Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model
type: Item
instance of: scholarly article
title: Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model
zbMATH Open document ID: 1453.62089
author: Gianna Figà-Talamanca
published in: Computational Statistics and Data Analysis
publication date: 2010-03-30T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5687920
MaRDI profile type: Publication
full work available at URL: j.csda.2008.08.024
OpenAlex ID: W2164418150
cites work: An option pricing formula for the GARCH diffusion model
cites work: Q2738733
cites work: Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
cites work: The pricing of options and corporate liabilities
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Empirical properties of asset returns: stylized facts and statistical issues
cites work: MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
cites work: Q5512461
cites work: Stochastic volatility models as hidden Markov models and statistical applications
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: On the applicability of stochastic volatility models
cites work: Sequential calibration of options
cites work: ARCH models as diffusion approximations
cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach
DOI: 10.1016/J.CSDA.2008.08.024
description: scientific article; zbMATH DE number 5687920