(3), pages 179-202, October.
- Fengler, Matthias R. & Härdle, Wolfgang Karl & Villa, Christophe, 2001. "The dynamics of implied volatilities: A common principal components approach," SFB 373 Discussion Papers 2001,38, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Christophe Villa & M.R. Fengler & W.K. Hardle, 2003. "The dynamics of implied volatilities : a common principal components approach," Post-Print halshs-00069509, HAL.
- José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2019. "A Volatility Smile-Based Uncertainty Index," Working Papers Series 502, Central Bank of Brazil, Research Department.
- Hui Guo & Christopher J. Neely & Jason Higbee, 2008. "Foreign Exchange Volatility Is Priced in Equities," Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
- Hui Guo & Jason Higbee & Christopher J. Neely, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
- Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January.
- Garcia, Rene & Luger, Richard & Renault, Eric, 2003. "Empirical assessment of an intertemporal option pricing model with latent variables," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 49-83.
- René Garcia & Richard Luger & Eric Renault, 2000. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables," Working Papers 2000-56, Center for Research in Economics and Statistics.
- GARCIA,René & LUGER, Richard & RENAULT, Éric, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Luger, R. & Renault, E., 2001. "Empirical Assessment of an Intertemporal option Pricing Model with Latent variables," Cahiers de recherche 2001-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012. "Valuing American options using fast recursive projections," Working Papers unige:41856, University of Geneva, Geneva School of Economics and Management.
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2016. "Valuing American options using fast recursive projections," Working Papers unige:82087, University of Geneva, Geneva School of Economics and Management.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2015. "Valuing American options using fast recursive projections," DEM Discussion Paper Series 15-20, Department of Economics at the University of Luxembourg.
- Hideyuki Takada & Ushio Sumita & Hui Jin, 2009. "Development of Computational Algorithms for Evaluating Option Prices Associated with Square-Root Volatility Processes," Methodology and Computing in Applied Probability, Springer, vol. 11(4), pages 687-703, December.
- Sol Kim, 2021. "Portfolio of Volatility Smiles versus Volatility Surface: Implications for pricing and hedging options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1154-1176, July.
- Rui Vilela Mendes & M. J. Oliveira, 2006. "A data-reconstructed fractional volatility model," Papers math/0602013, arXiv.org, revised Jun 2007.
- Mendes, Rui Vilela & Oliveira, Maria J., 2008. "A Data-Reconstructed Fractional Volatility Model," Economics Discussion Papers 2008-22, Kiel Institute for the World Economy (IfW Kiel).
- Bryant, Henry L. & Haigh, Michael S., 2003. "Comparing The Performances Of The Partial Equilibrium And Time-Series Approaches To Hedging," Working Papers 28580, University of Maryland, Department of Agricultural and Resource Economics.
- van der Sluis Pieter J., 1997. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 2(3), pages 1-20, October.
- Pieter J. van der Sluis, 1998. "EmmPack 1.01: C/C++ Code for Use with Ox for Estimation of Univariate Stochastic Volatility Models with the Efficient Method of Moments," Tinbergen Institute Discussion Papers 98-021/4, Tinbergen Institute.
- Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
- Elisa Alòs & Jorge A. León, 2021. "An Intuitive Introduction to Fractional and Rough Volatilities," Mathematics, MDPI, vol. 9(9), pages 1-22, April.
- Szu, Wen-Ming & Wang, Ming-Chun & Yang, Wan-Ru, 2011. "The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 826-838, October.
- Olkhov, Victor, 2022. "Economic Policy - the Forth Dimension of the Economic Theory," MPRA Paper 112685, University Library of Munich, Germany.
- Kai Yin & Anirban Mondal, 2023. "Bayesian uncertainty quantification of local volatility model," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 290-324, May.
- Jiří Witzany & Milan Fičura, 2023. "Machine Learning Applications to Valuation of Options on Non-liquid Markets," FFA Working Papers 5.001, Prague University of Economics and Business, revised 24 Jan 2023.
- Alvaro Cartea & Sam Howison, 2009. "Option pricing with Levy-Stable processes generated by Levy-Stable integrated variance," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 397-409.
- Alvaro Cartea & Sam Howison, 2006. "Option Pricing with Lévy-Stable Processes Generated by Lévy-Stable Integrated Variance," Birkbeck Working Papers in Economics and Finance 0602, Birkbeck, Department of Economics, Mathematics & Statistics.
- Davide Raggi & Silvano Bordignon, 2011. "Volatility, Jumps, and Predictability of Returns: A Sequential Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 669-695.
- S. Bordignon & D. Raggi, 2008. "Volatility, Jumps and Predictability of Returns: a Sequential Analysis," Working Papers 636, Dipartimento Scienze Economiche, Universita' di Bologna.
- V. L. Martin & G. M. Martin & G. C. Lim, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404.
- G. C. Lim & G. M. Martin & V. L. Martin, 2005. "Parametric pricing of higher order moments in S&P500 options," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 377-404, March.
- G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
- Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range‐Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, June.
- Eric Djeutcha & Jules Sadefo Kamdem, 2024. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull–White–Vasicek model," Annals of Operations Research, Springer, vol. 334(1), pages 101-131, March.
- Eric Djeutcha & Jules Sadefo Kamdem, 2022. "Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model," Post-Print hal-03675886, HAL.
- Eric Benhamou, 2002. "Option pricing with Levy Process," Finance 0212006, University Library of Munich, Germany.
- Nappo, Giovanna & Marchetti, Fabio Massimo & Vagnani, Gianluca, 2023. "Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets," Finance Research Letters, Elsevier, vol. 53(C).
- David S. Bates, 1993. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options," NBER Working Papers 4596, National Bureau of Economic Research, Inc.
- Li, Zhinan & Pei, Shan & Li, Ting & Wang, Yu, 2023. "Risk spillover network in the supply chain system during the COVID-19 crisis: Evidence from China," Economic Modelling, Elsevier, vol. 126(C).
- Chih-Chen Hsu & Chung-Gee Lin & Tsung-Jung Kuo, 2020. "Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading," Mathematics, MDPI, vol. 8(12), pages 1-16, December.
- Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2017. "Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options," Central European Economic Journal, Sciendo, vol. 4(51), pages 18-39, December.
- Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk, 2017. "Which Option Pricing Model Is the Best? HF Data for Nikkei 225 Index Options," Central European Economic Journal, Sciendo, vol. 4(51), pages 18-39.
- Taylor, Stephen J. & Xu, Xinzhong, 1997. "The incremental volatility information in one million foreign exchange quotations," Journal of Empirical Finance, Elsevier, vol. 4(4), pages 317-340, December.
- Cheng Lee & Gwo-Hshiung Tzeng & Shin-Yun Wang, 2005. "A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options," Review of Quantitative Finance and Accounting, Springer, vol. 25(3), pages 255-275, November.
- Asai, Manabu & Caporin, Massimiliano & McAleer, Michael, 2015. "Forecasting Value-at-Risk using block structure multivariate stochastic volatility models," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 40-50.
- Asai, M. & Caporin, M. & McAleer, M.J., 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2012-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2013. "Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models," Tinbergen Institute Discussion Papers 13-073/III, Tinbergen Institute.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Documentos de Trabajo del ICAE 2012-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Michael McAleer & Manabu Asai & Massimiliano Caporin, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," KIER Working Papers 812, Kyoto University, Institute of Economic Research.
- Manabu Asai & Massimiliano Caporin & Michael McAleer, 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Working Papers in Economics 12/04, University of Canterbury, Department of Economics and Finance.
- Soosung Hwang & Steve Satchell, 2005. "GARCH model with cross-sectional volatility: GARCHX models," Applied Financial Economics, Taylor & Francis Journals, vol. 15(3), pages 203-216.
- Lu, Xiaoping & Putri, Endah R.M., 2020. "A semi-analytic valuation of American options under a two-state regime-switching economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
- Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
- Gabriele Fiorentini & Angel León & Gonzalo Rubio, "undated". "Short-term options with stochastic volatility: Estimation and empirical performance," Studies on the Spanish Economy 02, FEDEA.
- Ángel León & Gabriele Fiorentini & Gonzalo Rubio, 2000. "Short-Term Options With Stochastic Volatility: Estimation And Empirical Performance," Working Papers. Serie AD 2000-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Pulch, Roland & van Emmerich, Cathrin, 2009. "Polynomial chaos for simulating random volatilities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 245-255.
- Xu Lin & Sweder van Wijnbergen, "undated". "The Social Cost of Carbon under Climate Volatility Risk," Tinbergen Institute Discussion Papers 23-032/IV, Tinbergen Institute.
- Lin, Xu & van Wijnbergen, Sweder, 2023. "The Social Cost of Carbon under Climate Volatility Risk," CEPR Discussion Papers 18210, C.E.P.R. Discussion Papers.
- Michael K Pitt & Neil Shephard, "undated". "Filtering via simulation: auxiliary particle filters," Economics Papers 1997-W13, Economics Group, Nuffield College, University of Oxford.
- Gatfaoui Hayette, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation," Finance 0404004, University Library of Munich, Germany.
- Hayette Gatfaoui, 2006. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Post-Print hal-00589918, HAL.
- Hayette Gatfaoui, 2004. "Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton's Credit Risk Valuation," Research Paper Series 123, Quantitative Finance Research Centre, University of Technology, Sydney.
- Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015. "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 72-84.
- Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
- Jingzhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes," Finance 0401002, University Library of Munich, Germany.
- Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
- Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
- Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
- Rossello, Damiano, 2008. "MaxVaR with non-Gaussian distributed returns," European Journal of Operational Research, Elsevier, vol. 189(1), pages 159-171, August.
- Gao, Jianwei, 2010. "An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 511-530, June.
- Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
- Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2014. "The conditional equity premium, cross-sectional returns and stochastic volatility," Economic Modelling, Elsevier, vol. 38(C), pages 316-327.
- Siddiqi, Hammad, 2013. "Analogy Making In Complete and Incomplete Markets: A New Model for Pricing Contingent Claims," Risk and Sustainable Management Group Working Papers 156934, University of Queensland, School of Economics.
- Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(2), October.
- Carol Alexander & Leonardo M. Nogueira, 2006. "Hedging Options with Scale-Invariant Models," ICMA Centre Discussion Papers in Finance icma-dp2006-03, Henley Business School, University of Reading.
- Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
- A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Antonio Mele, 2002. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Working Papers 460, Queen Mary University of London, School of Economics and Finance.
- Bauwens, Luc & Lubrano, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," Journal of Empirical Finance, Elsevier, vol. 9(3), pages 321-342, August.
- Bauwens, L. & Lubrano, M., 2000. "Bayesian Option Pricing using Asymmetric Garch Models," G.R.E.Q.A.M. 00a18, Universite Aix-Marseille III.
- BAUWENS , Luc & LUBRANO, Michel, 2002. "Bayesian option pricing using asymmetric GARCH models," LIDAM Reprints CORE 1569, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chinonso I. Nwankwo & Weizhong Dai & Ruihua Liu, 2023. "Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 817-854, October.
- Yu Li & Yuhan Wu & Shuhua Zhang, 2024. "The mean-variance portfolio selection based on the average and current profitability of the risky asset," Papers 2408.07969, arXiv.org.
- Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 973-1013, December.
- Hidalgo, Javier & Zaffaroni, Paolo, 2007. "A goodness-of-fit test for ARCH([infinity]) models," Journal of Econometrics, Elsevier, vol. 141(2), pages 835-875, December.
- Mr. Noureddine Krichene, 2003. "Modeling Stochastic Volatility with Application to Stock Returns," IMF Working Papers 2003/125, International Monetary Fund.
- Schwarz, Claudia, 2014. "Investor fears and risk premia for rare events," Discussion Papers 03/2014, Deutsche Bundesbank.
- Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
- Yu, Jun, 2005. "On leverage in a stochastic volatility model," Journal of Econometrics, Elsevier, vol. 127(2), pages 165-178, August.
- Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Econometric Society 2004 Far Eastern Meetings 506, Econometric Society.
- Jun Yu, 2004. "On Leverage in a Stochastic Volatility Model," Working Papers 13-2004, Singapore Management University, School of Economics.
- Jun Yu, 2004. "On leverage in a stochastic volatility model," Econometric Society 2004 Far Eastern Meetings 497, Econometric Society.
- repec:dau:papers:123456789/5374 is not listed on IDEAS
- Deng, Guohe, 2020. "Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 1997. "Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model," NBER Working Papers 6250, National Bureau of Economic Research, Inc.
- Maciej Wysocki & Robert Ślepaczuk, 2020. "Artificial Neural Networks Performance in WIG20 Index Options Pricing," Working Papers 2020-19, Faculty of Economic Sciences, University of Warsaw.
- Callegaro Giorgia & Grasselli Martino & Pag`es Gilles, 2018. "Fast Hybrid Schemes for Fractional Riccati Equations (Rough is not so Tough)," Papers 1805.12587, arXiv.org, revised Feb 2020.
- Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "Hedging Derivative Securities and Incomplete Markets: An (epsilon)-Arbitrage Approach," Operations Research, INFORMS, vol. 49(3), pages 372-397, June.
- Elisa Alos & Antoine Jacquier & Jorge Leon, 2017. "The implied volatility of Forward-Start options: ATM short-time level, skew and curvature," Papers 1710.11232, arXiv.org.
- Elisa Alòs, 2012. "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Finance and Stochastics, Springer, vol. 16(3), pages 403-422, July.
- Ma, Jingtang & Deng, Dongya & Lai, Yongzeng, 2015. "Explicit approximate analytic formulas for timer option pricing with stochastic interest rates," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 1-21.
- Eric Jacquier & Nicholas G. Polson & Peter Rossi, "undated". "Stochastic Volatility: Univariate and Multivariate Extensions," Rodney L. White Center for Financial Research Working Papers 19-95, Wharton School Rodney L. White Center for Financial Research.
- Eric Jacquier & Nicholas G. Polson & Peter E. Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," CIRANO Working Papers 99s-26, CIRANO.
- Eric Jacquier & Nicholas G. Polson & Peter Rossi, 1999. "Stochastic Volatility: Univariate and Multivariate Extensions," Computing in Economics and Finance 1999 112, Society for Computational Economics.
- 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.
- Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
- Zhang, Li-Hua & Zhang, Wei-Guo & Xu, Wei-Jun & Xiao, Wei-Lin, 2012. "The double exponential jump diffusion model for pricing European options under fuzzy environments," Economic Modelling, Elsevier, vol. 29(3), pages 780-786.
- van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
- David Heath & Simon Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.
- Robert S. Pindyck & Andrés Solimano, 1993. "Economic Instability and Aggregate Investment," NBER Chapters, in: NBER Macroeconomics Annual 1993, Volume 8, pages 259-318, National Bureau of Economic Research, Inc.
- Pindyck, Robert S. & Solimano, Andres, 1993. "Economic instability and aggregate investment," Policy Research Working Paper Series 1148, The World Bank.
- Pindyck, Robert S. & Solimano, Andrés., 1993. "Economic instability and aggregate investment," Working papers 3552-93., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert S. Pindyck & Andres Solimano, 1993. "Economic Instability and Aggregate Investment," NBER Working Papers 4380, National Bureau of Economic Research, Inc.
- Jimmy Olsson & Johan Westerborn Alenlöv, 2020. "Particle-based online estimation of tangent filters with application to parameter estimation in nonlinear state-space models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(2), pages 545-576, April.
- Malhotra, Gifty & Srivastava, R. & Taneja, H.C., 2019. "Calibration of the risk-neutral density function by maximization of a two-parameter entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 45-54.
- Antonio Díaz & Francisco Jareño & Eliseo Navarro, 2022. "Yield curve data choice and potential moral hazard: An empirical exercise on pricing callable bonds," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2124-2145, April.
- Bastian Gribisch, 2016. "Multivariate Wishart stochastic volatility and changes in regime," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(4), pages 443-473, October.
- Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
- Ying Wang & Hoi Ying Wong, 2017. "VIX Forecast Under Different Volatility Specifications," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 131-148, June.
- Willy Alanya & Gabriel Rodríguez, 2019. "Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-18, March.
- Gabriel Rodriguez & Willy Alanya, 2016. "Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets," Documentos de Trabajo / Working Papers 2016-413, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Virginia R. Young, 2004. "Pricing In An Incomplete Market With An Affine Term Structure," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 359-381, July.
- Bustamante, M. & Contreras, M., 2016. "Multi-asset Black–Scholes model as a variable second class constrained dynamical system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 540-572.
- Jiangze Du & Shaojie Lai & Kin Keung Lai & Shifei Zhou, 2021. "A novel term structure stochastic model with adaptive correlation for trend analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5485-5498, October.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- 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).
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
- Nikkinen, Jussi & Sahlstrom, Petri, 2004. "International transmission of uncertainty implicit in stock index option prices," Global Finance Journal, Elsevier, vol. 15(1), pages 1-15.
- Geman, Hélyette, 2005. "From measure changes to time changes in asset pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2701-2722, November.
- Reint Gropp & Arjan Kadareja, 2012. "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1117-1149, September.
- Reint Gropp & Arjan Kadareja, 2012. "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1117-1149, September.
- Gropp, Reint & Kadareja, Arjan, 2006. "Stale information, shocks and volatility," Working Paper Series 686, European Central Bank.
- Gropp, Reint E. & Kadareja, Arjan, 2007. "Stale information, shocks and volatility," ZEW Discussion Papers 07-012, ZEW - Leibniz Centre for European Economic Research.
- R. Vilela Mendes, 2022. "The fractional volatility model and rough volatility," Papers 2206.02205, arXiv.org.
- Alejandro Islas Camargo & Francisco Venegas Martínez, 2003. "Pricing Derivatives Securities with Prior Information on Long- Memory Volatility," Economía Mexicana NUEVA ÉPOCA, CIDE, División de Economía, vol. 0(1), pages 103-134, January-J.
- Bégin Jean-François & Bédard Mylène & Gaillardetz Patrice, 2015. "Simulating from the Heston model: A gamma approximation scheme," Monte Carlo Methods and Applications, De Gruyter, vol. 21(3), pages 205-231, September.
- 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.
- Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc.
- Nelson, Daniel B. & Foster, Dean P., 1995. "Filtering and forecasting with misspecified ARCH models II : Making the right forecast with the wrong model," Journal of Econometrics, Elsevier, vol. 67(2), pages 303-335, June.
- Daniel B. Nelson & Dean P. Foster, 1992. "Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model," NBER Technical Working Papers 0132, National Bureau of Economic Research, Inc.
- Shinichi Aihara, 2000. "Estimation of stochastic volatility in the Hull-White model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 153-181.
- Chinonso Nwankwo & Weizhong Dai & Ruihua Liu, 2019. "Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model," Papers 1908.04900, arXiv.org, revised Jun 2020.
- Hentati-Kaffel, R. & Prigent, J.-L., 2016. "Optimal positioning in financial derivatives under mixture distributions," Economic Modelling, Elsevier, vol. 52(PA), pages 115-124.
- R. Hentati-Kaffel & J.L. Prigent, 2014. "Optimal Positioning in Financial Derivatives under Mixture Distributions," Working Papers 2014-347, Department of Research, Ipag Business School.
- Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Post-Print hal-01299840, HAL.
- Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01299840, HAL.
- David Edelman & Thomas Gillespie, 2000. "The Stochastically Subordinated Poisson Normal Process for Modelling Financial Assets," Annals of Operations Research, Springer, vol. 100(1), pages 133-164, December.
- Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," The Journal of Business, University of Chicago Press, vol. 71(3), pages 371-405, July.
- José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2021. "A volatility smile-based uncertainty index," Annals of Finance, Springer, vol. 17(2), pages 231-246, June.
- Vo, Minh T., 2009. "Regime-switching stochastic volatility: Evidence from the crude oil market," Energy Economics, Elsevier, vol. 31(5), pages 779-788, September.
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038, Elsevier.
- Feil, Jan-Henning & Musshoff, Oliver, 2013. "Investment, disinvestment and policy impact analysis in the dairy sector: a real options approach," Structural Change in Agriculture/Strukturwandel im Agrarsektor (SiAg) Working Papers 159229, Humboldt University Berlin, Department of Agricultural Economics.
- Romuald N. Kenmoe S & Carine D. Tafou, 2014. "The Implied Volatility Analysis: The South African Experience," Papers 1403.5965, arXiv.org.
- Siddiqi, Hammad, 2013. "Mental Accounting: A Closed-Form Alternative to the Black Scholes Model," MPRA Paper 50759, University Library of Munich, Germany.
- Tumellano Sebehela, 2016. "Portfolio Formation Memory," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-16, June.
- Christian-Oliver Ewald & Aihua Zhang, 2006. "A new technique for calibrating stochastic volatility models: the Malliavin gradient method," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 147-158.
- Maya Briani & Lucia Caramellino & Antonino Zanette, 2017. "A hybrid approach for the implementation of the Heston model," Post-Print hal-00916440, HAL.
- Christara, Christina C. & Leung, Nat Chun-Ho, 2016. "Option pricing in jump diffusion models with quadratic spline collocation," Applied Mathematics and Computation, Elsevier, vol. 279(C), pages 28-42.
- Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO.
- Feil, Jan-Henning & Musshoff, Oliver, 2013. "Modelling investment and disinvestment decisions under competition, uncertainty and different market interventions," Economic Modelling, Elsevier, vol. 35(C), pages 443-452.
- Willy Alanya & Gabriel RodrÃguez, 2018. "Stochastic Volatility in the Peruvian Stock Market and Exchange Rate Returns: A Bayesian Approximation," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3), pages 354-385, December.
- Willy Alanya & Gabriel Rodríguez, 2014. "Stochastic Volatility in Peruvian Stock Market and Exchange Rate Returns: a Bayesian Approximation," Documentos de Trabajo / Working Papers 2014-392, Departamento de Economía - Pontificia Universidad Católica del Perú.
- Schatzki, Todd, 2003. "Options, uncertainty and sunk costs:: an empirical analysis of land use change," Journal of Environmental Economics and Management, Elsevier, vol. 46(1), pages 86-105, July.
- Chockalingam, Arun & Feng, Haolin, 2015. "The implication of missing the optimal-exercise time of an American option," European Journal of Operational Research, Elsevier, vol. 243(3), pages 883-896.
- Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9, July-Dece.
