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Financial markets with volatility uncertainty

Citations

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Cited by:

  1. Gloria Gonzalez‐Rivera & Yun Luo & Esther Ruiz, 2020. "Prediction regions for interval‐valued time series," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(4), pages 373-390, June.
  2. Patrick Beissner, 2019. "Coherent-Price Systems and Uncertainty-Neutral Valuation," Risks, MDPI, vol. 7(3), pages 1-18, September.
  3. Gloria Gonzalez-Rivera & Yun Luo & Esther Ruiz, 2018. "Prediction Regions for Interval-valued Time Series," Working Papers 201817, University of California at Riverside, Department of Economics.
  4. Patrick Beissner & Frank Riedel, 2018. "Non-implementability of Arrow–Debreu equilibria by continuous trading under volatility uncertainty," Finance and Stochastics, Springer, vol. 22(3), pages 603-620, July.
  5. Chandranath Amarasekara & Bernard Njindan Iyke & Paresh Kumar Narayan, 2022. "The role of R&D and economic policy uncertainty in Sri Lanka’s economic growth," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
  6. Tolulope Fadina & Thorsten Schmidt, 2019. "Default Ambiguity," Risks, MDPI, vol. 7(2), pages 1-17, June.
  7. Trucíos, Carlos & Ruiz Ortega, Esther & Hotta, Luiz, 2015. "Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk," DES - Working Papers. Statistics and Econometrics. WS ws1523, Universidad Carlos III de Madrid. Departamento de Estadística.
  8. Yuecai Han & Chunyang Liu, 2018. "Asian Option Pricing under Uncertain Volatility Model," Papers 1808.00656, arXiv.org.
  9. Changhong Guo & Shaomei Fang & Yong He, 2023. "Derivation and Application of Some Fractional Black–Scholes Equations Driven by Fractional G-Brownian Motion," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1681-1705, April.
  10. Hölzermann, Julian, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Center for Mathematical Economics Working Papers 633, Center for Mathematical Economics, Bielefeld University.
  11. Julian Holzermann, 2018. "The Hull-White Model under Volatility Uncertainty," Papers 1808.03463, arXiv.org, revised Jan 2021.
  12. Matteo Burzoni & Frank Riedel & H. Mete Soner, 2021. "Viability and Arbitrage Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 89(3), pages 1207-1234, May.
  13. Biagini, Francesca & Mancin, Jacopo & Brandis, Thilo Meyer, 2019. "Robust mean–variance hedging via G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 129(4), pages 1287-1325.
  14. Francesca Biagini & Katharina Oberpriller, 2020. "Reduced-form setting under model uncertainty with non-linear affine processes," Papers 2006.14307, arXiv.org, revised Jun 2020.
  15. Shige Peng & Huilin Zhang, 2022. "Wong–Zakai Approximation for Stochastic Differential Equations Driven by G-Brownian Motion," Journal of Theoretical Probability, Springer, vol. 35(1), pages 410-425, March.
  16. Francesca Biagini & Jacopo Mancin, 2016. "Robust Financial Bubbles," Papers 1602.05471, arXiv.org.
  17. Linhai Zhao & Ehsan Rasoulinezhad & Tapan Sarker & Farhad Taghizadeh-Hesary, 2023. "Effects of COVID-19 on Global Financial Markets: Evidence from Qualitative Research for Developed and Developing Economies," The European Journal of Development Research, Palgrave Macmillan;European Association of Development Research and Training Institutes (EADI), vol. 35(1), pages 148-166, February.
  18. Mateusz Buczyński & Marcin Chlebus, 2021. "GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks," Working Papers 2021-08, Faculty of Economic Sciences, University of Warsaw.
  19. Qian Lin, 2015. "Dynamic indifference pricing via the G-expectation," Papers 1503.08628, arXiv.org, revised Sep 2020.
  20. Hölzermann, Julian & Lin, Qian, 2019. "Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion," Center for Mathematical Economics Working Papers 613, Center for Mathematical Economics, Bielefeld University.
  21. Max Nendel, 2021. "Markov chains under nonlinear expectation," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 474-507, January.
  22. Francesca Biagini & Jacopo Mancin & Thilo Meyer Brandis, 2016. "Robust Mean-Variance Hedging via G-Expectation," Papers 1602.05484, arXiv.org, revised Aug 2016.
  23. Changhong Guo & Shaomei Fang & Yong He, 2023. "A Generalized Stochastic Process: Fractional G-Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-34, March.
  24. Julian Holzermann, 2020. "Pricing Interest Rate Derivatives under Volatility Uncertainty," Papers 2003.04606, arXiv.org, revised Nov 2021.
  25. Tolulope Fadina & Thorsten Schmidt, 2018. "Ambiguity in defaultable term structure models," Papers 1801.10498, arXiv.org, revised Apr 2018.
  26. Hölzermann, Julian, 2018. "Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility Uncertainty," Center for Mathematical Economics Working Papers 582, Center for Mathematical Economics, Bielefeld University.
  27. Julian Holzermann, 2019. "Term Structure Modeling under Volatility Uncertainty," Papers 1904.02930, arXiv.org, revised Sep 2021.
  28. Nendel, Max & Röckner, Michael, 2019. "Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems," Center for Mathematical Economics Working Papers 618, Center for Mathematical Economics, Bielefeld University.
  29. Weidong Tian & Junya Jiang & Weidong Tian, 2017. "Model Uncertainty Effect on Asset Prices," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 205-233, June.
  30. Xinpeng Li & Yiqing Lin, 2017. "Generalized Wasserstein Distance and Weak Convergence of Sublinear Expectations," Journal of Theoretical Probability, Springer, vol. 30(2), pages 581-593, June.
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