Pages that link to "Item:Q2729107"
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The following pages link to Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion) (Q2729107):
Displaying 50 items.
- On simulation of tempered stable random variates (Q61358) (← links)
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
- Testing normality: a GMM approach (Q261889) (← links)
- Superreplication when trading at market indifference prices (Q261922) (← links)
- Forward pricing in the shipping freight market (Q263051) (← links)
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes (Q265662) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan (Q289216) (← links)
- Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Option valuation with conditional skewness (Q292018) (← links)
- Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes (Q297142) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data (Q301970) (← links)
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price (Q308366) (← links)
- Modeling and forecasting exchange rate volatility in time-frequency domain (Q322677) (← links)
- An investigation of model risk in a market with jumps and stochastic volatility (Q323232) (← links)
- Hypotheses testing about the drift parameter in linear stochastic differential equation driven by stable processes (Q333541) (← links)
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (Q358131) (← links)
- Capturing parameter risk with convex risk measures (Q362040) (← links)
- Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency (Q367001) (← links)
- Functional regular variation of Lévy-driven multivariate mixed moving average processes (Q385628) (← links)
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
- Model verification for Lévy-driven Ornstein-Uhlenbeck processes (Q405320) (← links)
- Convolution power kernels for density estimation (Q419268) (← links)
- V-uniform ergodicity of a continuous time asymmetric power GARCH(1,1) model (Q434725) (← links)
- A finite element discretization method for option pricing with the Bates model (Q435146) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Realized Laplace transforms for pure-jump semimartingales (Q447866) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- Stochastic volatility with leverage: fast and efficient likelihood inference (Q451250) (← links)
- Recent results in the theory and applications of CARMA processes (Q457274) (← links)
- On some dependence structures for multidimensional Lévy driven moving averages (Q457632) (← links)
- Robust model selection for a semimartingale continuous time regression from discrete data (Q468742) (← links)
- Stochastic volatility and stochastic leverage (Q470516) (← links)
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Affine fractional stochastic volatility models (Q470522) (← links)
- A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- Infinite dimensional Ornstein-Uhlenbeck processes driven by Lévy processes (Q491376) (← links)
- Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters (Q491690) (← links)
- A robust factor analysis model using the restricted skew-\(t\) distribution (Q497859) (← links)
- R-estimation in semiparametric dynamic location-scale models (Q503558) (← links)
- Intermittency of superpositions of Ornstein-Uhlenbeck type processes (Q505564) (← links)
- Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065) (← links)
- On the conditional small ball property of multivariate Lévy-driven moving average processes (Q511124) (← links)
- Generalized fractional Laplace motion (Q514123) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