- Andersen, Torben G. & Bollerslev, Tim & Meddahi, Nour, 2011. "Realized volatility forecasting and market microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 220-234, January.
- Twm Evans & David G. McMillan, 2009. "Financial co-movement and correlation: evidence from 33 international stock market indices," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 215-241.
- Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2017. "Realized stochastic volatility with general asymmetry and long memory," Journal of Econometrics, Elsevier, vol. 199(2), pages 202-212.
- Manabu Asai & Chia-Lin Chang & Michael McAleer, 2017. "Realized Stochastic Volatility with General Asymmetry and Long Memory," Tinbergen Institute Discussion Papers 17-038/III, Tinbergen Institute.
- Asai, M. & Chang, C-L. & McAleer, M.J., 2017. "Realized Stochastic Volatility with General Asymmetry and Long Memory," Econometric Institute Research Papers TI 2017-038/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
- Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO.
- Tian, Yisong Sam, 1998. "A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 315-330.
- Feil, Jan-Henning & Musshoff, Oliver, 2012. "Policy Impact Analysis on Investments and Disinvestments under Competition: A Real Options Approach," 2012 Conference (56th), February 7-10, 2012, Fremantle, Australia 124294, Australian Agricultural and Resource Economics Society.
- Robert F. Engle & Alex Kane & Jaesun Noh, 1993. "Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts," NBER Working Papers 4519, National Bureau of Economic Research, Inc.
- Abel Rodr�guez & Enrique ter Horst, 2011. "Measuring expectations in options markets: an application to the S&P500 index," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1393-1405, July.
- Makasu, Cloud, 2008. "On mean exit time from a curvilinear domain," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2859-2863, December.
- Mohammed Alhagyan, 2024. "Forecasting the Performance of the Energy Sector at the Saudi Stock Exchange Market by Using GBM and GFBM Models," JRFM, MDPI, vol. 17(5), pages 1-10, April.
- Neil Shephard & Michael K Pitt, 1995. "Likelihood analysis of non-Gaussian parameter driven models," Economics Papers 15 & 108., Economics Group, Nuffield College, University of Oxford.
- Shephard, N. & Pitt, M.K., 1995. "Likelihood Analysis of Non-Gaussian Parameter-Driven Models," Economics Papers 108, Economics Group, Nuffield College, University of Oxford.
- Christoffersen, Peter & Heston, Steve & Jacobs, Kris, 2006. "Option valuation with conditional skewness," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 253-284.
- Peter Christoffersen & Steve Heston & Kris Jacobs, 2003. "Option Valuation with Conditional Skewness," CIRANO Working Papers 2003s-50, CIRANO.
- Nour Meddahi, 2003. "ARMA representation of integrated and realized variances," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 335-356, December.
- Nour MEDDAHI, 2002. "Arma Representation Of Integrated And Realized Variances," Cahiers de recherche 20-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MEDDAHI, Nour, 2002. "ARMA Representation of Integrated and Realized Variances," Cahiers de recherche 2002-20, Universite de Montreal, Departement de sciences economiques.
- Nour Meddahi, 2002. "ARMA Representation of Integrated and Realized Variances," CIRANO Working Papers 2002s-93, CIRANO.
- Heller, Yuval & Schreiber, Amnon, 2020. "Short-term investments and indices of risk," Theoretical Economics, Econometric Society, vol. 15(3), July.
- Heller, Yuval & Schreiber, Amnon, 2019. "Short-Term Investments and Indices of Risk," MPRA Paper 95791, University Library of Munich, Germany.
- Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
- Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo, 2001. "When Is Time Continuous?," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 3, pages 71-102, World Scientific Publishing Co. Pte. Ltd..
- Bertsimas, Dimitris & Kogan, Leonid & Lo, Andrew W., 2000. "When is time continuous?," Journal of Financial Economics, Elsevier, vol. 55(2), pages 173-204, February.
- Benjamin Jourdain & Mohamed Sbai, 2013. "High order discretization schemes for stochastic volatility models," Post-Print hal-00409861, HAL.
- Bollerslev, Tim & Ole Mikkelsen, Hans, 1999. "Long-term equity anticipation securities and stock market volatility dynamics," Journal of Econometrics, Elsevier, vol. 92(1), pages 75-99, September.
- Garcia, R. & Renault, E., 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- GARCIA, René & RENAULT, Éric, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Universite de Montreal, Departement de sciences economiques.
- René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," CIRANO Working Papers 98s-02, CIRANO.
- René Garcia & Eric Renault, 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Working Papers 98-10, Center for Research in Economics and Statistics.
- Maryam Safaei & Abodolsadeh Neisy & Nader Nematollahi, 2018. "New Splitting Scheme for Pricing American Options Under the Heston Model," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 405-420, August.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017. "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 46-62.
- E. Benhamou, 2001. "Fast Fourier Transform for discrete Asian Options," Computing in Economics and Finance 2001 6, Society for Computational Economics.
- Daniel B. Nelson, 1994. "Asymptotically Optimal Smoothing with ARCH Models," NBER Technical Working Papers 0161, National Bureau of Economic Research, Inc.
- Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2018. "Testing CEV stochastic volatility models using implied volatility index data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 224-232.
- Carol Alexander & Leonardo Nogueira, 2007. "Model-free price hedge ratios for homogeneous claims on tradable assets," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 473-479.
- Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
- C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics.
- Stefano Galluccio & Yann Le Cam, 2005. "Implied Calibration of Stochastic Volatility Jump Diffusion Models," Finance 0510028, University Library of Munich, Germany.
- Aitor Ciarreta & Peru Muniainy & Ainhoa Zarraga, 2017. "Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market," ISER Discussion Paper 0991, Institute of Social and Economic Research, Osaka University.
- Lars Stentoft, 2019. "Efficient Numerical Pricing of American Call Options Using Symmetry Arguments," JRFM, MDPI, vol. 12(2), pages 1-26, April.
- F. Gonzalez Miranda & N. Burgess, 1997. "Modelling market volatilities: the neural network perspective," The European Journal of Finance, Taylor & Francis Journals, vol. 3(2), pages 137-157.
- Sergei Fedotov & Sergei Mikhailov, 2001. "Option Pricing For Incomplete Markets Via Stochastic Optimization: Transaction Costs, Adaptive Control And Forecast," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 179-195.
- Carole Bernard & Zhenyu Cui & Don McLeish, 2013. "On the martingale property in stochastic volatility models based on time-homogeneous diffusions," Papers 1310.0092, arXiv.org, revised Jul 2014.
- Marcos Escobar & Peter Hieber & Matthias Scherer, 2014. "Efficiently pricing double barrier derivatives in stochastic volatility models," Review of Derivatives Research, Springer, vol. 17(2), pages 191-216, July.
- Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Universite de Montreal, Departement de sciences economiques.
- Eric Ghysels & Joann Jasiak, 1995. "Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects," CIRANO Working Papers 95s-31, CIRANO.
- Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Narain & Narander Kumar Nigam & Piyush Pandey, 2016. "Behaviour and determinants of implied volatility in Indian market," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 13(3), pages 271-291, November.
- Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 203-227.
- Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Meddahi, Nour & Renault, Eric, 2004. "Temporal aggregation of volatility models," Journal of Econometrics, Elsevier, vol. 119(2), pages 355-379, April.
- Nour Meddahi, 2000. "Temporal Aggregation of Volatility Models," Econometric Society World Congress 2000 Contributed Papers 1903, Econometric Society.
- Nour Meddahi & Eric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
- Gang Li & Chu Zhang, 2010. "On the Number of State Variables in Options Pricing," Management Science, INFORMS, vol. 56(11), pages 2058-2075, November.
- Jinniao Qiu & Antony Ware & Yang Yang, 2024. "Stochastic Path-Dependent Volatility Models for Price-Storage Dynamics in Natural Gas Markets and Discrete-Time Swing Option Pricing," Papers 2406.16400, arXiv.org.
- Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2004, January-A.
- Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
- Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "A GMM approach to estimate the roughness of stochastic volatility," Papers 2010.04610, arXiv.org, revised Apr 2022.
- Chuo Chang, 2020. "Dynamic correlations and distributions of stock returns on China's stock markets," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(1), pages 1-6.
- Son Le, 2018. "Algorithmic Trading with Fitted Q Iteration and Heston Model," Papers 1805.07478, arXiv.org.
- In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July.
- Corielli, Francesco & Penati, Alessandro, 1996. "Long-run equity risk and dynamic trading strategies: a simulation exercise for the Italian stock market," Ricerche Economiche, Elsevier, vol. 50(1), pages 27-56, March.
- Daniel B. Nelson, 1994. "Asymptotic Filtering Theory for Multivariate ARCH Models," NBER Technical Working Papers 0162, National Bureau of Economic Research, Inc.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2008. "Modelling and measuring volatility," Economics Series Working Papers 2008--FE-31, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2008. "Modelling and measuring volatility," OFRC Working Papers Series 2008fe31, Oxford Financial Research Centre.
- Poon, Winnie P. H. & Duett, Edwin H., 1998. "An empirical examination of currency futures options under stochastic interest rates," Global Finance Journal, Elsevier, vol. 9(1), pages 29-50.
- C. Kaebe & J. Maruhn & E. Sachs, 2009. "Adjoint-based Monte Carlo calibration of financial market models," Finance and Stochastics, Springer, vol. 13(3), pages 351-379, September.
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2003. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Economics Papers 2003-W12, Economics Group, Nuffield College, University of Oxford.
- Chao Yu & Yue Fang & Zeng Li & Bo Zhang & Xujie Zhao, 2014. "Non-Parametric Estimation Of High-Frequency Spot Volatility For Brownian Semimartingale With Jumps," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 572-591, November.
- Andersen, Torben G. & Bollerslev, Tim & Lange, Steve, 1999. "Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon," Journal of Empirical Finance, Elsevier, vol. 6(5), pages 457-477, December.
- Wong, Woon K. & Tu, Anthony H., 2009. "Market imperfections and the information content of implied and realized volatility," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 58-79, January.
- Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers 2008-57, Department of Economics and Business Economics, Aarhus University.
- Jun Yu, 2004. "Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility," Working Papers 24-2004, Singapore Management University, School of Economics.
- Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
- Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 105431, University Library of Munich, Germany, revised 28 Dec 2020.
- Victor Olkhov, 2020. "Classical Option Pricing and Some Steps Further," Papers 2004.13708, arXiv.org, revised Feb 2021.
- Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 99918, University Library of Munich, Germany.
- Takuji Arai, 2020. "Al\`os type decomposition formula for Barndorff-Nielsen and Shephard model," Papers 2005.07393, arXiv.org, revised Sep 2020.
- Kolkiewicz, A. W. & Tan, K. S., 2006. "Unit-Linked Life Insurance Contracts with Lapse Rates Dependent on Economic Factors," Annals of Actuarial Science, Cambridge University Press, vol. 1(1), pages 49-78, March.
- Prabakaran, Sellamuthu & Garcia, Isabel C. & Mora, Jose U., 2020. "A temperature stochastic model for option pricing and its impacts on the electricity market," Economic Analysis and Policy, Elsevier, vol. 68(C), pages 58-77.
- Robert F. Engle & Joshua Rosenberg, 1994. "Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models," NBER Working Papers 4958, National Bureau of Economic Research, Inc.
- Tianyi Wang & Sicong Cheng & Fangsheng Yin & Mei Yu, 2022. "Overnight volatility, realized volatility, and option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1264-1283, July.
- Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12, July-Dece.
- Francesco Caravenna & Jacopo Corbetta, 2015. "The asymptotic smile of a multiscaling stochastic volatility model," Papers 1501.03387, arXiv.org, revised Jul 2017.
- Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu, 2024. "Short-maturity asymptotics for VIX and European options in local-stochastic volatility models," Papers 2407.16813, arXiv.org.
- Christian M. Hafner & Wolfgang HÄrdle, 2000. "Discrete time option pricing with flexible volatility estimation," Finance and Stochastics, Springer, vol. 4(2), pages 189-207.
- HÄRDLE, Wolfgang & HAFNER, Christian, 1997. "Discrete time option pricing with flexible volatility estimation," LIDAM Discussion Papers CORE 1997047, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Härdle, Wolfgang & Hafner, Christian M., 1997. "Discrete time option pricing with flexible volatility estimation," SFB 373 Discussion Papers 1997,56, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- HARDLE, Wolfgang & HAFNER, Christian M., 2000. "Discrete time option pricing with flexible volatility estimation," LIDAM Reprints CORE 1439, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lin, Chung-Gee & Chang, Chia-Chang, 2020. "Approximate analytic solution for Asian options with stochastic volatility," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Rombouts, Jeroen V.K. & Stentoft, Lars, 2015. "Option pricing with asymmetric heteroskedastic normal mixture models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 635-650.
- Jeroen V.K. Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CREATES Research Papers 2010-44, Department of Economics and Business Economics, Aarhus University.
- ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jeroen Rombouts & Lars Stentoft, 2010. "Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models," CIRANO Working Papers 2010s-38, CIRANO.
- Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
- Gurupdesh S. Pandher, 2007. "Regression-based modeling of market option prices: with application to S&P500 options," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(7), pages 475-496.
- Herzberg, Markus & Sibbertsen, Philipp, 2004. "Pricing of options under different volatility models," Technical Reports 2004,62, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Semere Habtemicael & Indranil SenGupta, 2016. "Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-35, December.
- K. Ronnie Sircar & George Papanicolaou, 1998. "General Black-Scholes models accounting for increased market volatility from hedging strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(1), pages 45-82.
- repec:lan:wpaper:3324 is not listed on IDEAS
- Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
- Norman R. Swanson & Lili Cai, 2011. "In- and Out-of-Sample Specification Analysis of Spot Rate Models: Further Evidence for the Period 1982-2008," Departmental Working Papers 201102, Rutgers University, Department of Economics.
- Pan, Qi & Li, Yong, 2013. "Testing volatility persistence on Markov switching stochastic volatility models," Economic Modelling, Elsevier, vol. 35(C), pages 45-50.
- Driessen, Joost & Perotti, Enrico, 2011. "Confidence building on Euro convergence: Evidence from currency options," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 474-491, April.
- Michel Vellekoop & Hans Nieuwenhuis, 2007. "On option pricing models in the presence of heavy tails," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 563-573.
- Antonio Diaz & Francisco Jareno & Eliseo Navarro, 2010. "Term structure of volatilities and yield curve estimation methodology," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 573-586.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford.
- Zhiqiang Zhou & Wei Xu & Alexey Rubtsov, 2024. "Joint calibration of S&P 500 and VIX options under local stochastic volatility models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 273-310, January.
- Gabriel G. Drimus, 2012. "Options on realized variance by transform methods: a non-affine stochastic volatility model," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1679-1694, November.
- Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2021. "Multi-Transformer: A New Neural Network-Based Architecture for Forecasting S&P Volatility," Papers 2109.12621, arXiv.org.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.
- Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Universite de Montreal, Departement de sciences economiques.
- Juraj Pekár & Mário Pčolár, 2022. "Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 699-731, June.
- Huang, Yu Chuan & Chen, Shing Chun, 2002. "Warrants pricing: Stochastic volatility vs. Black-Scholes," Pacific-Basin Finance Journal, Elsevier, vol. 10(4), pages 393-409, September.
- Deb, Partha, 1997. "Finite sample properties of the ARCH class of models with stochastic volatility," Economics Letters, Elsevier, vol. 55(1), pages 27-34, August.
- René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
- M.E. Mancino & S. Scotti & G. Toscano, 2020. "Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
- Maria Elvira Mancino & Simone Scotti & Giacomo Toscano, 2020. "Is the variance swap rate affine in the spot variance? Evidence from S&P500 data," Papers 2004.04015, arXiv.org.
- Lloyd Blenman & Steven Clark, 2005. "Options with Constant Underlying Elasticity in Strikes," Review of Derivatives Research, Springer, vol. 8(2), pages 67-83, August.
- Richards, Timothy J. & Manfredo, Mark R. & Sanders, Dwight R., 2002. "Weather Derivatives: Managing Risk With Market-Based Instruments," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19074, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Thierry Chauveau & Hayette Gatfaoui, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Research Paper Series 122, Quantitative Finance Research Centre, University of Technology, Sydney.
- Gatfaoui Hayette & Chauveau Thierry, 2004. "Pricing and Hedging Options in Incomplete Markets: Idiosyncratic Risk, Systematic Risk and Stochastic Volatility," Finance 0404002, University Library of Munich, Germany.
- Wiphatthanananthakul, C. & McAleer, M.J., 2008. "A simple expected volatility (SEV) index," Econometric Institute Research Papers EI 2008-35, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Hafner, Christian M. & Herwartz, Helmut, 2001. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 1-34, March.
- Hafner, Christian M. & Herwartz, Helmut, 1999. "Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis," SFB 373 Discussion Papers 1999,58, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Shu‐Heng Chen & Wo‐Chiang Lee & Chia‐Hsuan Yeh, 1999. "Hedging derivative securities with genetic programming," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 8(4), pages 237-251, December.
- Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
- Matthias Muck, 2012. "Spread ladder swaps—an analysis of controversial interest rate derivatives," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 269-289, June.
- Hoi Ying Wong & Chun Man Chan, 2008. "Turbo warrants under stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 739-751.
- Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
- Hyungsok Ahn Adviti & Glen Swindle, 1997. "Misspecified asset price models and robust hedging strategies," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(1), pages 21-36.
- Almeida, Caio & Vicente, José, 2009. "Identifying volatility risk premia from fixed income Asian options," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 652-661, April.
- Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007. "Identifying Volatility Risk Premium from Fixed Income Asian Options," Working Papers Series 136, Central Bank of Brazil, Research Department.
- Semih Yon & Cafer Erhan Bozdag, 2014. "Test of Log-Normal Process with Importance Sampling for Options Pricing," Proceedings of Economics and Finance Conferences 0401571, International Institute of Social and Economic Sciences.
- Kaustav Das & Nicolas Langren'e, 2018. "Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility," Papers 1812.07803, arXiv.org, revised Oct 2021.
- Konstantinos Kyritsis & N Antoniadis, 2005. "Option Pricing Based On The Concept Of Insurance: Market Models-Free Methods That Give As Special Case The Black- Scholes Option Pricing," Post-Print hal-01552353, HAL.
- Xiuqin Xu & Ying Chen, 2021. "Deep Stochastic Volatility Model," Papers 2102.12658, arXiv.org.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Realised power variation and stochastic volatility models," Economics Papers 2001-W18, Economics Group, Nuffield College, University of Oxford.
- Yingzi Zhu & Marco Avellaneda, 1997. "An E-ARCH model for the term structure of implied volatility of FX options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(2), pages 81-100.
- Zhiwei Su & Xingchun Wang, 2019. "Pricing executive stock options with averaging features under the Heston–Nandi GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1056-1084, September.
- Capelle-Blancard, G. & Jurczenko, E., 1999. "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Papiers d'Economie Mathématique et Applications 2000.05, Université Panthéon-Sorbonne (Paris 1).
- Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000. "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Post-Print halshs-03723832, HAL.
- Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000. "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03723832, HAL.
- Gunther Capelle-Blancard & Emmanuel Jurczenko, 2000. "Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40," Cahiers de la Maison des Sciences Economiques bla00005, Université Panthéon-Sorbonne (Paris 1).
- Kastner, Gregor & Frühwirth-Schnatter, Sylvia, 2014. "Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 408-423.
- Gregor Kastner & Sylvia Fruhwirth-Schnatter, 2017. "Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models," Papers 1706.05280, arXiv.org.
- Jan Maruhn & Morten Nalholm & Matthias Fengler, 2011. "Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 711-727.
- Charles J. Corrado & Tie Su, 1996. "Skewness And Kurtosis In S&P 500 Index Returns Implied By Option Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 175-192, June.
- A, Chunxiang & Li, Zhongfei, 2015. "Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 181-196.
- Fiorentini, Gabriele & Leon, Angel & Rubio, Gonzalo, 2002. "Estimation and empirical performance of Heston's stochastic volatility model: the case of a thinly traded market," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 225-255, March.
- Chan, Choon Chat & Fong, Wai Mun, 2006. "Realized volatility and transactions," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2063-2085, July.
- Mikhail Chernov & Eric Ghysels, 1998. "What Data Should Be Used to Price Options?," CIRANO Working Papers 98s-22, CIRANO.
- Yan Dolinsky & Ariel Neufeld, 2015. "Super-replication in Fully Incomplete Markets," Papers 1508.05233, arXiv.org, revised Sep 2016.
- Ariel Neufeld, 2017. "Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims," Papers 1707.01178, arXiv.org, revised Oct 2018.
- Sosa-Correa, William O. & Ramos, Antônio M.T. & Vasconcelos, Giovani L., 2018. "Investigation of non-Gaussian effects in the Brazilian option market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 525-539.
- Alessio Emanuele Biondo & Alessandro Pluchino & Andrea Rapisarda & Dirk Helbing, 2013. "Are Random Trading Strategies More Successful than Technical Ones?," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-13, July.
- Perotti, Enrico & Driessen, Joost, 2004. "Confidence Building on Euro Conversion: Theory and Evidence from Currency Options," CEPR Discussion Papers 4180, C.E.P.R. Discussion Papers.
- Damien Ackerer & Damir Filipovic, 2017. "Option Pricing with Orthogonal Polynomial Expansions," Papers 1711.09193, arXiv.org, revised May 2019.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999. "An Autoregressive Conditional Binomial Option Pricing Model," Working Papers 99-65, Center for Research in Economics and Statistics.
- Olivier Renault & Jean-Luc Prigent & Olivier Scaillet, 2000. "An Autoregressive Conditional Binomial Option Pricing Model," FMG Discussion Papers dp364, Financial Markets Group.
- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2000. "An auto-regressive conditional binomial option pricing model," LSE Research Online Documents on Economics 119095, London School of Economics and Political Science, LSE Library.
- Hardin, Erin M. & Bryant, Henry L., 2016. "A Real Option Approach to Valuing and Hedging Cropland Obligations," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 230148, Southern Agricultural Economics Association.
- Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2011, January-A.
- Hilscher, Jens, 2007. "Is the corporate bond market forward looking?," Working Paper Series 800, European Central Bank.
- Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.
