The following pages link to (Q5290921):
Displaying 47 items.
- Inference theory for volatility functional dependencies (Q284294) (← links)
- A jump model for fads in asset prices under asymmetric information (Q299877) (← links)
- Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) (← links)
- Learning, confidence, and option prices (Q494363) (← links)
- R-estimation in semiparametric dynamic location-scale models (Q503558) (← links)
- Identification and estimation of Gaussian affine term structure models (Q527947) (← links)
- Estimation of a structural stochastic volatility model of asset pricing (Q540665) (← links)
- Yield curve in an estimated nonlinear macro model (Q550835) (← links)
- Robust portfolio optimization with a generalized expected utility model under ambiguity (Q665830) (← links)
- Rational bubbles. A test (Q690172) (← links)
- The affine arbitrage-free class of Nelson-Siegel term structure models (Q737987) (← links)
- Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (Q1615808) (← links)
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models (Q1695565) (← links)
- Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
- A two-step indirect inference approach to estimate the long-run risk asset pricing model (Q1754508) (← links)
- Finite sample properties of test of Epstein-Zin asset pricing model (Q1808559) (← links)
- Capital asset pricing models revisited: evidence from errors in variables (Q1934082) (← links)
- Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations (Q1984645) (← links)
- Reexamining time-varying bond risk premia in the post-financial crisis era (Q2007866) (← links)
- Empirical asset pricing with multi-period disaster risk: a simulation-based approach (Q2024452) (← links)
- Arbitrage-free Nelson-Siegel model for multiple yield curves (Q2120601) (← links)
- Nonparametric jump variation measures from options (Q2171999) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- Simulated likelihood estimators for discretely observed jump-diffusions (Q2280574) (← links)
- Nonparametric spot volatility from options (Q2299587) (← links)
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models (Q2343755) (← links)
- A non-linear dynamic model of the variance risk premium (Q2347731) (← links)
- Volatility activity: specification and estimation (Q2512607) (← links)
- Identifying and estimating efficient markets models with contemporaneous instruments (Q2641060) (← links)
- BILINEAR TERM STRUCTURE MODEL (Q3069955) (← links)
- (Q3529860) (← links)
- (Q3607568) (← links)
- An arbitrage‐free generalized Nelson–Siegel term structure model (Q3653355) (← links)
- Asset Pricing Specification Errors and Performance Evaluation (Q4503059) (← links)
- (Q4794153) (← links)
- EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY FUNCTIONALS UNDER GENERAL VOLATILITY DYNAMICS (Q4959130) (← links)
- A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
- A Dynamic CAPM with Supply Effect: Theory and Empirical Results (Q5139538) (← links)
- MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS (Q5190049) (← links)
- Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance (Q6090598) (← links)
- Do fundamentals shape the price response? A critical assessment of linear impact models (Q6158379) (← links)
- Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section (Q6616601) (← links)
- Restrictions on Risk Prices in Dynamic Term Structure Models (Q6623174) (← links)
- Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models (Q6640252) (← links)
- Estimating option pricing models using a characteristic function-based linear state space representation (Q6664638) (← links)
