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Pricing foreign currency options with stochastic volatility
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- Siddiqi, Hammad, 2014. "Analogy Making and the Structure of Implied Volatility Skew," MPRA Paper 60921, University Library of Munich, Germany.
- 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.
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"Integrated nested Laplace approximations for threshold stochastic volatility models,"
Econometrics and Statistics, Elsevier, vol. 30(C), pages 15-35.
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"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.
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"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-.
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"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.
- Berkowitz Jeremy, 2009. "On Justifications for the ad hoc Black-Scholes Method of Option Pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-27, December.
- 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.
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"Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing,"
Journal of Econometrics, Elsevier, vol. 187(2), pages 436-446.
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- 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.
- 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.
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Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2218-2231, December.
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"The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications,"
Econometrics
0508015, University Library of Munich, Germany.
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"State-controlled companies and political risk: Evidence from the 2014 Brazilian election,"
Journal of Public Economics, Elsevier, vol. 159(C), pages 66-78.
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- 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.
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- 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.
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Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2095-2114.
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"Block sampler and posterior mode estimation for asymmetric stochastic volatility models,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2892-2910, February.
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"Option pricing and spikes in volatility: theoretical and empirical analysis,"
Money Macro and Finance (MMF) Research Group Conference 2005
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"Which continuous-time model is most appropriate for exchange rates?,"
Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 256-268.
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"Deciding between GARCH and stochastic volatility via strong decision rules,"
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2006042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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"Stochastic Volatility: Univariate and Multivariate Extensions,"
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Finance and Stochastics, Springer, vol. 4(2), pages 189-207.
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