- Kuldip Singh Patel & Mani Mehra, 2018. "Fourth order compact scheme for option pricing under Merton and Kou jump-diffusion models," Papers 1804.07534, arXiv.org.
- Karen Grigorian & Robert Jarrow, 2023. "Filtration Reduction and Completeness in Jump-Diffusion Models," Papers 2304.06202, arXiv.org, revised Jan 2024.
- Ming Yuan, 2009. "State price density estimation via nonparametric mixtures," Papers 0910.1430, arXiv.org.
- Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010. "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series 283, Quantitative Finance Research Centre, University of Technology, Sydney.
- Halkos, George E. & Papadamou, Stephanos T., 2006. "An investigation of bond term premia in international government bond indices," Research in International Business and Finance, Elsevier, vol. 20(1), pages 45-61, March.
- Natasha Latif & Shafqat Ali Shad & Muhammad Usman & Chandan Kumar & Bahman B Motii & MD Mahfuzer Rahman & Khuram Shafi & Zahra Idrees, 2023. "Pragmatic Comparison Analysis of Alternative Option Pricing Models," Papers 2309.09890, arXiv.org.
- repec:lan:wpaper:592830 is not listed on IDEAS
- Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
- Matthias R. Fengler & Alexander Melnikov, 2018. "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, vol. 21(3), pages 277-305, October.
- Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
- Sotirios Sabanis, 2012. "A class of stochastic volatility models and the q -optimal martingale measure," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1111-1117, February.
- Naoto Kunitomo & Yong‐Jin Kim, 2007. "Effects Of Stochastic Interest Rates And Volatility On Contingent Claims," The Japanese Economic Review, Japanese Economic Association, vol. 58(1), pages 71-106, March.
- Cheng Few Lee & Yibing Chen & John Lee, 2020. "Alternative Methods to Derive Option Pricing Models: Review and Comparison," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 102, pages 3573-3617, World Scientific Publishing Co. Pte. Ltd..
- Cheng-Few Lee & Yibing Chen & John Lee, 2016. "Alternative methods to derive option pricing models: review and comparison," Review of Quantitative Finance and Accounting, Springer, vol. 47(2), pages 417-451, August.
- Sanjay K. Nawalkha & Xiaoyang Zhuo, 2022. "A Theory of Equivalent Expectation Measures for Contingent Claim Returns," Journal of Finance, American Finance Association, vol. 77(5), pages 2853-2906, October.
- Fabio Fornari & Antonio Mele, 1997. "Weak convergence and distributional assumptions for a general class of nonliner arch models," Econometric Reviews, Taylor & Francis Journals, vol. 16(2), pages 205-227.
- Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani, 2011. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 47-85, March - J.
- Georges Dionne & Geneviève Gauthier & Nadia Ouertani & Nabil Tahani, 2006. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Cahiers de recherche 0605, CIRPEE.
- Dionne, Georges & Gauthier, Geneviève & Ouertani, Nadia & Tahani, Nabil, 2006. "Heterogeneous basket options pricing using analytical approximations," Working Papers 06-1, HEC Montreal, Canada Research Chair in Risk Management.
- Sudarshan Kumar & Sobhesh Kumar Agarwalla & Jayanth R. Varma & Vineet Virmani, 2023. "Harvesting the volatility smile in a large emerging market: A Dynamic Nelson–Siegel approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1615-1644, November.
- Yoann Potiron & Per Mykland, 2020. "Local Parametric Estimation in High Frequency Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 679-692, July.
- Yoann Potiron & Per Mykland, 2016. "Local Parametric Estimation in High Frequency Data," Papers 1603.05700, arXiv.org, revised Aug 2018.
- Nonejad, Nima, 2018. "Déjà vol oil? Predicting S&P 500 equity premium using crude oil price volatility: Evidence from old and recent time-series data," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 260-270.
- Nils Bertschinger & Oliver Pfante, 2015. "Inferring Volatility in the Heston Model and its Relatives -- an Information Theoretical Approach," Papers 1512.08381, arXiv.org.
- Schmitt, Christian & Kaehler, Jürgen, 1996. "Delta-neutral volatility trading with intra-day prices: an application to options on the DAX," ZEW Discussion Papers 96-25, ZEW - Leibniz Centre for European Economic Research.
- Griffin, J.E. & Steel, M.F.J., 2006. "Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility," Journal of Econometrics, Elsevier, vol. 134(2), pages 605-644, October.
- James E. Griffin & Mark F.J. Steel, 2002. "Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility," Econometrics 0201002, University Library of Munich, Germany, revised 04 Apr 2003.
- Carol Alexander & Leonardo Nogueira, 2004. "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2008-02, Henley Business School, University of Reading, revised Mar 2008.
- Bekaert, Geert & Wu, Guojun, 2000. "Asymmetric Volatility and Risk in Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 1-42.
- Geert Bekaert & Guojun Wu, 1997. "Asymmetric Volatility and Risk in Equity Markets," NBER Working Papers 6022, National Bureau of Economic Research, Inc.
- Gilles Daniel & Nathan Joseph & David Bree, 2005. "Stochastic volatility and the goodness-of-fit of the Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 5(2), pages 199-211.
- Philip Brown & Alex Szimayer, 2008. "Valuing executive stock options: performance hurdles, early exercise and stochastic volatility," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(3), pages 363-389, September.
- Masaaki Fukasawa, 2011. "Asymptotic analysis for stochastic volatility: martingale expansion," Finance and Stochastics, Springer, vol. 15(4), pages 635-654, December.
- Allan Brace & Mark Lauer & Milo Rado, 2008. "A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse," Research Paper Series 224, Quantitative Finance Research Centre, University of Technology, Sydney.
- Feng, Ling & Huang, Zhigang & Mao, Xuerong, 2016. "Mean percentage of returns for stock market linked savings accounts," Applied Mathematics and Computation, Elsevier, vol. 273(C), pages 1130-1147.
- repec:oup:rapstu:v:7:y:2017:i:1:p:2-42. is not listed on IDEAS
- Mozumder, Sharif & Dempsey, Michael & Kabir, M. Humayun & Choudhry, Taufiq, 2016. "An improved framework for approximating option prices with application to option portfolio hedging," Economic Modelling, Elsevier, vol. 59(C), pages 285-296.
- Bjørn Eraker & Ivan Shaliastovich, 2008. "An Equilibrium Guide To Designing Affine Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 519-543, October.
- Zaineb Mezdoud & Carsten Hartmann & Mohamed Riad Remita & Omar Kebiri, 2021. "$\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs," Papers 2108.06965, arXiv.org.
- Chen, An-Sing & Leung, Mark T., 2005. "Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2947-2969, December.
- Jun-ya Gotoh & Hiroshi Konno, 2000. "Third Degree Stochastic Dominance and Mean-Risk Analysis," Management Science, INFORMS, vol. 46(2), pages 289-301, February.
- Kaeck, Andreas & Alexander, Carol, 2013. "Continuous-time VIX dynamics: On the role of stochastic volatility of volatility," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 46-56.
- Aase, Knut K., 2000. "An equilibrium asset pricing model based on Lévy processes: relations to stochastic volatility, and the survival hypothesis," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 345-363, December.
- Alexander, Carol & Nogueira, Leonardo M., 2007. "Model-free hedge ratios and scale-invariant models," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1839-1861, June.
- Bertsimas, Dimitris. & Kogan, Leonid, 1974- & Lo, Andrew W., 1997. "Pricing and hedging derivative securities in incomplete markets : an e-arbitrage approach," Working papers WP 3973-97., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Ming Liu & Harold H. Zhang, "undated". "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," Computing in Economics and Finance 1997 93, Society for Computational Economics.
- Ming Liu & Harold Zhang, 1996. "Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models," GSIA Working Papers 34, Carnegie Mellon University, Tepper School of Business.
- Naoto Kunitomo & Yong-Jin Kim, 2000. "Effects of Stochastic Interest Rates and Volatility on Contingent Claims," CIRJE F-Series CIRJE-F-67, CIRJE, Faculty of Economics, University of Tokyo.
- Brown, C. A. & Taylor, S. D., 1997. "A test of the Asay model for pricing options on the SPI futures contract," Pacific-Basin Finance Journal, Elsevier, vol. 5(5), pages 579-594, December.
- Tore Selland Kleppe & Jun Yu & Hans J. skaug, 2011. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers 10-2011, Singapore Management University, School of Economics.
- Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2012. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers 12-2012, Singapore Management University, School of Economics.
- Tore Selland Kleppe & Jun Yu & Hans J. Skaug, 2011. "Simulated Maximum Likelihood Estimation for Latent Diffusion Models," Working Papers CoFie-04-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016. "Early exercise decision in American options with dividends, stochastic volatility and jumps," Papers 1612.03031, arXiv.org.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
- Chen, Yan & Wang, Xuancheng, 2015. "A hybrid stock trading system using genetic network programming and mean conditional value-at-risk," European Journal of Operational Research, Elsevier, vol. 240(3), pages 861-871.
- Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
- Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
- Ryan Kellogg, 2014. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, vol. 104(6), pages 1698-1734, June.
- Ryan Kellogg, 2010. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," NBER Working Papers 16541, National Bureau of Economic Research, Inc.
- K. Ronnie Sircar & George Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(2), pages 107-145.
- Bunek, Gabriel D. & Janzen, Joseph P., 2024. "Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility," Journal of Commodity Markets, Elsevier, vol. 33(C).
- Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters under the Null Hypothesis : the Case of Jumps Tests in Model with Conditional Heteroskedasticity," Cahiers de recherche 0004, Université Laval - Département d'économique.
- Khalaf, Lynda & Saphores, Jean-Daniel & Bilodeau, Jean-François, 2000. "Simulation-Based Exact Tests with Unidentified Nuisance Parameters Under the Null Hypothesis: the Case of Jumps Tests in Models with Conditional Heteroskedasticity," Cahiers de recherche 0004, GREEN.
- Moawia Alghalith & Wing-Keung Wong, 2022. "Option Pricing Under an Abnormal Economy: using the Square Root of the Brownian Motion," Advances in Decision Sciences, Asia University, Taiwan, vol. 26(Special), pages 4-18, December.
- Lam, K. & Chang, E. & Lee, M. C., 2002. "An empirical test of the variance gamma option pricing model," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 267-285, June.
- Yu, Jun, 2015. "Catastrophe options with double compound Poisson processes," Economic Modelling, Elsevier, vol. 50(C), pages 291-297.
- Yansheng Ma & Yong Li, 2012. "A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 28(4), pages 324-341, July.
- Johan Dahlin & Thomas B. Schon, 2015. "Getting Started with Particle Metropolis-Hastings for Inference in Nonlinear Dynamical Models," Papers 1511.01707, arXiv.org, revised Mar 2019.
- Suk Joon Byun & Dong Woo Rhee & Sol Kim, 2011. "Intraday volatility forecasting from implied volatility," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(1), pages 83-100, February.
- Ncube, Mthuli, 1996. "Modelling implied volatility with OLS and panel data models," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 71-84, January.
- Zhou, Qiankun & Yu, Jun, 2015. "Asymptotic theory for linear diffusions under alternative sampling schemes," Economics Letters, Elsevier, vol. 128(C), pages 1-5.
- Carol Alexander & Andrew Scourse, 2004. "Bivariate normal mixture spread option valuation," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 637-648.
- Carol Alexandra & Andrew Scourse, 2003. "Bivariate Normal Mixture Spread Option Valuation," ICMA Centre Discussion Papers in Finance icma-dp2003-15, Henley Business School, University of Reading.
- Steven A. Weinberg, 2001. "Interpreting the volatility smile: an examination of the information content of option prices," International Finance Discussion Papers 706, Board of Governors of the Federal Reserve System (U.S.).
- Joann Jasiak, 2003. "First‐Order Autoregressive Processes with Heterogeneous Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 283-309, May.
- Pedro P. Mota & Manuel L. Esquível, 2016. "Model selection for stock prices data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(16), pages 2977-2987, December.
- 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.
- Olesya Grishchenko & Xiao Han & Victor Nistor, 2018. "A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model," Papers 1812.09904, arXiv.org.
- Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
- Robert Fourt & Gianluca Marcato & Charles Ward, 2007. "Real Option Pricing in Mixed-use Development Projects," Real Estate & Planning Working Papers rep-wp2007-09, Henley Business School, University of Reading.
- Gianluca Marcato & Robert Fourt & Ch Ward & Robert Fourt & Charles Ward, 2007. "Real Option Pricing in Mixed-use Development Projects," ERES eres2007_223, European Real Estate Society (ERES).
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, "undated". "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, University Library of Munich, Germany.
- Myers, Robert J. & Hanson, Steven D., 1991. "Pricing Commodity Options When The Underlying Futures Price Exhibits Time-Varying Volatility," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271194, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Peters, R. & van der Weide, R., 2012. "Volatility: Expectations and Realizations," CeNDEF Working Papers 12-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Emmanuel Coffie, 2022. "Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Process," Papers 2205.00634, arXiv.org.
- Shafi, Khuram & Latif, Natasha & Shad, Shafqat Ali & Idrees, Zahra & Gulzar, Saqib, 2018. "Estimating option greeks under the stochastic volatility using simulation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1288-1296.
- Kakushadze, Zura, 2017. "Volatility smile as relativistic effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 475(C), pages 59-76.
- Holger Claessen & Stefan Mittnik, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 302-321.
- Claessen, Holger & Mittnik, Stefan, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," CFS Working Paper Series 2002/04, Center for Financial Studies (CFS).
- Hui, Eddie Chi-man, 2006. "An enhanced implied tree model for option pricing: A study on Hong Kong property stock options," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 324-345.
- Roman Horsky & Tilman Sayer, 2015. "Joining The Heston And A Three-Factor Short Rate Model: A Closed-Form Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-17, December.
- Feil, Jan-Henning & Mußhoff, Oliver, 2016. "Analysing investment and disinvestment decisions under uncertainty, firm heterogeneity and tradable output permits," DARE Discussion Papers 1602, Georg-August University of Göttingen, Department of Agricultural Economics and Rural Development (DARE).
- Naoto Kunitomo & Yong-Jin Kim, 2001. "Effects of Stochastic Interest Rates and Volatility on Contingent Claims (Revised Version)," CIRJE F-Series CIRJE-F-129, CIRJE, Faculty of Economics, University of Tokyo.
- Lin, Shin-Hung & Huang, Hung-Hsi & Li, Sheng-Han, 2015. "Option pricing under truncated Gram–Charlier expansion," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 77-97.
- Elisa Alòs, 2003. "A general decomposition formula for derivative prices in stochastic volatility models," Economics Working Papers 665, Department of Economics and Business, Universitat Pompeu Fabra.
- Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc.
- Muzzioli, Silvia & Reynaerts, Huguette, 2007. "The solution of fuzzy linear systems by non-linear programming: a financial application," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1218-1231, March.
- Haim Levy & Moshe Levy, 2024. "Option Pricing with the Logistic Return Distribution," JRFM, MDPI, vol. 17(2), pages 1-17, February.
- Jiawen Xu & Pierre Perron, 2015. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series wp2015-012, Boston University - Department of Economics.
- Jiawen Xu & Pierre Perron, 2017. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series WP2018-014, Boston University - Department of Economics, revised Nov 2018.
- Matta Uma Maheswara Reddy, 2019. "Option pricing under normal dynamics with stochastic volatility," Papers 1909.08047, arXiv.org, revised Oct 2019.
- Bandi, Chaithanya & Bertsimas, Dimitris, 2014. "Robust option pricing," European Journal of Operational Research, Elsevier, vol. 239(3), pages 842-853.
- Zargar, Faisal Nazir & Kumar, Dilip, 2020. "Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 271-285.
- Bates, David S., 1999. "Financial markets' assessments of EMU," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 51(1), pages 229-269, December.
- Konstantinos Kalogeropoulos & Petros Dellaportas & Gareth O. Roberts, 2007. "Likelihood-based inference for correlated diffusions," Papers 0711.1595, arXiv.org.
- Kalogeropoulos, Konstantinos & Dellaportas, Petros & Roberts, Gareth O., 2007. "Likelihood-based inference for correlated diffusions," MPRA Paper 5696, University Library of Munich, Germany.
- Suk Kim, Myung & Wang, Suojin, 2006. "On the applicability of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2210-2217, December.
- Damiano Brigo & Francesco Rapisarda & Abir Sridi, 2013. "The arbitrage-free Multivariate Mixture Dynamics Model: Consistent single-assets and index volatility smiles," Papers 1302.7010, arXiv.org, revised Sep 2014.
- Mehmet Balcilar & Zeynel Abidin Ozdemir, 2020. "A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(3), pages 611-641, August.
- Mehmet Balcilar & Zeynel Abidin Ozdemir, 2017. "A re-examination of growth and growth uncertainty relationship in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-32, Eastern Mediterranean University, Department of Economics.
- Ömür Ugur, 2008. "An Introduction to Computational Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p556, February.
- Chang, Carolyn W. & S.K. Chang, Jack & Lim, Kian-Guan, 1998. "Information-time option pricing: theory and empirical evidence," Journal of Financial Economics, Elsevier, vol. 48(2), pages 211-242, May.
- Cornelis A Los, 2005. "Why VaR FailsLong Memory and Extreme Events in Financial Markets," The IUP Journal of Financial Economics, IUP Publications, vol. 0(3), pages 19-36, September.
- Cornelis A. Los, 2004. "Why VAR Fails: Long Memory and Extreme Events in Financial Markets," Finance 0412014, University Library of Munich, Germany.
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2004. "Analytical Evaluation Of Volatility Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(4), pages 1079-1110, November.
- Torben G. Andersen & Tim Bollerslev & Nour Meddahi, 2002. "Analytic Evaluation of Volatility Forecasts," CIRANO Working Papers 2002s-90, CIRANO.
- Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
- Matthew Lorig, 2011. "Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion Approach," Papers 1109.0738, arXiv.org, revised Apr 2012.
- Yufeng Han, 2011. "On the relation between the market risk premium and market volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1711-1723.
- Hiroaki Hata & Nien-Lin Liu & Kazuhiro Yasuda, 2022. "Expressions of forward starting option price in Hull–White stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 101-135, June.
- Alexander Lipton & Artur Sepp, 2022. "Toward an efficient hybrid method for pricing barrier options on assets with stochastic volatility," Papers 2202.07849, arXiv.org.
- Elisa Alòs & Antoine Jacquier & Jorge A. León, 2017. "The implied volatility of forward starting options: ATM short-time level, skew and curvature," Economics Working Papers 1568, Department of Economics and Business, Universitat Pompeu Fabra.
- Elisa Alòs & Antoine Jacquier & Jorge A. León, 2017. "The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature," Working Papers 988, Barcelona School of Economics.
- George Filis, 2009. "An Analysis between Implied and Realised Volatility in the Greek Derivative Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 8(3), pages 251-263, September.
- Chang, Shih-Chieh & Chen, Chiang-Chu, 2002. "Allocating unfunded liability in pension valuation under uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 371-387, June.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2018. "Illiquidity Premia in the Equity Options Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(3), pages 811-851.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2011. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2011-43, Department of Economics and Business Economics, Aarhus University.
- Peter Christoffersen & Ruslan Goyenko & Kris Jacobs & Mehdi Karoui, 2013. "Illiquidity Premia in the Equity Options Market," CREATES Research Papers 2013-48, Department of Economics and Business Economics, Aarhus University.
- Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2021. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," JRFM, MDPI, vol. 14(3), pages 1-19, February.
- Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers 2015-17, University of Adelaide, School of Economics and Public Policy.
- Brenner, Menachem & Ou, Ernest Y. & Zhang, Jin E., 2006. "Hedging volatility risk," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 811-821, March.
- Graeme West, 2005. "Calibration of the SABR Model in Illiquid Markets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(4), pages 371-385.
- Alziary Chassat, Bénédicte & Takac, Peter, 2017. "On the Heston Model with Stochastic Volatility: Analytic Solutions and Complete Markets," TSE Working Papers 17-796, Toulouse School of Economics (TSE).
- Jimmy E. Hilliard & Adam L. Schwartz & Alan L. Tucker, 1996. "Bivariate Binomial Options Pricing With Generalized Interest Rate Processes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(4), pages 585-602, December.
- Maria Elvira Mancino & Maria Cristina Recchioni, 2015. "Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-33, September.
- Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," SFB 373 Discussion Papers 1998,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," Tübinger Diskussionsbeiträge 136, University of Tübingen, School of Business and Economics.
- Bodo Herzog & Sufyan Osamah, 2019. "Reverse Engineering of Option Pricing: An AI Application," IJFS, MDPI, vol. 7(4), pages 1-12, November.
- Hong, Hui & Bian, Zhicun & Chen, Naiwei, 2020. "Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Christoffersen, Peter & Jacobs, Kris, 2004. "The importance of the loss function in option valuation," Journal of Financial Economics, Elsevier, vol. 72(2), pages 291-318, May.
- Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO.
- Barndorff-Nielsen, Ole E. & Shephard, Neil, 2006. "Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 217-252.
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2010. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 60.
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 59.
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 59.
- Ruttan, Vernon W., 1977. "Induced innovation and agricultural development," Food Policy, Elsevier, vol. 2(3), pages 196-216, August.
- Senauer, Benjamin, 1989. "Major Consumer Trends Affecting the U.S. Food System," Choices, Agricultural and Applied Economics Association, vol. 4(4).
- Clement A. Tisdell, 2007. "Sustainable Agriculture," Chapters, in: Handbook of Sustainable Development, chapter 22 Edward Elgar Publishing.
- Thomas Grebel & Andreas Pyka & Horst Hanusch, 2003. "An Evolutionary Approach to the Theory of Entrepreneurship," Industry and Innovation, Taylor & Francis Journals, vol. 10(4), pages 493-514.
- Friebel, Guido & Schnedler, Wendelin, 2011. "Team governance: Empowerment or hierarchical control," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 1-13, April.
- Llavador, Humberto & Solano-García, Angel, 2011. "Immigration policy with partisan parties," Journal of Public Economics, Elsevier, vol. 95(1), pages 134-142.
- Brañas-Garza, Pablo & Espinosa, María Paz & Rey-Biel, Pedro, 2011. "Travelers’ types," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1), pages 25-36.
- J. Galí & D. López-Salido & J. Vallés, 2003. "Understanding the effects of government spending on consumption," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Jordi Galí & Luca Gambetti, 2013. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy National Bureau of Economic Research, Inc.
- Alison Booth & Melvyn Coles, 2010. "Education, Matching, and the Allocative Value of Romance," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 744-775, 06.
- Olivier Jean Blanchard & Jordi Galí, 2005. "Real wage rigidities and the New Keynesian model," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Jordi Galí & Frank Smets & Rafael Wouters, 2011. "Unemployment in an Estimated New Keynesian Model," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 329-360 National Bureau of Economic Research, Inc.
- Broner, Fernando & Gelos, Gaston & Reinhart, Carmen, 2004. "When in peril, retrench: testing the portfolio channel of contagion," Proceedings, Federal Reserve Bank of San Francisco, issue Jun, pages 1-34.
- Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
- Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
- Edgerton, David & Wells, Curt, 1994. "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(3), pages 355-65, August.
- Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
- Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
- Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
- Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
- Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November.
- Kenji Nishizaki & Toshitaka Sekine & Yuichi Ueno & Yuko Kawai, 2013. "Chronic deflation in Japan," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 9-19 Bank for International Settlements.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juli 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(15), pages 67-69, 08.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juni 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(12), pages 55-57, 06.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juli 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(15), pages 67-69, 08.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juni 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(12), pages 55-57, 06.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juli 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(14), pages 44-46, 07.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juni 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(12), pages 69-71, 06.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juli 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(14), pages 44-46, 07.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juni 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(12), pages 69-71, 06.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juli 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(14), pages 46-48, 07.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juni 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(12), pages 61-63, 06.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(23), pages 53-61, December.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juli 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(14), pages 46-48, 07.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juni 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(12), pages 61-63, 06.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(10), pages 44-53, 05.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(16), pages 35-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Owens, Trudy & Hoddinott, John & Kinsey, Bill, 2003. "The Impact of Agricultural Extension on Farm Production in Resettlement Areas of Zimbabwe," Economic Development and Cultural Change, University of Chicago Press, vol. 51(2), pages 337-57, January.
- Facchini, Giovanni & Steinhardt, Max Friedrich, 2011. "What drives U.S. immigration policy? Evidence from congressional roll call votes," Journal of Public Economics, Elsevier, vol. 95(7), pages 734-743.
- Davide Castellani & Giorgia Giovannetti, 2010. "Productivity and the international firm: dissecting heterogeneity," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 13(1), pages 25-42.
- Artjoms Ivlevs & Jaime De Melo, 2010. "FDI, the Brain Drain and Trade: Channels and Evidence," Annals of Economics and Statistics, GENES, issue 97-98, pages 103-121.
- Julien Gourdon & Nicolas Maystre & Jaime de Melo, 2008. "Openness, inequality and poverty: Endowments matter," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 17(3), pages 343-378.
- Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
- Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
- Lars E. O. Svensson & Michael Woodford, 2000. "Indicator variables for optimal policy," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, European Economic Association, vol. 8(4), pages 872-912, 06.
- Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14(1), pages C25-C44, February.
- Domenico Giannone & Michele Lenza, 2010. "The Feldstein-Horioka Fact," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 103-117 National Bureau of Economic Research, Inc.
- Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007. "Long-Run Money Demand in the New EU Member States with Exchange Rate Effects," Eastern European Economics, Taylor & Francis Journals, vol. 45(2), pages 75-94, April.
- Christian Daude & Marcel Fratzscher, 2007. "The pecking order of cross-border investment," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 53-89 Bank for International Settlements.
- Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2002. "Equity and bond market signals as leading indicators of bank fragility," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Kalin Nikolov, 2012. "Bubbles, banks and financial stability," Research Bulletin, European Central Bank, vol. 15, pages 2-6.
- Forbes, Kristin J. & Fratzscher, Marcel & Kostka, Thomas & Straub, Roland, 2012. "Bubble thy neighbor: portfolio effects and externalities from capital controls," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-48.
- Marcel Fratzscher, 2012. "Capital Controls and Foreign Exchange Policy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pages 66-98, August.
- Geert Bekaert & Marie Hoerova, 2010. "Risk, uncertainty and monetary policy," Research Bulletin, European Central Bank, vol. 10, pages 11-13.
- António Afonso & João Tovar Jalles, 2013. "Fiscal Composition and Long-term Growth," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum.
- Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti, 2011. "Weak and strong cross‐section dependence and estimation of large panels," Econometrics Journal, Royal Economic Society, vol. 14, pages C45-C90, 02.
- Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Chapters, in: Global Financial Crisis National Bureau of Economic Research, Inc.
- Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
- Elena Bobeica & Paulo Esteves & António Rua & Karsten Staehr, 2016. "Exports and domestic demand pressure: a dynamic panel data model for the euro area countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 107-125, February.
- Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, European Finance Association, vol. 9(1), pages 97-137.
- Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Pierpaolo Benigno & Michael Woodford, 2003. "Optimal monetary and fiscal policy: a linear-quadratic approach," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- J. Galí & D. López-Salido & J. Vallés, 2003. "Understanding the effects of government spending on consumption," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Athanasios Orphanides & John C. Williams, 2003. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Fabrice Collard & Harris Dellas, 2003. "The great inflation of the 1970s," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Banbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
- Stephen Bond & Dietmar Harhoff & John Van Reenen, 2005. "Investment, R&D and Financial Constraints in Britain and Germany," Annals of Economics and Statistics, GENES, issue 79-80, pages 433-460.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Francesco Caselli & Silvana Tenreyro, 2004. "Is Poland the next Spain?," Communities and Banking, Federal Reserve Bank of Boston.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Christopher A. Pissarides, 2009. "The Unemployment Volatility Puzzle: Is Wage Stickiness the Answer?," Econometrica, Econometric Society, vol. 77(5), pages 1339-1369, 09.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Jo Blanden & Stephen Machin, 2004. "Educational Inequality and the Expansion of UK Higher Education," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(2), pages 230-249, 05.
- Anthony J. Venables, 2006. "Shifts in economic geography and their causes," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 15-39.
- Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P. Tsomocos, 2002. "Procyclicality and the New Basel Accord: banks' choice of loan rating system," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Jean-Charles Rochet & Jean Tirole, 2003. "Platform Competition in Two-Sided Markets," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 990-1029, 06.
- Larcinese, Valentino & Puglisi, Riccardo & Snyder, James M., 2011. "Partisan bias in economic news: Evidence on the agenda-setting behavior of U.S. newspapers," Journal of Public Economics, Elsevier, vol. 95(9), pages 1178-1189.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Richard Freeman & John Van Reenen, 2009. "What if Congress Doubled R&D Spending on the Physical Sciences?," NBER Chapters, in: Innovation Policy and the Economy, Volume 9, pages 1-38 National Bureau of Economic Research, Inc.
- Richard Perkins & Eric Neumayer, 2010. "Geographic variations in the early diffusion of corporate voluntary standards: comparing ISO 14001 and the Global Compact," Environment and Planning A, Pion Ltd, London, vol. 42(2), pages 347-365, February.
- Richard B. Freeman, 2007. "When Workers Share in Profits: Effort and Responses to Shirking," Rivista di Politica Economica, SIPI Spa, vol. 97(6), pages 9-36, November-.
- Robert C. Allen & Jean‐Pascal Bassino & Debin Ma & Christine Moll‐Murata & Jan Luiten Van Zanden, 2011. "Wages, prices, and living standards in China, 1738–1925: in comparison with Europe, Japan, and India," Economic History Review, Economic History Society, vol. 64(s1), pages 8-38, February.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nancy Holman & Gabriel M Ahlfeldt, 2015. "No escape? The coordination problem in heritage preservation," Environment and Planning A, Pion Ltd, London, vol. 47(1), pages 172-187, January.
- Paul Beaudry & David A. Green & Benjamin M. Sand, 2013. "The Great Reversal in the Demand for Skill and Cognitive Tasks," NBER Chapters, in: Labor Markets in the Aftermath of the Great Recession, pages 199-247 National Bureau of Economic Research, Inc.
- Giuseppe Moscarini & Fabien Postel-Vinay, 2013. "Did the Job Ladder Fail after the Great Recession?," NBER Chapters, in: Labor Markets in the Aftermath of the Great Recession, pages 55-93 National Bureau of Economic Research, Inc.
- Nuno Ferreira da Cruz & Pedro Simões & Rui Cunha Marques, 2013. "The hurdles of local governments with PPP contracts in the waste sector," Environment and Planning C: Government and Policy, Pion Ltd, London, vol. 31(2), pages 292-307, April.
- Eric Neumayer & Peter Nunnenkamp & Martin Roy, 2016. "Are stricter investment rules contagious? Host country competition for foreign direct investment through international agreements," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 177-213, February.
- Joseph Seidel & Yang Xu, 2016. "MHTEXP: Stata module to perform multiple hypothesis testing correction procedure," Statistical Software Components S458153, Boston College Department of Economics.
- Heike Hennig-Schmidt & Bettina Rockenbach & Abdolkarim Sadrieh, 2010. "In Search Of Workers' Real Effort Reciprocity-A Field and a Laboratory Experiment," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 817-837, 06.
- Karlan, Dean & List, John A. & Shafir, Eldar, 2011. "Small matches and charitable giving: Evidence from a natural field experiment," Journal of Public Economics, Elsevier, vol. 95(5), pages 344-350.
- Matthew T. Cole & Amélie Guillin, 2015. "The determinants of trade agreements in services vs. goods," International Economics, CEPII research center, issue 144, pages 66-82.
- Yilmazkuday, Hakan, 2016. "Forecasting the Great Trade Collapse," International Economics, Elsevier, vol. 147(C), pages 145-154.
- Georgy Idrisov & Yuri Bobylev & Arseny Mamedov & Olga Morgunova & Mikhail Khromov & Sergey Tsukhlo & Olesia Rasenko, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 15, pages 1-26, November.
- Georgy Idrisov & Mikhail Khromov & Evgeny Goryunov & Alexander Knobel & Yuri Ponomarev & Alexander Deryugin & Julia Florinskaya & Nikita Mkrtchan, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 16, pages 1-26, November.
- Alexander Knobel & Yuri Bobylev & Alexandra Bozhechkova & Pavel Trunin & Mikhail Khromov & Natalia Shagaida & Vasily Uzun & Elena Avraamova & D. Loginov, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 14, pages 1-26, October.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Drobyshevsky Sergey & Turuntseva Marina & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Averkiev Vladimir & Shishkina Ekaterina & Florinskaya Yulia & Mkrtchian N. & S, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 24, pages 1-27, April.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 20, pages 1-26, February.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
- Sergey Drobyshevsky & Mikhail Khromov & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Mikhail Khromov & Sergey Drobyshevsky & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Natalia & Kiyutsevskaya Ann, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
- Drobyshevsky Sergey & Turuntseva Marina & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shishkina Ekaterina & Uzun Vasily & Flor, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 24, pages 1-27, April.
- Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Nat, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Idrisov Georgy & Bozhechkova Alexandra & Trunin Pavel & Khromov Mikhail & Tsukhlo Sergey & Goryunov Evgeny & Deryugin Alexander & Kaukin Andrey, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 25, pages 1-22, April.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Alexandra Bozhechkova & Alexander Knobel & Sergey Tsukhlo & Elena Grishina & Pavel Trunin & Alexander Firanchuk & Olga Berezinskaya, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 22, pages 1-27, March.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Idrisov Georgy & Bozhechkova Alexandra & Trunin Pavel & Khromov Mikhail & Tsukhlo Sergey & Goryunov Evgeny & Deryugin Alexander & Kaukin Andrey, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 25, pages 1-22, April.
- Loginov D. & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Goryunov Evgeny & Kiyutsevskaya Anna & Larionova M. & Sakharov A. & Shelepov A. & Avraamova A., 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 29, pages 1-26, June.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 32, pages 1-27, September.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Mikhail Khromov & Yuri Bobylev & Sergey Tsukhlo & E. Avraamova & D. Loginov & O. Rasenko & Ekaterina Ponomareva & Sergey Sudakov, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 23, pages 1-27, March.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Alexandra Bozhechkova & Alexander Knobel & Georgy Idrisov & Yuri Ponomarev & Sergey Tsukhlo & Pavel Trunin & Sergey Sudakov & Alexandra Burdyak & Elena Grishina, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 18, pages 1-26, December.
- Mikhail Khromov & Sergey Drobyshevsky & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Bozhechkova Alexandra & Trunin Pavel & Grishina Elena & Khromov Mikhail & Tsukhlo Sergey & Deryugin Alexander & Burdyak Alexandra, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 31, pages 1-27, July.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
- Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," P. A. Forsyth & K. R. Vetzal & R. Zvan, 1999. "A finite element approach to the pricing of discrete lookbacks with stochastic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(2), pages 87-106.
- Wei-Cheng Chen & Wei-Ho Chung, 2019. "Option Pricing via Multi-path Autoregressive Monte Carlo Approach," Papers 1906.06483, arXiv.org.
- Jaehyuk Choi & Minsuk Kwak & Chyng Wen Tee & Yumeng Wang, 2022. "A Black–Scholes user's guide to the Bachelier model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 959-980, May.
- repec:hum:wpaper:sfb649dp2005-020 is not listed on IDEAS
- Donders, Monique W. M. & Vorst, Ton C. F., 1996. "The impact of firm specific news on implied volatilities," Journal of Banking & Finance, Elsevier, vol. 20(9), pages 1447-1461, November.
- López-Herrera, Francisco & Ortiz-Arango, Francisco & Venegas-Martínez, Francisco, 2011. "Modelado de la volatilidad del Índice de Precios y Cotizaciones de la Bolsa Mexicana de Valores con cambios markovianos de régimen," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Perrotini-Hernández, Ignacio (ed.), Crecimiento y Desarrollo Económico en México, volume 1, chapter 10, pages 153-164, Escuela Superior de Economía, Instituto Politécnico Nacional.
- Nonejad, Nima, 2020. "Crude oil price volatility and equity return predictability: A comparative out-of-sample study," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2001. "High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models," NBER Working Papers 8162, National Bureau of Economic Research, Inc.
- Chateau, J. -P. & Dufresne, D., 2002. "The stochastic-volatility American put option of banks' credit line commitments:: Valuation and policy implications," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 159-181.
- Chen, Gang & Roberts, Matthew C. & Roe, Brian E., 2005. "Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options," 2005 Annual meeting, July 24-27, Providence, RI 19183, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Dupret, Jean-Loup & Hainaut, Donatien, 2021. "Portfolio insurance under rough volatility and Volterra processes," LIDAM Discussion Papers ISBA 2021026, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Shiva Zamani & Alireza Moslemi Haghighi & Hamid Arian, 2023. "Temporal Volatility Surface Projection: Parametric Surface Projection Method for Derivatives Portfolio Risk Management," Papers 2311.14985, arXiv.org.
- Peter Carr & Sander Willems, 2019. "A lognormal type stochastic volatility model with quadratic drift," Papers 1908.07417, arXiv.org.
- Xueping Wu & Jin Zhang, 1999.
"Options on the minimum or the maximum of two average prices,"
Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
- Nicholas Bloom, 2000. "A Generalised Model of Investment under Uncertainty: Aggregation and Estimation," Econometric Society World Congress 2000 Contributed Papers 1505, Econometric Society.
- Klaus P. Fischer & Jean-Pierre Gueyie & Edgar Ortiz, 1997. "Financial Liberalization: Commercial Bank's Blessing or Curse?," Finance 9705003, University Library of Munich, Germany.
- Lian, Guanghua & Chiarella, Carl & Kalev, Petko S., 2014. "Volatility swaps and volatility options on discretely sampled realized variance," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 239-262.
- Ederington, Louis & Guan, Wei, 2005. "The information frown in option prices," Journal of Banking & Finance, Elsevier, vol. 29(6), pages 1429-1457, June.
- Lucia Caramellino & Giorgio Ferrari & Roberta Piersimoni, 2011. "Power Series Representations for European Option Prices under Stochastic Volatility Models," Papers 1105.0068, arXiv.org, revised Jun 2011.
- 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.
- Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
- Michael A. Kouritzin, 2016. "Explicit Heston Solutions and Stochastic Approximation for Path-dependent Option Pricing," Papers 1608.02028, arXiv.org, revised Apr 2018.
- Ying Wang & Sai Tsang Boris Choy & Hoi Ying Wong, 2016. "Bayesian Option Pricing Framework with Stochastic Volatility for FX Data," Risks, MDPI, vol. 4(4), pages 1-12, December.
- Alexander Lipton & Andrey Gal & Andris Lasis, 2014. "Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1899-1922, November.
- Kim, Kyong-Hui & Kim, Jong-Kuk & Sin, Myong Guk, 2024. "Pricing formula for a Barrier call option based on stochastic delay differential equation," Statistics & Probability Letters, Elsevier, vol. 205(C).
- Leng, Na & Li, Jiang-Cheng, 2020. "Forecasting the crude oil prices based on Econophysics and Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
- Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.
- David Feldman & Xin Xu, 2018. "Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles)," Annals of Operations Research, Springer, vol. 262(2), pages 493-518, March.
- Kaehler, Jürgen, 1991. "Modelling and forecasting exchange-rate volatility with ARCH-type models," ZEW Discussion Papers 91-02, ZEW - Leibniz Centre for European Economic Research.
- Neil Shephard & Ole E. Barndorff-Nielsen & University of Aarhus, 2001. "Normal Modified Stable Processes," Economics Series Working Papers 72, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Normal modified stable processes," Economics Papers 2001-W6, Economics Group, Nuffield College, University of Oxford.
- Sergei Fedotov & Sergei Mikhailov, 1998. "Option Pricing Model for Incomplete Market," Papers cond-mat/9807397, arXiv.org, revised Aug 1998.
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1046-1062.
- repec:hum:wpaper:sfb649dp2005-022 is not listed on IDEAS
- Xun Li & Ping Lin & Xue-Cheng Tai & Jinghui Zhou, 2015. "Pricing Two-asset Options under Exponential L\'evy Model Using a Finite Element Method," Papers 1511.04950, arXiv.org.
- Yacin Jerbi, 2016. "Early exercise premium method for pricing American options under the J-model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-26, December.
- Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Working Paper 1159, Economics Department, Queen's University.
- Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Simple heuristics for pricing VIX options," Working Papers 2014-25, Faculty of Economic Sciences, University of Warsaw.
- Sebastian F. Tudor & Rupak Chatterjee & Igor Tydniouk, 2021. "On a new parametrization class of solvable diffusion models and transition probability kernels," Quantitative Finance, Taylor & Francis Journals, vol. 21(10), pages 1773-1790, October.
- Liang-Ching Lin & Sangyeol Lee & Meihui Guo, 2014. "The Bickel–Rosenblatt test for continuous time stochastic volatility models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(1), pages 195-218, March.
- James Primbs & Muruhan Rathinam, 2009. "Trader Behavior and its Effect on Asset Price Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 151-181.
- Schmitt, Christian, 1996. "Option pricing using EGARCH models," ZEW Discussion Papers 96-20, ZEW - Leibniz Centre for European Economic Research.
- Hosam Ki & Byungwook Choi & Kook‐Hyun Chang & Miyoung Lee, 2005. "Option pricing under extended normal distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(9), pages 845-871, September.
- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Stentoft, Lars, 2011. "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 880-902.
- Lars Stentoft, 2011. "American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison," CREATES Research Papers 2011-34, Department of Economics and Business Economics, Aarhus University.
- Siu, Tak Kuen & Yang, Hailiang & Lau, John W., 2008. "Pricing currency options under two-factor Markov-modulated stochastic volatility models," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 295-302, December.
- Hermann Singer, 2003. "Simulated Maximum Likelihood in Nonlinear Continuous-Discrete State Space Models: Importance Sampling by Approximate Smoothing," Computational Statistics, Springer, vol. 18(1), pages 79-106, March.
- Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
- Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge.
- Grace Kuan, 2000. "Recovering Local Volatility Functions Of Forward Libor Rates," Computing in Economics and Finance 2000 255, Society for Computational Economics.
- Dicle, Mehmet F. & Levendis, John, 2020. "Historic risk and implied volatility," Global Finance Journal, Elsevier, vol. 45(C).
- Chan, Tat Lung (Ron), 2019. "Efficient computation of european option prices and their sensitivities with the complex fourier series method," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
- Marc Atlan, 2006. "Localizing Volatilities," Papers math/0604316, arXiv.org.
- Mixon, Scott, 2007. "The implied volatility term structure of stock index options," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 333-354, June.
- Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2013. "The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?," Working papers 462, Banque de France.
- Kalogeropoulos, Konstantinos, 2007. "Likelihood-based inference for a class of multivariate diffusions with unobserved paths," LSE Research Online Documents on Economics 31423, London School of Economics and Political Science, LSE Library.
- RØdiger Frey, 2000. "Superreplication in stochastic volatility models and optimal stopping," Finance and Stochastics, Springer, vol. 4(2), pages 161-187.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
- Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
- Mohammad Abedi & Daniel Bartolomeo, 2019. "Entropic Dynamics of Stocks and European Options," Papers 1908.06355, arXiv.org.
- Archil Gulisashvili, 2020. "Large deviation principles for stochastic volatility models with reflection and three faces of the Stein and Stein model," Papers 2006.15431, arXiv.org.
- Choi, Seungmoon, 2018. "Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 40(4), pages 1-22.
- José Manuel Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," Working Papers 99-08, New York University, Leonard N. Stern School of Business, Department of Economics.
- Jose M. Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," NBER Working Papers 6929, National Bureau of Economic Research, Inc.
- Chang, Kevin & Campa, José Manuel & Refalo, James F, 2000. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil?s Real Plan, 1994-1999," CEPR Discussion Papers 2611, C.E.P.R. Discussion Papers.
- Joel Vanden, 2006. "Exact Superreplication Strategies for a Class of Derivative Assets," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 61-87.
- Manuel Munoz Palma & Ezequiel Aviles Ochoa, 2014. "Addition Of The Fuzzy Logic Model To Black-Scholes, For Pricing Mexican Currency Options, La Incorporacion De La Logica Difusa Al Modelo Black-Scholes, Para La Determinacion Del Precio De La Opcion Ca," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(7), pages 55-73.
- Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
- Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013. "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," HEC Research Papers Series 969, HEC Paris.
- Lin, Lisha & Li, Yaqiong & Wu, Jing, 2018. "The pricing of European options on two underlying assets with delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 495(C), pages 143-151.
- Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
- Xavier Calmet & Nathaniel Wiesendanger Shaw, 2019. "An analytical perturbative solution to the Merton Garman model using symmetries," Papers 1909.01413, arXiv.org, revised Jan 2021.
- Schöbel, Rainer & Zhu, Jianwei, 1998. "Stochastic volatility with an Ornstein-Uhlenbeck process: An extension," Tübinger Diskussionsbeiträge 139, University of Tübingen, School of Business and Economics.
- B. Wade Brorsen & Seung-Ryong Yang, 1994. "Nonlinear Dynamics And The Distribution Of Daily Stock Index Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 187-203, June.
- Wenjun Zhang & Jin E. Zhang, 2020. "GARCH Option Pricing Models and the Variance Risk Premium," JRFM, MDPI, vol. 13(3), pages 1-21, March.
- Nelson, Daniel B., 1996. "Asymptotic filtering theory for multivariate ARCH models," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 1-47.
- Patrick Geraghty, 2024. "Modeling a Financial System with Memory via Fractional Calculus and Fractional Brownian Motion," Papers 2406.19408, arXiv.org.
- Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
- Faller, D. & Petruccione, F., 2003. "A master equation approach to option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 319(C), pages 519-534.
- Nima Nonejad, 2020. "Does the price of crude oil help predict the conditional distribution of aggregate equity return?," Empirical Economics, Springer, vol. 58(1), pages 313-349, January.
- Christelle Dleuna Nyoumbi & Antoine Tambue, 2023. "A Novel High Dimensional Fitted Scheme for Stochastic Optimal Control Problems," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 1-34, January.
- Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Working Papers 23-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Nov 2023.
- David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
- Fabienne Comte, 2004. "Kernel deconvolution of stochastic volatility models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 563-582, July.
- Chen, Gang & Roberts, Matthew C. & Roe, Brian E., 2005. "Forecasting Livestock Feed Cost Risks Using Futures and Options," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19048, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Nikolai Dokuchaev, 2015. "On statistical indistinguishability of complete and incomplete discrete time market models," Papers 1505.00638, arXiv.org.
- Chauveau, Thierry & Gatfaoui, Hayette, 2002. "Systematic risk and idiosyncratic risk: a useful distinction for valuing European options," Journal of Multinational Financial Management, Elsevier, vol. 12(4-5), pages 305-321.
- Tak Siu, 2006. "Option Pricing Under Autoregressive Random Variance Models," North American Actuarial Journal, Taylor & Francis Journals, vol. 10(2), pages 62-75.
- Melenberg, B. & Werker, B.J.M., 1996. "On the Pricing of Options in Incomplete Markets," Discussion Paper 1996-19, Tilburg University, Center for Economic Research.
- Siddiqi, Hammad, 2014. "Anchoring Heuristic in Option Prices," MPRA Paper 66018, University Library of Munich, Germany, revised 15 Jul 2015.
- Robert Azencott & Yutheeka Gadhyan & Roland Glowinski, 2014. "Option Pricing Accuracy for Estimated Heston Models," Papers 1404.4014, arXiv.org, revised Jul 2015.
- Bernd Engelmann & Matthias Fengler & Morten Nalholm & Peter Schwendner, 2006. "Static versus dynamic hedges: an empirical comparison for barrier options," Review of Derivatives Research, Springer, vol. 9(3), pages 239-264, November.
- Damien Ackerer & Damir Filipović, 2020. "Option pricing with orthogonal polynomial expansions," Mathematical Finance, Wiley Blackwell, vol. 30(1), pages 47-84, January.
- Chuang-Chang Chang & Jun-Biao Lin, 2010. "The valuation of multivariate contingent claims under transformed trinomial approaches," Review of Quantitative Finance and Accounting, Springer, vol. 34(1), pages 23-36, January.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- Kyriakos Chourdakis, 2000. "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers 430, Queen Mary University of London, School of Economics and Finance.
- Prokopczuk, Marcel & Wese Simen, Chardin, 2014. "The importance of the volatility risk premium for volatility forecasting," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 303-320.
- Corradi, Valentina & Swanson, Norman R., 2005. "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, vol. 124(1), pages 117-148, January.
- Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Specification Tests for Diffusion Processes," Departmental Working Papers 200321, Rutgers University, Department of Economics.
- Chuang-Chang Chang & Jun-Biao Lin & Wei-Che Tsai & Yaw-Huei Wang, 2012. "Using Richardson extrapolation techniques to price American options with alternative stochastic processes," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 383-406, October.
- Sergii Kuchuk-Iatsenko & Yuliya Mishura, 2016. "Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation," Papers 1601.01128, arXiv.org.
- Michael Pitt & Sheheryar Malik & Arnaud Doucet, 2014. "Simulated likelihood inference for stochastic volatility models using continuous particle filtering," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(3), pages 527-552, June.
- Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
- Gerald H. L. Cheang & Len Patrick Dominic M. Garces, 2020. "Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics," Papers 2002.10202, arXiv.org.
- Henrik O. Rasmussen & Paul Wilmott, 2018. "Tail probabilities for short-term returns on stocks," Papers 1809.08416, arXiv.org, revised Mar 2019.
- Contreras, Mauricio & Hojman, Sergio A., 2014. "Option pricing, stochastic volatility, singular dynamics and constrained path integrals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 391-403.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- Jondeau, E. & Rockinger, M., 1998. "Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral," Working papers 47, Banque de France.
- Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 97-109, June.
- Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
- Geman, Helyette, 2002. "Pure jump Levy processes for asset price modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1297-1316, July.
- Jitka Hilliard & Wei Li, 2014. "Volatilities implied by price changes in the S&P 500 options and futures contracts," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 599-626, May.
- M. Rezaei & A. R. Yazdanian & A. Ashrafi & S. M. Mahmoudi, 2022. "Numerically Pricing Nonlinear Time-Fractional Black–Scholes Equation with Time-Dependent Parameters Under Transaction Costs," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 243-280, June.
- Tsekrekos, Andrianos E. & Yannacopoulos, Athanasios N., 2016. "Optimal switching decisions under stochastic volatility with fast mean reversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 148-157.
- Date, Paresh & Islyaev, Suren, 2015. "A fast calibrating volatility model for option pricing," European Journal of Operational Research, Elsevier, vol. 243(2), pages 599-606.
- Ai[diaeresis]t-Sahalia, Yacine & Kimmel, Robert, 2007. "Maximum likelihood estimation of stochastic volatility models," Journal of Financial Economics, Elsevier, vol. 83(2), pages 413-452, February.
- Jiawen Xu & Pierre Perron, 2015. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series wp2015-012, Boston University - Department of Economics.
- Jiawen Xu & Pierre Perron, 2017. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series WP2017-004, Boston University - Department of Economics.
- Michael A. Kouritzin, 2018. "Explicit Heston Solutions And Stochastic Approximation For Path-Dependent Option Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-45, February.
- Fathi Abid & Bilel Kaffel, 2018. "The extent of virgin olive-oil prices’ distribution revealing the behavior of market speculators," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 561-590, February.
- Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York.
- Da Fonseca, José & Martini, Claude, 2016. "The α-hypergeometric stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1472-1502.
- Oleg Szehr, 2021. "Hedging of Financial Derivative Contracts via Monte Carlo Tree Search," Papers 2102.06274, arXiv.org, revised Apr 2021.
- Sandmann, Gleb & Koopman, Siem Jan, 1998. "Estimation of stochastic volatility models via Monte Carlo maximum likelihood," Journal of Econometrics, Elsevier, vol. 87(2), pages 271-301, September.
- Pena, Ignacio & Rubio, Gonzalo & Serna, Gregorio, 1999. "Why do we smile? On the determinants of the implied volatility function," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1151-1179, August.
- Vetzal, Kenneth R., 1997. "Stochastic volatility, movements in short term interest rates, and bond option values," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 169-196, February.
- Elisa Alòs & Jorge A. León, 2014. "On the second derivative of the at-the-money implied volatility in stochastic volatility models," Economics Working Papers 1458, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2016.
- Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2013. "The Conditional CAPM, Cross-Section Returns and Stochastic Volatility," MPRA Paper 52469, University Library of Munich, Germany.
- Kim, Kyungwon & Jung, Sean S., 2014. "Empirical analysis of structural change in Credit Default Swap volatility," Chaos, Solitons & Fractals, Elsevier, vol. 60(C), pages 56-67.
- Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
- Joao Amaro De Matos & Paula Antao, 2003. "Market illiquidity and bounds on European option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 475-498.
- Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
- Darsinos, T. & Satchell, S.E., 2001. "Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information," Cambridge Working Papers in Economics 0116, Faculty of Economics, University of Cambridge.
- Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
- Orzechowski Arkadiusz, 2018. "Pricing Correlation Options: from the P. Carr And D. Madan Approach to the New Method Based on the Fourier Transform," Economics and Business Review, Sciendo, vol. 4(1), pages 16-28, April.
- Christian Gourieroux & Razvan Sufana, 2004. "Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk," Working Papers 2004-31, Center for Research in Economics and Statistics.
- Athanasios Tsagkanos & Konstantinos Gkillas & Christoforos Konstantatos & Christos Floros, 2021. "Does Trading Volume Drive Systemic Banks’ Stock Return Volatility? Lessons from the Greek Banking System," IJFS, MDPI, vol. 9(2), pages 1-13, April.
- Contreras, M. & Echeverría, J. & Peña, J.P. & Villena, M., 2020. "Resonance phenomena in option pricing with arbitrage," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
- Elisa Alòs, 2009. "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Economics Working Papers 1188, Department of Economics and Business, Universitat Pompeu Fabra.
- El-Khatib, Youssef & Goutte, Stephane & Makumbe, Zororo S. & Vives, Josep, 2023. "A hybrid stochastic volatility model in a Lévy market," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 220-235.
- Carr, Peter & Wu, Liuren, 2016. "Analyzing volatility risk and risk premium in option contracts: A new theory," Journal of Financial Economics, Elsevier, vol. 120(1), pages 1-20.
- Christopher F. Baum & Olin Liu, 1994. "An Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates," Boston College Working Papers in Economics 275, Boston College Department of Economics.
- Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis.
- Elham Dastranj & Roghaye Latifi, 2017. "A comparison of option pricing models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-11, June.
- Boris Ter-Avanesov & Homayoon Beigi, 2024. "MLP, XGBoost, KAN, TDNN, and LSTM-GRU Hybrid RNN with Attention for SPX and NDX European Call Option Pricing," Papers 2409.06724, arXiv.org, revised Oct 2024.
- Fima Klebaner & Truc Le & Robert Liptser, 2006. "On Estimation of Volatility Surface and Prediction of Future Spot Volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 245-263.
- Dai, Min & Tang, Ling & Yue, Xingye, 2016. "Calibration of stochastic volatility models: A Tikhonov regularization approach," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 66-81.
- Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model," Papers 1707.00899, arXiv.org.
- Rüdiger Frey & Carlos A. Sin, 1999. "Bounds on European Option Prices under Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 97-116, April.
- Wang, Xiao-Tian & Wu, Min & Zhou, Ze-Min & Jing, Wei-Shu, 2012. "Pricing European option with transaction costs under the fractional long memory stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1469-1480.
- Zhenyu Cui & Anne MacKay & Marie-Claude Vachon, 2022. "Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation," Papers 2207.14793, arXiv.org.
- Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Finance Lab Working Papers flwp_59, Finance Lab, Insper Instituto de Ensino e Pesquisa.
- Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2004. "How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations," Econometric Society 2004 Latin American Meetings 198, Econometric Society.
- S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
- Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
- Manabu Asai & Michael McAleer, 2005. "Asymmetric Multivariate Stochastic Volatility," DEA Working Papers 12, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Alexander David & Pietro Veronesi, 2011. "Investors' and Central Bank's Uncertainty Embedded in Index Options," NBER Working Papers 16764, National Bureau of Economic Research, Inc.
- Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
- Don M. Chance & Thomas A. Hanson & Weiping Li & Jayaram Muthuswamy, 2017. "A bias in the volatility smile," Review of Derivatives Research, Springer, vol. 20(1), pages 47-90, April.
- Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "The distribution of index futures realised volatility under seasonality and microstructure noise," Economic Modelling, Elsevier, vol. 93(C), pages 398-414.
- Jussi Nikkinen & Petri Sahlstrom, 2001. "Impact of Scheduled U.S. Macroeconomic News on Stock Market Uncertainty: A Multinational Perspecive," Multinational Finance Journal, Multinational Finance Journal, vol. 5(2), pages 129-148, June.
- Georgievski, Alex & Masih, A. Mansur M., 2004. "An analysis of option pricing under systematic consumption risk using GARCH," Research in International Business and Finance, Elsevier, vol. 18(2), pages 151-171, June.
- Zhigang Tong, 2016. "Option pricing in stochastic volatility models driven by fractional Lévy processes," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 56-75.
- Mehmet Balcilar & Zeynel Abidin Ozdemir, 2018. "The volatility effect on precious metals prices in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-34, Eastern Mediterranean University, Department of Economics.
- Carl Chiarella & Oh-Kang Kwon, 2000. "A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility," Research Paper Series 34, Quantitative Finance Research Centre, University of Technology, Sydney.
- Neil Shephard & Ole E. Barndorff-Nielsen, 1998. "Incorporation of a Leverage Effect in a Stochastic Volatility Model," Economics Series Working Papers 1998-W14, University of Oxford, Department of Economics.
- Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
- Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
- Hilliard, Jitka, 2013. "Testing Greeks and price changes in the S&P 500 options and futures contract: A regression analysis," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 51-58.
- 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.
- 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," CREATES Research Papers 2009-34, Department of Economics and Business Economics, Aarhus University.
- Kolokolov, Aleksey & Livieri, Giulia & Pirino, Davide, 2018. "Statistical inferences for price staleness," SAFE Working Paper Series 236, Leibniz Institute for Financial Research SAFE.
- Jin-Chuan Duan & Ivilina Popova & Peter Ritchken, 2002. "Option pricing under regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 116-132.
- 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.
- Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices," Working Papers 2009-11, Faculty of Economic Sciences, University of Warsaw.
- Anders, Ulrich & Korn, Olaf & Schmitt, Christian, 1996. "Improving the pricing of options: a neural network approach," ZEW Discussion Papers 96-04, ZEW - Leibniz Centre for European Economic Research.
- Benedek, Gábor, 1999. "Opcióárazás numerikus módszerekkel [Option pricing by numerical methods]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 905-929.
- 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.
- Lin, Bing-Huei & Yeh, Shih-Kuo, 2000. "On the distribution and conditional heteroscedasticity in Taiwan stock prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 367-395, December.
- Garcia, Rene & Gencay, Ramazan, 2000. "Pricing and hedging derivative securities with neural networks and a homogeneity hint," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 93-115.
- René Garcia & Ramazan Gençay, 1998. "Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint," CIRANO Working Papers 98s-35, CIRANO.
- Jos'e Da Fonseca & Claude Martini, 2014. "The $\alpha$-Hypergeometric Stochastic Volatility Model," Papers 1409.5142, arXiv.org.
- Per Bjarte Solibakke, 2021. "Forecasting Stochastic Volatility Characteristics for the Financial Fossil Oil Market Densities," JRFM, MDPI, vol. 14(11), pages 1-17, October.
- Douc, R. & Fort, G. & Moulines, E. & Priouret, P., 2009. "Forgetting the initial distribution for Hidden Markov Models," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1235-1256, April.
- Ping Chen & Jinde Wang, 2010. "Application in stochastic volatility models of nonlinear regression with stochastic design," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(2), pages 142-156, March.
- Naimzada, Ahmad & Pireddu, Marina, 2015. "Real and financial interacting markets: A behavioral macro-model," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 111-131.
- Nikkinen, Jussi & Sahlstrom, Petri, 2004. "Impact of the federal open market committee's meetings and scheduled macroeconomic news on stock market uncertainty," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 1-12.
- Amit K. Sinha, 2021. "The reliability of geometric Brownian motion forecasts of S&P500 index values," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1444-1462, December.
- Li, Chenxu & Wu, Linjia, 2019. "Exact simulation of the Ornstein–Uhlenbeck driven stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 275(2), pages 768-779.
- Aihara, ShinIchi & Bagchi, Arunabha, 2006. "Filtering and identification of Heston's stochastic volatility model and its market risk," Journal of Economic Dynamics and Control, Elsevier, vol. 30(12), pages 2363-2388, December.
- Hideharu Funahashi & Masaaki Kijima, 2017. "Does the Hurst index matter for option prices under fractional volatility?," Annals of Finance, Springer, vol. 13(1), pages 55-74, February.
- Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
- Philippe Goulet Coulombe & Mikael Frenette & Karin Klieber, 2023. "From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks," Papers 2311.16333, arXiv.org, revised Apr 2024.
- Enrique Villamor & Pablo Olivares, 2020. "Pricing Exchange Options under Stochastic Correlation," Papers 2001.03967, arXiv.org.
- Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2005. "A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation," Review of Derivatives Research, Springer, vol. 8(1), pages 5-25, June.
- Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
- Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Post-Print halshs-00368336, HAL.
- Beatrice Franzolini & Alexandros Beskos & Maria De Iorio & Warrick Poklewski Koziell & Karolina Grzeszkiewicz, 2022. "Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market," Papers 2208.00952, arXiv.org, revised May 2023.
- Aparna Bhat & Kirti Arekar, 2016. "Empirical Performance of Black-Scholes and GARCH Option Pricing Models during Turbulent Times: The Indian Evidence," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(3), pages 123-136, March.
- Xavier Warin, 2016. "The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach," Papers 1611.04877, arXiv.org.
- Lotfaliei, Babak, 2018. "The variance risk premium and capital structure," ESRB Working Paper Series 70, European Systemic Risk Board.
- Anatoliy Swishchuk, 2013. "Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8660, August.
- Alexandre Roch, 2011. "Liquidity risk, price impacts and the replication problem," Finance and Stochastics, Springer, vol. 15(3), pages 399-419, September.
- Xinyu WU & Hailin ZHOU, 2016. "GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 327-342.
- Kleppe, Tore Selland & Yu, Jun & Skaug, Hans J., 2014. "Maximum likelihood estimation of partially observed diffusion models," Journal of Econometrics, Elsevier, vol. 180(1), pages 73-80.
- Chernov, Mikhail, 2007. "On the Role of Risk Premia in Volatility Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 411-426, October.
- M. Papi & L. Pontecorvi & C. Donatucci, 2017. "Weighted average price in the Heston stochastic volatility model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 351-373, November.
- Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
- Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc.
- Tao Li, 2013. "Investors' Heterogeneity and Implied Volatility Smiles," Management Science, INFORMS, vol. 59(10), pages 2392-2412, October.
- Alos, Elisa & Ewald, Christian-Oliver, 2007. "Malliavin differentiability of the Heston volatility and applications to option pricing," MPRA Paper 3237, University Library of Munich, Germany.
- Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 24, July-Dece.
- A. M. Ferreiro & J. A. Garc'ia & J. G. L'opez-Salas & C. V'azquez, 2024. "SABR/LIBOR market models: pricing and calibration for some interest rate derivatives," Papers 2408.01470, arXiv.org.
- Yuval Heller & Amnon Schreiber, 2020. "Short-Term Investments and Indices of Risk," Papers 2005.06576, arXiv.org.
- Touzi, Nizar, 2000. "Direct characterization of the value of super-replication under stochastic volatility and portfolio constraints," Stochastic Processes and their Applications, Elsevier, vol. 88(2), pages 305-328, August.
- Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Tommi Sottinen & Josep Vives, 2019. "Decomposition formula for rough Volterra stochastic volatility models," Papers 1906.07101, arXiv.org, revised Aug 2019.
- Frédéric Magoulès & Guillaume Gbikpi-Benissan & Qinmeng Zou, 2018. "Asynchronous Iterations of Parareal Algorithm for Option Pricing Models," Mathematics, MDPI, vol. 6(4), pages 1-18, March.
- Karamé, Frédéric, 2018. "A new particle filtering approach to estimate stochastic volatility models with Markov-switching," Econometrics and Statistics, Elsevier, vol. 8(C), pages 204-230.
- Frédéric Karamé, 2018. "A new particle filtering approach to estimate stochastic volatility models with Markov-switching," Post-Print hal-02296093, HAL.
- Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2018. "The Factor Structure in Equity Options," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 595-637.
- Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2013. "The Factor Structure in Equity Options," CREATES Research Papers 2013-47, Department of Economics and Business Economics, Aarhus University.
- Archil Gulisashvili & Elias M. Stein, 2009. "Implied Volatility In The Hull–White Model," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 303-327, April.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2003. "Power variation and stochastic volatility: a review and some new results," Economics Series Working Papers 2003-W19, University of Oxford, Department of Economics.
- Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
- Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2020. "Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures," Papers 2002.02876, arXiv.org, revised Sep 2020.
- Chernov, Mikhail & Ghysels, Eric, 2000. "A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation," Journal of Financial Economics, Elsevier, vol. 56(3), pages 407-458, June.
- Kim, Minho & Kim, Minchoul, 2003. "Implied volatility dynamics in the foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 511-528, August.
- Giacomo Bormetti & Valentina Cazzola & Danilo Delpini, 2009. "Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model," Papers 0905.1882, arXiv.org, revised May 2010.
- Thomas Coleman & Yuying Li & Cheng Wang, 2013. "Stable local volatility function calibration using spline kernel," Computational Optimization and Applications, Springer, vol. 55(3), pages 675-702, July.
- Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten Ørregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
- Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen, 2008. "Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns," Working Paper 1173, Economics Department, Queen's University.
- Reza Mollapourasl & Ali Fereshtian & Michèle Vanmaele, 2019. "Radial Basis Functions with Partition of Unity Method for American Options with Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 259-287, January.
- Rüdiger Frey & Alexander Stremme, 1997. "Market Volatility and Feedback Effects from Dynamic Hedging," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 351-374, October.
- Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
- Kogan, Leonid, 2001. "An equilibrium model of irreversible investment," Journal of Financial Economics, Elsevier, vol. 62(2), pages 201-245, November.
- F. Antonelli & A. Ramponi & S. Scarlatti, 2010. "Exchange option pricing under stochastic volatility: a correlation expansion," Review of Derivatives Research, Springer, vol. 13(1), pages 45-73, April.
- Tianyu Mo & Zhenlong Zheng & William T. Lin, 2012. "The shape of option implied volatility: a study based on market net demand pressure," China Finance Review International, Emerald Group Publishing Limited, vol. 2(1), pages 27-52, January.
- Virmani, Vineet, 2014. "Model Risk in Pricing Path-dependent Derivatives: An Illustration," IIMA Working Papers WP2014-03-22, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Tseng, Chih-Hsiung & Cheng, Sheng-Tzong & Wang, Yi-Hsien & Peng, Jin-Tang, 2008. "Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3192-3200.
- Gerald Cheang & Carl Chiarella & Andrew Ziogas, 2009. "An Analysis of American Options Under Heston Stochastic Volatility and Jump-Diffusion Dynamics," Research Paper Series 256, Quantitative Finance Research Centre, University of Technology, Sydney.
- Michael Graham & Jussi Nikkinen & Petri Sahlström, 2003. "Relative importance of scheduled macroeconomic news for stock market investors," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(2), pages 153-165, June.
- Jaehyuk Choi, 2018. "Sum of all Black–Scholes–Merton models: An efficient pricing method for spread, basket, and Asian options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 627-644, June.
- Jaehyuk Choi, 2018. "Sum of all Black-Scholes-Merton models: An efficient pricing method for spread, basket, and Asian options," Papers 1805.03172, arXiv.org.
- Ariel Neufeld, 2018. "Buy-And-Hold Property For Fully Incomplete Markets When Super-Replicating Markovian Claims," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-12, December.
- Kaustav Das & Nicolas Langren'e, 2020. "Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework," Papers 2006.01542, arXiv.org, revised Jan 2024.
- Romero, Eva, 2024. "Fitting complex stochastic volatility models using Laplace approximation," DES - Working Papers. Statistics and Econometrics. WS 43947, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Nguyen Thanh Long, 2002. "Analytical Aproach to Value Options with State Variables of a Levy System," Finance 0207004, University Library of Munich, Germany, revised 19 Jan 2003.
- Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
- Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013. "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 243-259, September.
- Lin, Zhongguo & Han, Liyan & Li, Wei, 2021. "Option replication with transaction cost under Knightian uncertainty," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 567(C).
- Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum, 2018. "Rough volatility: Evidence from option prices," IISE Transactions, Taylor & Francis Journals, vol. 50(9), pages 767-776, September.
- Giulia Livieri & Saad Mouti & Andrea Pallavicini & Mathieu Rosenbaum, 2017. "Rough volatility: evidence from option prices," Papers 1702.02777, arXiv.org.
- Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005. "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers 2005-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The nexus between the oil price and its volatility risk in a stochastic volatility in the mean model with time-varying parameters," Resources Policy, Elsevier, vol. 61(C), pages 572-584.
- Pitt, Michael K, 2002. "Smooth Particle Filters for Likelihood Evaluation and Maximisation," The Warwick Economics Research Paper Series (TWERPS) 651, University of Warwick, Department of Economics.
- Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," Risk and Sustainable Management Group Working Papers 187407, University of Queensland, School of Economics.
- Bhardwaj, Geetesh & Corradi, Valentina & Swanson, Norman R., 2008. "A Simulation-Based Specification Test for Diffusion Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 176-193, April.
- Valentina Corradi & Norman Swanson & Geetesh Bhardwaj, 2006. "A Simulation Based Specification Test for Diffusion Processes," Departmental Working Papers 200614, Rutgers University, Department of Economics.
- Xin‐Jiang He & Sha Lin, 2023. "Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 951-967, July.
- Jiang, George J. & Tian, Yisong S., 2010. "Misreaction or misspecification? A re-examination of volatility anomalies," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2358-2369, October.
- George Skiadopoulos & Stewart Hodges & Les Clewlow, 2000. "The Dynamics of the S&P 500 Implied Volatility Surface," Review of Derivatives Research, Springer, vol. 3(3), pages 263-282, October.
- Li, Hongshan & Huang, Zhongyi, 2020. "An iterative splitting method for pricing European options under the Heston model☆," Applied Mathematics and Computation, Elsevier, vol. 387(C).
- Kazmerchuk, Yuriy & Swishchuk, Anatoliy & Wu, Jianhong, 2007. "The pricing of options for securities markets with delayed response," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 75(3), pages 69-79.
- Martin Schweizer & Johannes Wissel, 2008. "Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 77-114, January.
- Lin, Sha & He, Xin-Jiang, 2021. "A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
- Jun Ma, 2009. "Pricing Foreign Equity Options with Stochastic Correlation and Volatility," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 303-327, November.
- Siddiqi, Hammad, 2015. "Anchoring and Adjustment Heuristic in Option Pricing," MPRA Paper 68595, University Library of Munich, Germany.
- R. Merino & J. Pospíšil & T. Sobotka & J. Vives, 2018. "Decomposition Formula For Jump Diffusion Models," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
- Xue Jin & Shiwei Zhou & Kedong Yin & Mingzhen Li, 2021. "Relationships between Copper Futures Markets from the Perspective of Jump Diffusion," Mathematics, MDPI, vol. 9(18), pages 1-25, September.
- Bettina Freitag & Lukas Häfner & Verena Pfeuffer & Jochen Übelhör, 2020. "Evaluating investments in flexible on-demand production capacity: a real options approach," Business Research, Springer;German Academic Association for Business Research, vol. 13(1), pages 133-161, April.
- repec:dau:papers:123456789/2138 is not listed on IDEAS
- C. He & J. Kennedy & T. Coleman & P. Forsyth & Y. Li & K. Vetzal, 2006. "Calibration and hedging under jump diffusion," Review of Derivatives Research, Springer, vol. 9(1), pages 1-35, January.
- A. Gulisashvili, 2009. "Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes," Papers 0906.0394, arXiv.org.
- Martin Schweizer & Johannes Wissel, 2008. "Arbitrage-free market models for option prices: the multi-strike case," Finance and Stochastics, Springer, vol. 12(4), pages 469-505, October.
- Soumaré, Issouf & Lai, Van Son, 2016. "An analysis of government loan guarantees and direct investment through public-private partnerships," Economic Modelling, Elsevier, vol. 59(C), pages 508-519.
- Hull, John & White, Alan, 2017. "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 180-190.
- Carol Alexander, 2002. "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance icma-dp2003-06, Henley Business School, University of Reading, revised Mar 2003.
- Ronald Mahieu & Rob Bauer, 1998. "A Bayesian analysis of stock return volatility and trading volume," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 671-687.
- Massimo Costabile & Arturo Leccadito & Ivar Massabó & Emilio Russo, 2014. "A reduced lattice model for option pricing under regime-switching," Review of Quantitative Finance and Accounting, Springer, vol. 42(4), pages 667-690, May.
- Tompkins, Robert G. & D'Ecclesia, Rita L., 2006. "Unconditional return disturbances: A non-parametric simulation approach," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 287-314, January.
- Hyeong-Ohk Bae & Seung-Yeal Ha & Yongsik Kim & Hyuncheul Lim & Jane Yoo, 2020. "Volatility Flocking by Cucker–Smale Mechanism in Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 387-414, September.
- Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
- Wang, Nianling & Lou, Zhusheng, 2023. "Sequential Bayesian analysis for semiparametric stochastic volatility model with applications," Economic Modelling, Elsevier, vol. 123(C).
- Papantonis, Ioannis, 2016. "Volatility risk premium implications of GARCH option pricing models," Economic Modelling, Elsevier, vol. 58(C), pages 104-115.
- René Garcia & Eric Renault, 1999. "Latent Variable Models for Stochastic Discount Factors," CIRANO Working Papers 99s-47, CIRANO.
- GARCIA, René & RENAULT, Éric, 2000. "Latent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Universite de Montreal, Departement de sciences economiques.
- Garcia, R. & Renault, E., 2000. "Letent Variable Models for Stochastic Discount Factors," Cahiers de recherche 2000-01, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Olkhov, Victor, 2019. "New Essentials of Economic Theory III. Economic Applications," MPRA Paper 94053, University Library of Munich, Germany.
- Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, vol. 81(Dec), pages 21-35.
- Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk, 2012. "Valuation of power options under Heston's stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(11), pages 1796-1813.
- Bertrand Tavin & Lorenz Schneider, 2018. "From the Samuelson volatility effect to a Samuelson correlation effect : An analysis of crude oil calendar spread options," Post-Print hal-02311970, HAL.
- Kumar, Dilip & Maheswaran, S., 2014. "A new approach to model and forecast volatility based on extreme value of asset prices," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 128-140.
- Kumar, Dilip & Maheswaran, S., 2014. "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 38(C), pages 33-44.
- Archil Gulisashvili & Josep Vives, 2010. "Two-sided estimates for stock price distribution densities in jump-diffusion models," Papers 1005.1917, arXiv.org.
- Wendong Zheng & Pingping Zeng, 2016. "Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(5), pages 344-373, September.
- Epstein, D. & Mayor, N. & Schonbucher, P. & Whalley, A. E. & Wilmott, P., 1998. "The valuation of a firm advertising optimally," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(2), pages 149-166.
- D. Epstein & N.Mayor & P.Schonbucher & A.E. Whalley & P. Wilmott, 1999. "The Valuation of a Firm Advertising Optimally," OFRC Working Papers Series 1999mf01, Oxford Financial Research Centre.
- Kyriakos Chourdakis, 2000. "Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains," Working Papers 430, Queen Mary University of London, School of Economics and Finance.
- Derek Lemoine & Sarah Kapnick, 2024. "Financial markets value skillful forecasts of seasonal climate," Nature Communications, Nature, vol. 15(1), pages 1-10, December.
- Abdulwahab Animoku & Ömür Uğur & Yeliz Yolcu-Okur, 2018. "Modeling and implementation of local volatility surfaces in Bayesian framework," Computational Management Science, Springer, vol. 15(2), pages 239-258, June.
- Bjorn Hansson & Peter Hordahl, 2005. "Forecasting variance using stochastic volatility and GARCH," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 33-57.
- Giulia Di Nunno & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2022. "Option pricing in Sandwiched Volterra Volatility model," Papers 2209.10688, arXiv.org, revised Jul 2024.
- 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.
- Kim Christensen & Martin Thyrsgaard & Bezirgen Veliyev, 2018. "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing," CREATES Research Papers 2018-19, Department of Economics and Business Economics, Aarhus University.
- Beskos, Alexandros & Kalogeropoulos, Konstantinos & Pazos, Erik, 2013. "Advanced MCMC methods for sampling on diffusion pathspace," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1415-1453.
- Beskos, Alexandros & Kalogeropoulos, Konstantinos & Pazos, Erik, 2013. "Advanced MCMC methods for sampling on diffusion pathspace," LSE Research Online Documents on Economics 46433, London School of Economics and Political Science, LSE Library.
- Alexandr Kuchynka, 2008. "An empirical application of a two-factor model of stochastic volatility," Prague Economic Papers, Prague University of Economics and Business, vol. 2008(3), pages 243-253.
- 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.
- Yoon-Jin Lee & Yongmiao Hong, 2004. "Specification Testing for Multivariate Time Series Volatility Models," Econometric Society 2004 Far Eastern Meetings 696, Econometric Society.
- Toby Daglish & John Hull & Wulin Suo, 2007. "Volatility surfaces: theory, rules of thumb, and empirical evidence," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 507-524.
- Ozge Sezgin Alp, 2016. "The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets: A case of Turkish Derivatives Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 70-84, April.
- Di Nunno, Giulia & Sjursen, Steffen, 2014. "BSDEs driven by time-changed Lévy noises and optimal control," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1679-1709.
- Sergii Pypko, 2015. "Volatility Forecast in Crises and Expansions," JRFM, MDPI, vol. 8(3), pages 1-26, August.
- Pierre Henry-Labordere, 2006. "Unifying the BGM and SABR Models: A short Ride in Hyperbolic Geometry," Papers physics/0602102, arXiv.org.
- Jinghai Shao & Sovan Mitra & Andreas Karathanasopoulos, 2022. "Optimal feedback control of stock prices under credit risk dynamics," Annals of Operations Research, Springer, vol. 313(2), pages 1285-1318, June.
- Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005, January-A.
- Mark Joshi & Riccardo Rebonato, 2003. "A displaced-diffusion stochastic volatility LIBOR market model: motivation, definition and implementation," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 458-469.
- Zhenjiang Qin, 2012. "Heterogeneous Beliefs, Public Information, and Option Markets," CREATES Research Papers 2012-23, Department of Economics and Business Economics, Aarhus University.
- Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility," Risks, MDPI, vol. 9(4), pages 1-21, March.
- Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2019. "A general framework for time-changed Markov processes and applications," European Journal of Operational Research, Elsevier, vol. 273(2), pages 785-800.
- Kiesel, Rüdiger & Rahe, Florentin, 2017. "Option pricing under time-varying risk-aversion with applications to risk forecasting," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 120-138.
- Danai Likitratcharoen & Pan Chudasring & Chakrin Pinmanee & Karawan Wiwattanalamphong, 2023. "The Efficiency of Value-at-Risk Models during Extreme Market Stress in Cryptocurrencies," Sustainability, MDPI, vol. 15(5), pages 1-21, March.
- Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
- Feil, Jan-Henning & Mußhoff, Oliver, 2016. "Investment And Disinvestment Under Uncertainty, Firm Heterogeneity And Tradable Output Permits," 56th Annual Conference, Bonn, Germany, September 28-30, 2016 244756, German Association of Agricultural Economists (GEWISOLA).
- Dominique Guegan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Post-Print halshs-00188248, HAL.
- Cifarelli, giulio, 2002. "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper 28538, University Library of Munich, Germany.
- Simone Scotti, 2012. "Asset Pricing under uncertainty," Papers 1203.5664, arXiv.org.
- Menn, Christian & Rachev, Svetlozar T., 2005. "A GARCH option pricing model with [alpha]-stable innovations," European Journal of Operational Research, Elsevier, vol. 163(1), pages 201-209, May.
- Vyacheslav Abramov & Fima Klebaner, 2007. "Estimation and Prediction of a Non-Constant Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 1-23, March.
- Dorofeev Evgeny, 2001. "Economic Factors Influence on the Russian Capital Market Behavior," EERC Working Paper Series 2k/03e, EERC Research Network, Russia and CIS.
- Christensen, Kim & Podolski, Mark, 2005. "Asymptotic theory for range-based estimation of integrated variance of a continuous semi-martingale," Technical Reports 2005,18, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Andreas Kaeck & Carol Alexander, 2010. "VIX Dynamics with Stochastic Volatility of Volatility," ICMA Centre Discussion Papers in Finance icma-dp2010-11, Henley Business School, University of Reading.
- Schneider, Lorenz & Tavin, Bertrand, 2018. "From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 185-202.
- Catherine S. Forbes & Gael M. Martin & Jill Wright, 2007. "Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 387-418.
- Nonejad, Nima, 2017. "Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market," Economic Modelling, Elsevier, vol. 61(C), pages 388-408.
- Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2005. "Forecasting Exchange Rate Volatility In The Presence Of Jumps," Working Paper 1187, Economics Department, Queen's University.
- Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
- Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
- Dan Pirjol & Lingjiong Zhu, 2020. "Asymptotics of the time-discretized log-normal SABR model: The implied volatility surface," Papers 2001.09850, arXiv.org, revised Mar 2020.
- Gifty Malhotra & R. Srivastava & H. C. Taneja, 2018. "Quadratic approximation of the slow factor of volatility in a multifactor stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 607-624, May.
- Katarzyna Toporek, 2012. "Simple is better. Empirical comparison of American option valuation methods," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 29.
- Eduardo Abi Jaber & Louis-Amand G'erard, 2024. "Signature volatility models: pricing and hedging with Fourier," Papers 2402.01820, arXiv.org.
- Abel Rodriguez & Enrique ter Horst, 2008. "Measuring expectations in options markets: An application to the SP500 index," Papers 0901.0033, arXiv.org.
- Chan, Chia-Ying & de Peretti, Christian & Qiao, Zhuo & Wong, Wing-Keung, 2012. "Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 162-174.
- Marc Lagunas-Merino & Salvador Ortiz-Latorre, 2020. "A decomposition formula for fractional Heston jump diffusion models," Papers 2007.14328, arXiv.org.
- Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
- Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
- Vagnani, Gianluca, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 103-118, October.
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
- Kanne, Stefan & Korn, Olaf & Uhrig-Homburg, Marliese, 2016. "Stock Illiquidity, option prices, and option returns," CFR Working Papers 16-08, University of Cologne, Centre for Financial Research (CFR).
- Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.
- Keith Jefferis & Pako Thupayagale, 2008. "Long Memory In Southern African Stock Markets," South African Journal of Economics, Economic Society of South Africa, vol. 76(3), pages 384-398, September.
- Moawia Alghalith & Christos Floros & Konstantinos Gkillas, 2020. "Estimating Stochastic Volatility under the Assumption of Stochastic Volatility of Volatility," Risks, MDPI, vol. 8(2), pages 1-15, April.
- Trifi Amine, 2006. "Issues of Aggregation Over Time of Conditional Heteroscedastic Volatility Models: What Kind of Diffusion Do We Recover?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-26, December.
- Olivares Pablo & Villamor Enrique, 2017. "Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model," Papers 1711.10013, arXiv.org.
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Pricing and hedging long-term options," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 277-318.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1998. "Pricing and Hedging Long-Term Options," Yale School of Management Working Papers ysm90, Yale School of Management.
- Luca Regis & Simone Scotti, 2008. "Risk Premium Impact in the Perturbative Black Scholes Model," Papers 0806.0307, arXiv.org.
- Fang, Mingyu & Tan, Ken Seng & Wirjanto, Tony S., 2024. "Valuation of carbon emission allowance options under an open trading phase," Energy Economics, Elsevier, vol. 131(C).
- Fathi Abid & Wafa Abdelmalek & Sana Ben Hamida, 2020. "Dynamic Hedging using Generated Genetic Programming Implied Volatility Models," Papers 2006.16407, arXiv.org.
- Elder, John, 2021. "Canadian industry level production and energy prices," Energy Economics, Elsevier, vol. 99(C).
- Nikkinen, Jussi & Rothovius, Timo, 2019. "The EIA WPSR release, OVX and crude oil internet interest," Energy, Elsevier, vol. 166(C), pages 131-141.
- Hongshan Li & Zhongyi Huang, 2020. "An iterative splitting method for pricing European options under the Heston model," Papers 2003.12934, arXiv.org.
- Elisa Alòs & Jorge A. León & Josep Vives, 2006. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Economics Working Papers 968, Department of Economics and Business, Universitat Pompeu Fabra.
- Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc.
- Eduardo Sandoval & Paula Urrutia, 2014. "Zero-Cost Collar Strategy For Chilean Exporters: Black-Scholes Valuation Vs Monte Carlo Simulations, Estrategia Collar Costo Cero Para Exportadores Chilenos. Valuacion De Black-Scholes Vs Simulaciones," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(5), pages 25-40.
- Grunbichler, Andreas & Longstaff, Francis A., 1996. "Valuing futures and options on volatility," Journal of Banking & Finance, Elsevier, vol. 20(6), pages 985-1001, July.
- Maciak, Matúš, 2021. "Quantile LASSO with changepoints in panel data models applied to option pricing," Econometrics and Statistics, Elsevier, vol. 20(C), pages 166-175.
- Ciprian Necula, 2008. "Asset Pricing in a Two-Country Discontinuous General Equilibrium Model," Advances in Economic and Financial Research - DOFIN Working Paper Series 24, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
- Lucio Fiorin & Gilles Pagès & Abass Sagna, 2019. "Product Markovian Quantization of a Diffusion Process with Applications to Finance," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1087-1118, December.
- Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2015. "Non-Gaussian GARCH option pricing models and their diffusion limits," European Journal of Operational Research, Elsevier, vol. 247(3), pages 820-830.
- Andrea Capotorti & Gianna Figa'-Talamanca, 2012. "On an implicit assessment of fuzzy volatility in the Black and Scholes environment," Quaderni del Dipartimento di Economia, Finanza e Statistica 106/2012, Università di Perugia, Dipartimento Economia.
- Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Options delta hedging with no options at all," Working Papers 2014-27, Faculty of Economic Sciences, University of Warsaw.
- Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany.
- Peter Carr & Roger Lee & Matthew Lorig, 2015. "Robust replication of barrier-style claims on price and volatility," Papers 1508.00632, arXiv.org, revised Jan 2022.
- Chan Jennifer So Kuen & Ng Kok-Haur & Nitithumbundit Thanakorn & Peiris Shelton, 2019. "Efficient estimation of financial risk by regressing the quantiles of parametric distributions: An application to CARR models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-22, April.
- Huang, Chun-Sung & O'Hara, John G. & Mataramvura, Sure, 2022. "Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility," Applied Mathematics and Computation, Elsevier, vol. 414(C).
- Steven L. Heston & Alberto G. Rossi, 2017. "A Spanning Series Approach to Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 7(1), pages 2-42.
- Ivan Arraut & João Alexandre Lobo Marques & Sergio Gomes, 2021. "The Probability Flow in the Stock Market and Spontaneous Symmetry Breaking in Quantum Finance," Mathematics, MDPI, vol. 9(21), pages 1-18, November.
- Contreras G., Mauricio, 2021. "Endogenous stochastic arbitrage bubbles and the Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
- Lo, C.C. & Nguyen, D. & Skindilias, K., 2017. "A Unified Tree approach for options pricing under stochastic volatility models," Finance Research Letters, Elsevier, vol. 20(C), pages 260-268.
- Duan, Jin-Chuan & Zhang, Hua, 2001. "Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1989-2014, November.
- David Farahany & Kenneth Jackson & Sebastian Jaimungal, 2018. "Mixing LSMC and PDE Methods to Price Bermudan Options," Papers 1803.07216, arXiv.org, revised May 2020.
- Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
- Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
- Tom Doan, "undated". "RATS programs to replicate Baillie, Bollerslev, Mikkelson FIGARCH results," Statistical Software Components RTZ00009, Boston College Department of Economics.
- Koichiro Takaoka, 2004. "A Complete-Market Generalization of the Black-Scholes Model," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(4), pages 431-444, December.
- Amir Atiya & Steve Wall, 2009. "An analytic approximation of the likelihood function for the Heston model volatility estimation problem," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 289-296.
- Høg, Esben, 2008. "Volatility and realized quadratic variation of differenced returns : A wavelet method approach," Finance Research Group Working Papers F-2008-06, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Qiang Zhang & Rui Luo & Yaodong Yang & Yuanyuan Liu, 2018. "Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series," Papers 1811.03711, arXiv.org.
- Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. "An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 87-117.
- Pilar Corredor Casado & Rafael Santamaría, "undated". "La estructura temporal de las volatilidades implícitas en la opción sobre el Ibex-35," Studies on the Spanish Economy 04, FEDEA.
- Ysusi Carla, 2007. "Multipower Variation Under Market Microstructure Effects," Working Papers 2007-13, Banco de México.
- Youngha Cho & Soosung Hwang & Yong-ki Lee, 2014. "The Dynamics of Appraisal Smoothing," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(2), pages 497-529, June.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
- Tomáš Tichý, 2006. "Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(7-8), pages 361-379, July.
- Grzegorz Krzy.zanowski & Marcin Magdziarz & {L}ukasz P{l}ociniczak, 2019. "A weighted finite difference method for subdiffusive Black Scholes Model," Papers 1907.00297, arXiv.org, revised Apr 2020.
- Duan, Jin-Chuan & Yeh, Chung-Ying, 2010. "Jump and volatility risk premiums implied by VIX," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2232-2244, November.
- Chavas, Jean-Paul & Li, Jian & Wang, Linjie, 2024. "Option Pricing Revisited: The Role of Price Volatility and Dynamics," 2024 Annual Meeting, July 28-30, New Orleans, LA 343544, Agricultural and Applied Economics Association.
- G. Dhaene, 2004. "Indirect Inference for Stochastic Volatility Models via the Log-Squared Observations," Review of Business and Economic Literature, KU Leuven, Faculty of Economics and Business (FEB), Review of Business and Economic Literature, vol. 0(3), pages 421-440.
- Benjamin Wee, 2024. "Comparing MCMC algorithms in Stochastic Volatility Models using Simulation Based Calibration," Papers 2402.12384, arXiv.org.
- Ole E. Barndorff-Nielsen & Svend Erik Graversen & Neil Shephard, 2003. "Power variation & stochastic volatility: a review and some new results," Economics Papers 2003-W19, Economics Group, Nuffield College, University of Oxford.
- Carole Bernard & Zhenyu Cui, 2013. "Prices and Asymptotics for Discrete Variance Swaps," Papers 1305.7092, arXiv.org.
- Dokuchaev, Nikolai G. & Savkin, Andrey V., 2002. "A bounded risk strategy for a market with non-observable parameters," Insurance: Mathematics and Economics, Elsevier, vol. 30(2), pages 243-254, April.
- Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.
- Mrázek, Milan & Pospíšil, Jan & Sobotka, Tomáš, 2016. "On calibration of stochastic and fractional stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 1036-1046.
- David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48, January.
- Sanjay Sehgal & Vidisha Garg, 2016. "Cross-sectional Volatility and Stock Returns: Evidence for Emerging Markets," Vikalpa: The Journal for Decision Makers, , vol. 41(3), pages 234-246, September.
- Patrick Aschermayr & Konstantinos Kalogeropoulos, 2023. "Sequential Bayesian Learning for Hidden Semi-Markov Models," Papers 2301.10494, arXiv.org.
- Gozgor, Giray & Nokay, Pinar, 2011. "Comparing forecast performances among volatility estimation methods in the pricing of european type currency options of USD-TL and Euro-TL," MPRA Paper 34369, University Library of Munich, Germany.
- Jean-Pierre Fouque & Sebastian Jaimungal & Matthew Lorig, 2010. "Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models," Papers 1007.4361, arXiv.org, revised Apr 2012.
- Cheng-Few Lee & Oleg Sokolinskiy, 2015. "R-2GAM stochastic volatility model: flexibility and calibration," Review of Quantitative Finance and Accounting, Springer, vol. 45(3), pages 463-483, October.
- Pitt, Michael K., 2002. "Smooth particle filters for likelihood evaluation and maximisation," Economic Research Papers 269464, University of Warwick - Department of Economics.
- I.-Doun Kuo, 2011. "Pricing and hedging volatility smile under multifactor interest rate models," Review of Quantitative Finance and Accounting, Springer, vol. 36(1), pages 83-104, January.
- Yanhui Mi, 2016. "A modified stochastic volatility model based on Gamma Ornstein–Uhlenbeck process and option pricing," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-16, June.
- Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
- Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society.
- Lin, Liang-Ching & Lee, Sangyeol & Guo, Meihui, 2013. "Goodness-of-fit test for stochastic volatility models," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 473-498.
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2019. "The volatility effect on precious metals price returns in a stochastic volatility in mean model with time-varying parameters," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
- Ole Barndorff-Nielsen & Elisa Nicolato & Neil Shephard, 2002. "Some recent developments in stochastic volatility modelling," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 11-23.
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2010. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 60.
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 59.
- Nolte, Stephan & Grethe, Harald, 2008. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 57(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 58(1).
- Nolte, Stephan & Grethe, Harald, 2009. "Der Markt für Zucker," Journal of International Agricultural Trade and Development, Journal of International Agricultural Trade and Development, vol. 59.
- Ruttan, Vernon W., 1977. "Induced innovation and agricultural development," Food Policy, Elsevier, vol. 2(3), pages 196-216, August.
- Senauer, Benjamin, 1989. "Major Consumer Trends Affecting the U.S. Food System," Choices, Agricultural and Applied Economics Association, vol. 4(4).
- Clement A. Tisdell, 2007. "Sustainable Agriculture," Chapters, in: Handbook of Sustainable Development, chapter 22 Edward Elgar Publishing.
- Thomas Grebel & Andreas Pyka & Horst Hanusch, 2003. "An Evolutionary Approach to the Theory of Entrepreneurship," Industry and Innovation, Taylor & Francis Journals, vol. 10(4), pages 493-514.
- Friebel, Guido & Schnedler, Wendelin, 2011. "Team governance: Empowerment or hierarchical control," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 1-13, April.
- Llavador, Humberto & Solano-García, Angel, 2011. "Immigration policy with partisan parties," Journal of Public Economics, Elsevier, vol. 95(1), pages 134-142.
- Brañas-Garza, Pablo & Espinosa, María Paz & Rey-Biel, Pedro, 2011. "Travelers’ types," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1), pages 25-36.
- J. Galí & D. López-Salido & J. Vallés, 2003. "Understanding the effects of government spending on consumption," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Jordi Galí & Luca Gambetti, 2013. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy National Bureau of Economic Research, Inc.
- Alison Booth & Melvyn Coles, 2010. "Education, Matching, and the Allocative Value of Romance," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 744-775, 06.
- Olivier Jean Blanchard & Jordi Galí, 2005. "Real wage rigidities and the New Keynesian model," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Jordi Galí & Frank Smets & Rafael Wouters, 2011. "Unemployment in an Estimated New Keynesian Model," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 329-360 National Bureau of Economic Research, Inc.
- Broner, Fernando & Gelos, Gaston & Reinhart, Carmen, 2004. "When in peril, retrench: testing the portfolio channel of contagion," Proceedings, Federal Reserve Bank of San Francisco, issue Jun, pages 1-34.
- Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
- Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
- Edgerton, David & Wells, Curt, 1994. "Critical Values for the Cusumsq Statistic in Medium and Large Sized Samples," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(3), pages 355-65, August.
- Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
- Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
- Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.
- Peter Pedroni, 2000. "Fully Modified OLS for Heterogeneous Cointegrated Panels," Department of Economics Working Papers 2000-03, Department of Economics, Williams College.
- Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
- Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
- Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988. "Estimating Vector Autoregressions with Panel Data," Econometrica, Econometric Society, vol. 56(6), pages 1371-95, November.
- Kenji Nishizaki & Toshitaka Sekine & Yuichi Ueno & Yuko Kawai, 2013. "Chronic deflation in Japan," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation and inflation dynamics in Asia and the Pacific, volume 70, pages 9-19 Bank for International Settlements.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juli 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(15), pages 67-69, 08.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juni 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(12), pages 55-57, 06.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juli 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(15), pages 67-69, 08.
- Klaus Wohlrabe, 2012. "ifo Konjunkturtest Juni 2012 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(12), pages 55-57, 06.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juli 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(14), pages 44-46, 07.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juni 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(12), pages 69-71, 06.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juli 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(14), pages 44-46, 07.
- Klaus Abberger, 2010. "ifo Konjunkturtest Juni 2010 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 63(12), pages 69-71, 06.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juli 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(14), pages 46-48, 07.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juni 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(12), pages 61-63, 06.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(23), pages 53-61, December.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juli 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(14), pages 46-48, 07.
- Klaus Abberger, 2008. "ifo Konjunkturtest Juni 2008 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(12), pages 61-63, 06.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(10), pages 44-53, 05.
- Gernot Nerb & Anna Stangl, 2008. "ifo Indikator für das Weltwirtschaftsklima weiter gesunken," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(16), pages 35-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juni 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(12), pages 55-56, 06.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juni 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(12), pages 55-56, 06.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juni 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(13), pages 49-50, 07.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juni 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(12), pages 42-43, 06.
- Hans G. Russ, 2002. "ifo Konjunkturtest Juni 2002 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 55(13), pages 44-45, 07.
- Hans G. Russ, 2004. "ifo Konjunkturtest Juli 2004 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 57(14), pages 28-29, 07.
- Hans G. Russ, 2006. "ifo Konjunkturtest Juli 2006 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 59(15), pages 41-42, 08.
- Hans G. Russ, 2003. "ifo Konjunkturtest Juli 2003 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 56(15), pages 40-41, 08.
- Hans G. Russ, 2005. "ifo Konjunkturtest Juli 2005 in Kürze," Ifo Schnelldienst, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 58(15), pages 52-53, 08.
- Owens, Trudy & Hoddinott, John & Kinsey, Bill, 2003. "The Impact of Agricultural Extension on Farm Production in Resettlement Areas of Zimbabwe," Economic Development and Cultural Change, University of Chicago Press, vol. 51(2), pages 337-57, January.
- Facchini, Giovanni & Steinhardt, Max Friedrich, 2011. "What drives U.S. immigration policy? Evidence from congressional roll call votes," Journal of Public Economics, Elsevier, vol. 95(7), pages 734-743.
- Davide Castellani & Giorgia Giovannetti, 2010. "Productivity and the international firm: dissecting heterogeneity," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 13(1), pages 25-42.
- Artjoms Ivlevs & Jaime De Melo, 2010. "FDI, the Brain Drain and Trade: Channels and Evidence," Annals of Economics and Statistics, GENES, issue 97-98, pages 103-121.
- Julien Gourdon & Nicolas Maystre & Jaime de Melo, 2008. "Openness, inequality and poverty: Endowments matter," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 17(3), pages 343-378.
- Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
- Robert N. McCauley, 2012. "Risk-on/risk-off, capital flows, leverage and safe assets," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 8(3), pages 281-298, August.
- Lars E. O. Svensson & Michael Woodford, 2000. "Indicator variables for optimal policy," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Keith Kuester & Volker Wieland, 2010. "Insurance Policies for Monetary Policy in the Euro Area," Journal of the European Economic Association, European Economic Association, vol. 8(4), pages 872-912, 06.
- Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14(1), pages C25-C44, February.
- Domenico Giannone & Michele Lenza, 2010. "The Feldstein-Horioka Fact," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 103-117 National Bureau of Economic Research, Inc.
- Christian Dreger & Hans-Eggert Reimers & Barbara Roffia, 2007. "Long-Run Money Demand in the New EU Member States with Exchange Rate Effects," Eastern European Economics, Taylor & Francis Journals, vol. 45(2), pages 75-94, April.
- Christian Daude & Marcel Fratzscher, 2007. "The pecking order of cross-border investment," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 53-89 Bank for International Settlements.
- Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2002. "Equity and bond market signals as leading indicators of bank fragility," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Kalin Nikolov, 2012. "Bubbles, banks and financial stability," Research Bulletin, European Central Bank, vol. 15, pages 2-6.
- Forbes, Kristin J. & Fratzscher, Marcel & Kostka, Thomas & Straub, Roland, 2012. "Bubble thy neighbor: portfolio effects and externalities from capital controls," Proceedings, Federal Reserve Bank of San Francisco, issue Nov, pages 1-48.
- Marcel Fratzscher, 2012. "Capital Controls and Foreign Exchange Policy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pages 66-98, August.
- Geert Bekaert & Marie Hoerova, 2010. "Risk, uncertainty and monetary policy," Research Bulletin, European Central Bank, vol. 10, pages 11-13.
- António Afonso & João Tovar Jalles, 2013. "Fiscal Composition and Long-term Growth," Chapters in SUERF Studies, SUERF - The European Money and Finance Forum.
- Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti, 2011. "Weak and strong cross‐section dependence and estimation of large panels," Econometrics Journal, Royal Economic Society, vol. 14, pages C45-C90, 02.
- Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Chapters, in: Global Financial Crisis National Bureau of Economic Research, Inc.
- Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
- Elena Bobeica & Paulo Esteves & António Rua & Karsten Staehr, 2016. "Exports and domestic demand pressure: a dynamic panel data model for the euro area countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 107-125, February.
- Peter Hördahl & David Vestin, 2005. "Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia," Review of Finance, European Finance Association, vol. 9(1), pages 97-137.
- Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Pierpaolo Benigno & Michael Woodford, 2003. "Optimal monetary and fiscal policy: a linear-quadratic approach," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- J. Galí & D. López-Salido & J. Vallés, 2003. "Understanding the effects of government spending on consumption," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Athanasios Orphanides & John C. Williams, 2003. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Fabrice Collard & Harris Dellas, 2003. "The great inflation of the 1970s," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Banbura, Marta & Rünstler, Gerhard, 2011. "A look into the factor model black box: Publication lags and the role of hard and soft data in forecasting GDP," International Journal of Forecasting, Elsevier, vol. 27(2), pages 333-346, April.
- Stephen Bond & Dietmar Harhoff & John Van Reenen, 2005. "Investment, R&D and Financial Constraints in Britain and Germany," Annals of Economics and Statistics, GENES, issue 79-80, pages 433-460.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Francesco Caselli & Silvana Tenreyro, 2004. "Is Poland the next Spain?," Communities and Banking, Federal Reserve Bank of Boston.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Christopher A. Pissarides, 2009. "The Unemployment Volatility Puzzle: Is Wage Stickiness the Answer?," Econometrica, Econometric Society, vol. 77(5), pages 1339-1369, 09.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Jo Blanden & Stephen Machin, 2004. "Educational Inequality and the Expansion of UK Higher Education," Scottish Journal of Political Economy, Scottish Economic Society, vol. 51(2), pages 230-249, 05.
- Anthony J. Venables, 2006. "Shifts in economic geography and their causes," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 15-39.
- Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P. Tsomocos, 2002. "Procyclicality and the New Basel Accord: banks' choice of loan rating system," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Jean-Charles Rochet & Jean Tirole, 2003. "Platform Competition in Two-Sided Markets," Journal of the European Economic Association, MIT Press, vol. 1(4), pages 990-1029, 06.
- Larcinese, Valentino & Puglisi, Riccardo & Snyder, James M., 2011. "Partisan bias in economic news: Evidence on the agenda-setting behavior of U.S. newspapers," Journal of Public Economics, Elsevier, vol. 95(9), pages 1178-1189.
- Saul Lach & Mark Schankerman, 2003. "Incentives and invention in universities," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Richard Freeman & John Van Reenen, 2009. "What if Congress Doubled R&D Spending on the Physical Sciences?," NBER Chapters, in: Innovation Policy and the Economy, Volume 9, pages 1-38 National Bureau of Economic Research, Inc.
- Richard Perkins & Eric Neumayer, 2010. "Geographic variations in the early diffusion of corporate voluntary standards: comparing ISO 14001 and the Global Compact," Environment and Planning A, Pion Ltd, London, vol. 42(2), pages 347-365, February.
- Richard B. Freeman, 2007. "When Workers Share in Profits: Effort and Responses to Shirking," Rivista di Politica Economica, SIPI Spa, vol. 97(6), pages 9-36, November-.
- Robert C. Allen & Jean‐Pascal Bassino & Debin Ma & Christine Moll‐Murata & Jan Luiten Van Zanden, 2011. "Wages, prices, and living standards in China, 1738–1925: in comparison with Europe, Japan, and India," Economic History Review, Economic History Society, vol. 64(s1), pages 8-38, February.
- Nick Bloom & Mark Schankerman & John Van Reenen, 2005. "Identifying technology spillovers and product market rivalry," Proceedings, Federal Reserve Bank of San Francisco.
- Miklós Koren & Silvana Tenreyro, 2007. "Technological diversification," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
- Nancy Holman & Gabriel M Ahlfeldt, 2015. "No escape? The coordination problem in heritage preservation," Environment and Planning A, Pion Ltd, London, vol. 47(1), pages 172-187, January.
- Paul Beaudry & David A. Green & Benjamin M. Sand, 2013. "The Great Reversal in the Demand for Skill and Cognitive Tasks," NBER Chapters, in: Labor Markets in the Aftermath of the Great Recession, pages 199-247 National Bureau of Economic Research, Inc.
- Giuseppe Moscarini & Fabien Postel-Vinay, 2013. "Did the Job Ladder Fail after the Great Recession?," NBER Chapters, in: Labor Markets in the Aftermath of the Great Recession, pages 55-93 National Bureau of Economic Research, Inc.
- Nuno Ferreira da Cruz & Pedro Simões & Rui Cunha Marques, 2013. "The hurdles of local governments with PPP contracts in the waste sector," Environment and Planning C: Government and Policy, Pion Ltd, London, vol. 31(2), pages 292-307, April.
- Eric Neumayer & Peter Nunnenkamp & Martin Roy, 2016. "Are stricter investment rules contagious? Host country competition for foreign direct investment through international agreements," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 152(1), pages 177-213, February.
- Joseph Seidel & Yang Xu, 2016. "MHTEXP: Stata module to perform multiple hypothesis testing correction procedure," Statistical Software Components S458153, Boston College Department of Economics.
- Heike Hennig-Schmidt & Bettina Rockenbach & Abdolkarim Sadrieh, 2010. "In Search Of Workers' Real Effort Reciprocity-A Field and a Laboratory Experiment," Journal of the European Economic Association, MIT Press, vol. 8(4), pages 817-837, 06.
- Karlan, Dean & List, John A. & Shafir, Eldar, 2011. "Small matches and charitable giving: Evidence from a natural field experiment," Journal of Public Economics, Elsevier, vol. 95(5), pages 344-350.
- Matthew T. Cole & Amélie Guillin, 2015. "The determinants of trade agreements in services vs. goods," International Economics, CEPII research center, issue 144, pages 66-82.
- Yilmazkuday, Hakan, 2016. "Forecasting the Great Trade Collapse," International Economics, Elsevier, vol. 147(C), pages 145-154.
- Georgy Idrisov & Yuri Bobylev & Arseny Mamedov & Olga Morgunova & Mikhail Khromov & Sergey Tsukhlo & Olesia Rasenko, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 15, pages 1-26, November.
- Georgy Idrisov & Mikhail Khromov & Evgeny Goryunov & Alexander Knobel & Yuri Ponomarev & Alexander Deryugin & Julia Florinskaya & Nikita Mkrtchan, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 16, pages 1-26, November.
- Alexander Knobel & Yuri Bobylev & Alexandra Bozhechkova & Pavel Trunin & Mikhail Khromov & Natalia Shagaida & Vasily Uzun & Elena Avraamova & D. Loginov, 2015. "Online Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-economic Development," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 14, pages 1-26, October.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Drobyshevsky Sergey & Turuntseva Marina & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Averkiev Vladimir & Shishkina Ekaterina & Florinskaya Yulia & Mkrtchian N. & S, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 24, pages 1-27, April.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 20, pages 1-26, February.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
- Sergey Drobyshevsky & Mikhail Khromov & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Mikhail Khromov & Sergey Drobyshevsky & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Natalia & Kiyutsevskaya Ann, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
- Drobyshevsky Sergey & Turuntseva Marina & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shishkina Ekaterina & Uzun Vasily & Flor, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 24, pages 1-27, April.
- Drobyshevsky Sergey & Turuntseva Marina & Bobylev Yuri & Rasenko O. & Bozhechkova Alexandra & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Khromov Mikhail & Averkiev Vladimir & Shagaida Nat, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 28, pages 1-28, June.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Idrisov Georgy & Bozhechkova Alexandra & Trunin Pavel & Khromov Mikhail & Tsukhlo Sergey & Goryunov Evgeny & Deryugin Alexander & Kaukin Andrey, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 25, pages 1-22, April.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Alexandra Bozhechkova & Alexander Knobel & Sergey Tsukhlo & Elena Grishina & Pavel Trunin & Alexander Firanchuk & Olga Berezinskaya, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 22, pages 1-27, March.
- Sergey Drobyshevsky & Marina Turuntseva & Michael Khromov & Yuri Bobylev & Arseny Mamedov & Evgenia Fomina & Viktoria Petrenko & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 19, pages 1-26, January.
- Idrisov Georgy & Bozhechkova Alexandra & Trunin Pavel & Khromov Mikhail & Tsukhlo Sergey & Goryunov Evgeny & Deryugin Alexander & Kaukin Andrey, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 25, pages 1-22, April.
- Loginov D. & Trunin Pavel & Knobel Alexander & Firanchuk Alexander & Goryunov Evgeny & Kiyutsevskaya Anna & Larionova M. & Sakharov A. & Shelepov A. & Avraamova A., 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 29, pages 1-26, June.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 32, pages 1-27, September.
- Arseny Mamedov & Evgenia Fomina & Mikhail Khromov & Andrei Kaukin & Natalia Shagaida & Natalia Zubarevich & Pavel Pavlov & Vasily Uzun, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 21, pages 1-30, February.
- Mikhail Khromov & Yuri Bobylev & Sergey Tsukhlo & E. Avraamova & D. Loginov & O. Rasenko & Ekaterina Ponomareva & Sergey Sudakov, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 23, pages 1-27, March.
- Firanchuk Alexander & Shagaida Natalia & Mamedov Arseny & Fomina Elena & Zubarevich Natalia, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 26, pages 1-27, May.
- Alexandra Bozhechkova & Alexander Knobel & Georgy Idrisov & Yuri Ponomarev & Sergey Tsukhlo & Pavel Trunin & Sergey Sudakov & Alexandra Burdyak & Elena Grishina, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 18, pages 1-26, December.
- Mikhail Khromov & Sergey Drobyshevsky & Maria Kazakova & Sergey Tsukhlo & Natalia Shagaida & Natalia Zubarevich, 2015. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development (In Russian), Gaidar Institute for Economic Policy, issue 17, pages 1-26, December.
- Bozhechkova Alexandra & Trunin Pavel & Grishina Elena & Khromov Mikhail & Tsukhlo Sergey & Deryugin Alexander & Burdyak Alexandra, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 31, pages 1-27, July.
- Arseny Mamedov & Evgenia Fomina & Alexandra Bozhechkova & Sergey Tsukhlo & Pavel Trunin & Victor Lyashok, 2016. "Online Monitoring of Russia's Economic Outlook," Monitoring of Russia's Economic Outlook. Trends and Challenges of Socio-Economic Development, Gaidar Institute for Economic Policy, issue 20, pages 1-22, February.
- Idrisov Georgy & Loginova D. & Knobel Alexander & Firanchuk Alexander & Tsukhlo Sergey & Uzun Vasily & Kaukin Andrey & Zubarevich Natalia, 2016.
"Online Monitoring of Russia's Economic Outlook,"
Monitoring of Russia'
- Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
- Nikolai Dokuchaev, 2002. "Pricing rule based on non-arbitrage arguments for random volatility and volatility smile," Papers math/0205120, arXiv.org.
- Lin, Shih-Kuei & Chang, Chia-Chien & Powers, Michael R., 2009. "The valuation of contingent capital with catastrophe risks," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 65-73, August.
- Abootaleb Shirvani & Stefan Mittnik & W. Brent Lindquist & Svetlozar T. Rachev, 2021. "Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes," Papers 2109.15051, arXiv.org, revised Aug 2023.
- Sylvia Frühwirth-Schnatter & Leopold Sögner, 2009. "Bayesian estimation of stochastic volatility models based on OU processes with marginal Gamma law," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 159-179, March.
- Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.
- Yen, Simon & Wang, Jai Jen, 2009. "Information-time based futures pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3826-3836.
- Yan, Dong & Lin, Sha & Hu, Zhihao & Yang, Ben-Zhang, 2022. "Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach," Chaos, Solitons & Fractals, Elsevier, vol. 163(C).
- Jean-Pierre Fouque & Tracey Andrew Tullie, 2002. "Variance reduction for Monte Carlo simulation in a stochastic volatility environment," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 24-30.
- Mauricio Contreras G. & Roberto Ortiz H, 2021. "Three little arbitrage theorems," Papers 2104.10187, arXiv.org.
- Dupont, Dominique Y., 2001. "Hedging Barrier Options: Current Methods and Alternatives," Economics Series 103, Institute for Advanced Studies.
- Sulima Anna, 2021. "The Absence of Arbitrage on the Complete Black-Scholes-Merton Regime-Switching Lévy Market," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 25(3), pages 72-84, September.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001.
- Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
- Jan Matas & Jan Pospíšil, 2023. "Robustness and sensitivity analyses of rough Volterra stochastic volatility models," Annals of Finance, Springer, vol. 19(4), pages 523-543, December.
- Liu, Chang & Chang, Chuo, 2021. "Combination of transition probability distribution and stable Lorentz distribution in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
- Raul Merino & Jan Posp'iv{s}il & Tom'av{s} Sobotka & Josep Vives, 2019. "Decomposition formula for jump diffusion models," Papers 1906.06930, arXiv.org.
- Jan Matas & Jan Posp'iv{s}il, 2021. "Robustness and sensitivity analyses for rough Volterra stochastic volatility models," Papers 2107.12462, arXiv.org, revised Jun 2023.
- Jin-Chuan Duan & Peter H. Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Papers (Old Series) 0619, Federal Reserve Bank of Cleveland.
- Pablo Olivares & Alexander Alvarez, 2014. "A Note on the Pricing of Basket Options Using Taylor Approximations," Papers 1404.3229, arXiv.org.
- Hideharu Funahashi, 2017. "Pricing derivatives with fractional volatility," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-28, March.
- Siem Jan Koopman & Eugenie Hol Uspensky, 2000. "The Stochastic Volatility in Mean Model," Tinbergen Institute Discussion Papers 00-024/4, Tinbergen Institute.
- Wang, Alan T., 2007. "Does implied volatility of currency futures option imply volatility of exchange rates?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 374(2), pages 773-782.
- Maria Elvira Mancino, 2001. "A Taylor Formula To Price And Hedge European Contingent Claims," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 603-620.
- Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
- Tom Doan, "undated". "RATS program to replicate Bollerslev-Mikkelson(1996) FIEGARCH models," Statistical Software Components RTZ00173, Boston College Department of Economics.
- Dan Pirjol & Lingjiong Zhu, 2018. "Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 289-331, March.
- Miccichè, S., 2016. "Understanding the determinants of volatility clustering in terms of stationary Markovian processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 186-197.
- Martin Gremm, 2015. "The Stress-Dependent Random Walk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-16, December.
- Saad Mouti, 2023. "Rough volatility: evidence from range volatility estimators," Papers 2312.01426, arXiv.org, revised Sep 2024.
- Jiawen Xu & Pierre Perron, 2023. "Forecasting in the presence of in-sample and out-of-sample breaks," Empirical Economics, Springer, vol. 64(6), pages 3001-3035, June.
- Mussa Juma & Min Cherng Lee & Seong Tah Chin & Kian Wah Liew, 2017. "Evaluation of variable annuity guarantees with the effect of jumps in the asset price process," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1326218-132, January.
- Siow Woon Jeng & Adem Kilicman, 2020. "Series Expansion and Fourth-Order Global Padé Approximation for a Rough Heston Solution," Mathematics, MDPI, vol. 8(11), pages 1-26, November.
- Siddiqi, Hammad, 2011. "Thinking by analogy, systematic risk, and option prices," MPRA Paper 31316, University Library of Munich, Germany.
- 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.
- Abir Sridi & Paul Bilokon, 2023. "Applying Deep Learning to Calibrate Stochastic Volatility Models," Papers 2309.07843, arXiv.org, revised Sep 2023.
- Zoran Stoiljkovic, 2023. "Applying Reinforcement Learning to Option Pricing and Hedging," Papers 2310.04336, arXiv.org.
- Fabio Fornari & Antonio Mele, 2001. "Volatility smiles and the information content of news," Applied Financial Economics, Taylor & Francis Journals, vol. 11(2), pages 179-186.
- Soosung Hwang & Steve E. Satchell & Pedro L. Valls Pereira, 2007. "How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 1002-1024, June.
- Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
- Yijuan Liang & Xiuchuan Xu, 2019. "Variance and Dimension Reduction Monte Carlo Method for Pricing European Multi-Asset Options with Stochastic Volatilities," Sustainability, MDPI, vol. 11(3), pages 1-21, February.
- Giulio, Cifarelli, 2004. "Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts," MPRA Paper 28655, University Library of Munich, Germany.
- Ledoit, Olivier & Santa-Clara, Pedro & Yan, Shu, 2002. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management qt7jp8f42t, Anderson Graduate School of Management, UCLA.
- Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147, Edward Elgar Publishing.
- Calcagnini, Giorgio & Saltari, Enrico, 2000. "Real and Financial Uncertainty and Investment Decisions," Journal of Macroeconomics, Elsevier, vol. 22(3), pages 491-514, July.
- Donald Aingworth & Sanjiv Das & Rajeev Motwani, 2006. "A simple approach for pricing equity options with Markov switching state variables," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 95-105.
- Michael Schröder, 2015. "Discrete-Time Approximation of Functionals in Models of Ornstein–Uhlenbeck Type, with Applications to Finance," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 285-313, June.
- Nian Yao & Zhiming Yang, 2017. "Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model," Papers 1704.08234, arXiv.org.
- Wajih Abbasi & Petr H jek & Diana Ismailova & Saira Yessimzhanova & Zouhaier Ben Khelifa & Kholnazar Amonov, 2016. "Kou Jump Diffusion Model: An Application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 Index Options," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1918-1929.
- Campa, Jose M. & Chang, P. H. Kevin & Reider, Robert L., 1998. "Implied exchange rate distributions: evidence from OTC option markets1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 117-160, February.
- Y. Esmaeelzade Aghdam & H. Mesgarani & A. Amin & J. F. Gómez-Aguilar, 2024. "An Efficient Numerical Scheme to Approach the Time Fractional Black–Scholes Model Using Orthogonal Gegenbauer Polynomials," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 211-224, July.
- Fuzhou Gong & Ting Wang, 2022. "The Variable Volatility Elasticity Model from Commodity Markets," Papers 2203.09177, arXiv.org.
- Kaehler, Jürgen & Marnet, Volker, 1993. "Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options," ZEW Discussion Papers 93-03, ZEW - Leibniz Centre for European Economic Research.
- Caravenna, Francesco & Corbetta, Jacopo, 2018. "The asymptotic smile of a multiscaling stochastic volatility model," Stochastic Processes and their Applications, Elsevier, vol. 128(3), pages 1034-1071.
- Alexandre F. Roch, 2008. "Liquidity Risk, Price Impacts and the Replication Problem," Papers 0812.2440, arXiv.org, revised Dec 2009.
- Bernardo Spagnolo & Davide Valenti, 2008. "Volatility Effects on the Escape Time in Financial Market Models," Papers 0810.1625, arXiv.org.
- Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre.
- Carl Chiarella & Oh-Kang Kwon, 2000. "A Complete Stochastic Volatility Model in the HJM Framework," Research Paper Series 43, Quantitative Finance Research Centre, University of Technology, Sydney.
- Peter Buchen & Hamish Malloch, 2014. "CLA's, PLA's and a new method for pricing general passport options," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1201-1209, July.
- Bruce Mizrach, 2006. "The Enron Bankruptcy: When did the options market in Enron lose it’s smirk?," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 365-382, December.
- Yan, Tingjin & Wong, Hoi Ying, 2020. "Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 105-119.
- James Doran & Ehud Ronn, 2005. "The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets," Review of Derivatives Research, Springer, vol. 8(3), pages 177-198, December.
- Y. Esmaeelzade Aghdam & H. Mesgarani & A. Adl & B. Farnam, 2023. "The Convergence Investigation of a Numerical Scheme for the Tempered Fractional Black-Scholes Model Arising European Double Barrier Option," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 513-528, February.
- Kohlmann, Michael & Tang, Shanjian, 2000. "Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging," CoFE Discussion Papers 00/26, University of Konstanz, Center of Finance and Econometrics (CoFE).
- repec:wyi:journl:002113 is not listed on IDEAS
- Steven Kou, 2000. "A Jump Diffusion Model for Option Pricing with Three Properties: Leptokurtic Feature, Volatility Smile, and Analytical Tractability," Econometric Society World Congress 2000 Contributed Papers 0062, Econometric Society.
- Siddiqi, Hammad, 2014. "Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew: Theory and Empirical Evidence," Risk and Sustainable Management Group Working Papers 177302, University of Queensland, School of Economics.
- Vicky Henderson & David Hobson, 2001. "Passport options with stochastic volatility," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(2), pages 97-118.
- Lee, Woojoo & Lim, Johan & Lee, Youngjo & del Castillo, Joan, 2011. "The hierarchical-likelihood approach to autoregressive stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 248-260, January.
- Chen, Ding & Guo, Biao & Zhou, Guofu, 2023. "Firm fundamentals and the cross-section of implied volatility shapes," Journal of Financial Markets, Elsevier, vol. 63(C).
- Chen Xiaoshan & Song Qingshuo, 2013. "American option of stochastic volatility model with negative Fichera function on degenerate boundary," Papers 1306.0345, arXiv.org.
- Carey, Alexander, 2008. "Natural volatility and option pricing," MPRA Paper 6709, University Library of Munich, Germany.
- Zilan Liu & Yijun Wang & Ya Huang & Jieming Zhou, 2022. "Optimal Time-Consistent Investment and Premium Control Strategies for Insurers with Constraint under the Heston Model," Mathematics, MDPI, vol. 10(7), pages 1-22, March.
- Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
- Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
- Rodrigue Oeuvray & Pascal Junod, 2013. "On time scaling of semivariance in a jump-diffusion process," Papers 1311.1122, arXiv.org.
- M. Avellaneda & A. Levy & A. ParAS, 1995. "Pricing and hedging derivative securities in markets with uncertain volatilities," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 73-88.
- Siddiqi, Hammad, 2013. "Analogy Making, Option Prices, and Implied Volatility," MPRA Paper 48862, University Library of Munich, Germany.
- Soohan Kim & Seok-Bae Yun & Hyeong-Ohk Bae & Muhyun Lee & Youngjoon Hong, 2022. "Physics-Informed Convolutional Transformer for Predicting Volatility Surface," Papers 2209.10771, arXiv.org, revised Nov 2023.
- Sergey Nasekin & Wolfgang Karl Hardle, 2020. "Model-driven statistical arbitrage on LETF option markets," Papers 2009.09713, arXiv.org.
- Michael S. Johannes & Nicholas G. Polson & Jonathan R. Stroud, 2009. "Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2559-2599, July.
- Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
- Casassus, Jaime & Collin-Dufresne, Pierre & Goldstein, Bob, 2005. "Unspanned stochastic volatility and fixed income derivatives pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2723-2749, November.
- Thomas C. Chiang & Zhuo Qiao & Wing-Keung Wong, 2010. "New evidence on the relation between return volatility and trading volume," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(5), pages 502-515.
- El Euch Omar & Fukasawa Masaaki & Rosenbaum Mathieu, 2016. "The microstructural foundations of leverage effect and rough volatility," Papers 1609.05177, arXiv.org.
- Gurdip S. Bakshi & Zhiwu Chen, "undated". "An Alternative Model for Contingent Claims," Research in Financial Economics 9504, Ohio State University.
- Yicun Li & Yuanyang Teng, 2022. "Estimation of the Hurst Parameter in Spot Volatility," Mathematics, MDPI, vol. 10(10), pages 1-26, May.
- René Garcia & Richard Luger & Eric Renault, 2001. "Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : Nouvelle version Février 2002)," CIRANO Working Papers 2001s-02, CIRANO.
- Kaehler, Jürgen, 1993. "Forecasting volatility and option pricing for exchange-rate dynamics: a comparison of models," ZEW Discussion Papers 93-19, ZEW - Leibniz Centre for European Economic Research.
- Bong-Gyu Jang & Kum-Hwan Roh, 2009. "Valuing qualitative options with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 819-825.
- Buchbinder, G.L. & Chistilin, K.M., 2007. "Multiple time scales and the empirical models for stochastic volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 168-178.
- Sergii Kuchuk-Iatsenko & Yuliya Mishura, 2015. "Pricing the European call option in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Exact formulas," Papers 1510.01848, arXiv.org.
- Contreras, Javier & Rodríguez, Yeny E., 2014. "GARCH-based put option valuation to maximize benefit of wind investors," Applied Energy, Elsevier, vol. 136(C), pages 259-268.
- Viktor Bezborodov & Luca Persio & Yuliya Mishura, 2019. "Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth," Methodology and Computing in Applied Probability, Springer, vol. 21(1), pages 331-366, March.
- Lancelot F. James & Dohyun Kim & Zhiyuan Zhang, 2013. "Exact simulation pricing with Gamma processes and their extensions," Papers 1310.6526, arXiv.org, revised Nov 2013.
- Lars Stentoft, 2008. "Option Pricing using Realized Volatility," CREATES Research Papers 2008-13, Department of Economics and Business Economics, Aarhus University.
- Maciej Augustyniak & Alexandru Badescu, 2021. "On the computation of hedging strategies in affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 710-735, May.
- Baaquie, Belal E. & Du, Xin & Bhanap, Jitendra, 2014. "Option pricing: Stock price, stock velocity and the acceleration Lagrangian," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 564-581.
- Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.
- Hu, May & Park, Jason, 2019. "Valuation of collateralized debt obligations: An equilibrium model," Economic Modelling, Elsevier, vol. 82(C), pages 119-135.
- Linden, Mikael, 2005. "Estimating the distribution of volatility of realized stock returns and exchange rate changes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 352(2), pages 573-583.
- A. E. Biondo & A. Pluchino & A. Rapisarda & D. Helbing, 2013. "Are random trading strategies more successful than technical ones?," Papers 1303.4351, arXiv.org, revised Jul 2013.
- Lin, Zih-Ying & Chang, Chuang-Chang & Wang, Yaw-Huei, 2018. "The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 152-165.
- Nagel, Hartmut & Schöbel, Rainer, 1998. "Can trading volume explain option prices?," Tübinger Diskussionsbeiträge 128, University of Tübingen, School of Business and Economics.
- Anna Pajor, 2008. "Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index under Stochastic Volatility and Stochastic Interest Rates," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 147-154.
- Raggi, Davide & Bordignon, Silvano, 2006. "Comparing stochastic volatility models through Monte Carlo simulations," Computational Statistics & Data Analysis, Elsevier, vol. 50(7), pages 1678-1699, April.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Grzegorz Krzy.zanowski & Marcin Magdziarz, 2020. "A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model," Papers 2003.05358, arXiv.org, revised Dec 2020.
- Elisa Alòs, 2004. "A generalization of Hull and White formula and applications to option pricing approximation," Economics Working Papers 740, Department of Economics and Business, Universitat Pompeu Fabra.
- Guo, Chen, 1998. "Option pricing with stochastic volatility following a finite Markov Chain," International Review of Economics & Finance, Elsevier, vol. 7(4), pages 407-415.
- Elisa Alòs & Jorge León & Josep Vives, 2007. "On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility," Finance and Stochastics, Springer, vol. 11(4), pages 571-589, October.
- James Chong, 2004. "Options trading profits from correlation forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1075-1085.
- Bronka Rzepkowski, 2000. "The Expectations of Hong Kong Dollar Devaluation and Their Determinants," Working Papers 2000-04, CEPII research center.
- Anna Pajor, 2009. "A Note on Option Pricing with the Use of Discrete-Time Stochastic Volatility Processes," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(1), pages 71-81, March.
- A. Bensoussan & M. Crouhy & D. Galai, 1995. "Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 43-60.
- Plíhal, Tomáš & Lyócsa, Štefan, 2021. "Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 811-829.
- Perry Sadorsky, 2005. "Stochastic volatility forecasting and risk management," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 121-135.
- Siddiqi, Hammad, 2015. "Anchoring Heuristic in Option Pricing," MPRA Paper 63218, University Library of Munich, Germany.
- Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
- Florescu, Ionuţ & Pãsãricã, Cristian Gabriel, 2009. "A study about the existence of the leverage effect in stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(4), pages 419-432.
- Vipul Kumar Singh, 2013. "Effectiveness of volatility models in option pricing: evidence from recent financial upheavals," Journal of Advances in Management Research, Emerald Group Publishing Limited, vol. 10(3), pages 352-375, October.
- Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 4(2), pages 97-124, May.
- Zhao, Hui & Rong, Ximin & Zhao, Yonggan, 2013. "Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 504-514.
- Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, July-Dece.
- André Schöne, 2010. "Zum Informationsgehalt der Volatilitätsindizes VDAX und VDAX-New der Deutsche Börse AG," Schmalenbach Journal of Business Research, Springer, vol. 62(6), pages 625-661, September.
- Yun, Jaeho, 2011. "The role of time-varying jump risk premia in pricing stock index options," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 833-846.
- Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2011, January-A.
- Marco Avellaneda & Antonio ParAS, 1996. "Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(1), pages 21-52.
- Robertson, Scott, 2010. "Sample path Large Deviations and optimal importance sampling for stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 120(1), pages 66-83, January.
- Wang, Song, 2024. "Pricing European call options with interval-valued volatility and interest rate," Applied Mathematics and Computation, Elsevier, vol. 474(C).
- Yang Shen, 2020. "Effect of Variance Swap in Hedging Volatility Risk," Risks, MDPI, vol. 8(3), pages 1-34, July.
- David S. Bates, 1999. "Financial Markets' Assessment of EMU," NBER Working Papers 6874, National Bureau of Economic Research, Inc.
- Cornelis Los, 2004. "Measuring the Degree of Efficiency of Financial Market," Finance 0411003, University Library of Munich, Germany.
- Mauricio Contreras & Alejandro Llanquihu'en & Marcelo Villena, 2015. "On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry," Papers 1510.02768, arXiv.org.
- Jacek Jakubowski & Maciej Wisniewolski, 2009. "Linear stochastic volatility models," Papers 0909.4765, arXiv.org, revised May 2013.
- Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
- Adi Ben-Meir & Jeremy Schiff, 2012. "The Variance of Standard Option Returns," Papers 1204.3452, arXiv.org.
- Nyoumbi, Christelle Dleuna & Tambue, Antoine, 2023. "Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 207(C), pages 388-416.
- David Liu, 2020. "Markov modulated jump-diffusions for currency options when regime switching risk is priced," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-26, February.
- Maciak, Matúš, 2021. "Quantile LASSO in arbitrage-free option markets," Econometrics and Statistics, Elsevier, vol. 18(C), pages 106-116.
- Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.
- Mohammad Abedi & Daniel Bartolomeo, 2019. "Entropic Dynamics of Exchange Rates and Options," Papers 1908.06358, arXiv.org.
- Alan E. H. Speight & David G. McMillan, 2004. "Daily volatility forecasts: reassessing the performance of GARCH models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 449-460.
- Chen, Song Xi & Xu, Zheng, 2014. "On implied volatility for options—Some reasons to smile and more to correct," Journal of Econometrics, Elsevier, vol. 179(1), pages 1-15.
- Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 259-292.
- Miccichè, S., 2023. "A numerical recipe for the computation of stationary stochastic processes’ autocorrelation function," Chaos, Solitons & Fractals, Elsevier, vol. 171(C).