5 Stochastic volatility
暂无分享,去创建一个
[1] F. Canova. Detrending and business cycle facts , 1998 .
[2] J. Zakoian,et al. QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES , 1998, Econometric Theory.
[3] P. Bossaerts,et al. Local parametric analysis of hedging in discrete time , 1997 .
[4] C. Goodhart,et al. High frequency data in financial markets: Issues and applications , 1997 .
[5] A. Gallant,et al. ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES , 1997, Macroeconomic Dynamics.
[6] L. Rogers. Arbitrage with Fractional Brownian Motion , 1997 .
[7] N. Shephard,et al. Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns , 1996 .
[8] R. Baillie,et al. Fractionally integrated generalized autoregressive conditional heteroskedasticity , 1996 .
[9] Bent E. Sørensen,et al. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study , 1996 .
[10] F. Comte,et al. Long memory continuous time models , 1996 .
[11] T. Bollerslev,et al. MODELING AND PRICING LONG- MEMORY IN STOCK MARKET VOLATILITY , 1996 .
[12] George Tauchen. New Minimum Chi-Square Methods in Empirical Finance , 1996 .
[13] T. Andersen. Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility , 1996 .
[14] A. Gallant,et al. Which Moments to Match? , 1995, Econometric Theory.
[15] R. Engle,et al. 11 – Estimating Diffusion Models of Stochastic Volatility , 1996 .
[16] J. Rochet,et al. DYNAMIC SPANNING: ARE OPTIONS AN APPROPRIATE INSTRUMENT? , 1996 .
[17] W. Härdle,et al. Foreign Exchange Rates Have Surprising Volatility , 1996 .
[18] É. Renault. Econometric Models of Option Pricing Errors , 1996 .
[19] N. Touzi,et al. Calibrarion By Simulation for Small Sample Bias Correction , 1996 .
[20] Christian Gourieroux,et al. Simulation-based econometric methods , 1996 .
[21] N. Shephard. Statistical aspects of ARCH and stochastic volatility , 1996 .
[22] F. Breidt,et al. Improved Quasi-Maximum Likelihood Estimation for Stochastic Volatility Models , 1996 .
[23] Yacine Aït-Sahalia. Nonparametric Pricing of Interest Rate Derivative Securities , 1995 .
[24] F. Foster,et al. Can Speculative Trading Explain the Volume–Volatility Relation? , 1995 .
[25] C. Gouriéroux,et al. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets , 1995 .
[26] J. Zakoian,et al. Testing for continuous-time models of the short-term interest rate , 1995 .
[27] B. Hansen. REGRESSION WITH NONSTATIONARY VOLATILITY , 1995 .
[28] Philippe Jorion. Predicting Volatility in the Foreign Exchange Market , 1995 .
[29] J. Campa,et al. Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options , 1995 .
[30] C. Gouriéroux,et al. Série Scientifique Scientific Series N o 95 s-32 MARKET TIME AND ASSET PRICE MOVEMENTS THEORY AND ESTIMATION , 1995 .
[31] David S. Bates. Testing Option Pricing Models , 1995 .
[32] J. Duan. THE GARCH OPTION PRICING MODEL , 1995 .
[33] F. Diebold,et al. Modeling Volatility Dynamics , 1995 .
[34] E. Ghysels,et al. Simulation Based Inference in Moving Average Models , 1995 .
[35] John Geweke,et al. Monte carlo simulation and numerical integration , 1995 .
[36] E. Platen,et al. On Smile and Skewness , 1994 .
[37] P. Robinson. Efficient Tests of Nonstationary Hypotheses , 1994 .
[38] E. Ghysels,et al. Bayesian Analysis of Stochastic Volatility Models: Comment , 1994 .
[39] Peter E. Rossi,et al. Bayesian Analysis of Stochastic Volatility Models , 1994 .
[40] Jón Dańıelsson. Stochastic volatility in asset prices estimation with simulated maximum likelihood , 1994 .
[41] R. Engle,et al. Forecasting Volatility and Option Prices of the S&P 500 Index , 1994 .
[42] R. Mahieu,et al. Stochastic volatility and the distribution of exchange rate news , 1994 .
[43] Daniel B. Nelson. Asymptotic Filtering Theory for Multivariate Arch Models , 1994 .
[44] R. Mahieu,et al. Neglected Common Factors in Exchange Rate Volatility , 1994 .
[45] R. Engle,et al. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility , 1994 .
[46] E. Ruiz. Quasi-maximum likelihood estimation of stochastic volatility models , 1994 .
[47] F. Diebold,et al. On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean , 1994 .
[48] Stephen L Taylor,et al. MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY , 1994 .
[49] J. Duan. MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT , 1994 .
[50] Dean P. Foster,et al. Asypmtotic Filtering Theory for Univariate Arch Models , 1994 .
[51] Stephen Michael Taylor,et al. The Term Structure of Volatility Implied by Foreign Exchange Options , 1994, Journal of Financial and Quantitative Analysis.
[52] A. Kemna,et al. Analysis of the Term Structure of Implied Volatilities , 1994, Journal of Financial and Quantitative Analysis.
[53] Jiang Wang,et al. A Model of Competitive Stock Trading Volume , 1994, Journal of Political Economy.
[54] Toshiaki Watanabe. The time series properties of returns, volatility, and trading volume in financial markets , 1994 .
[55] N. Shephard,et al. Multivariate stochastic variance models , 1994 .
[56] C. Gouriéroux,et al. Estimation of the term structure from bond data , 1994 .
[57] Stephen L Taylor,et al. The magnitude of implied volatility smiles: theory and empirical evidence for exchange rates , 1994 .
[58] T. Andersen. Stochastic Autoregressive Volatility: A Framework for Volatility Modeling , 1994 .
[59] C. Sims,et al. Estimation of continuous-time models in finance , 1994 .
[60] E. Ghysels,et al. Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects , 1994 .
[61] J. Wooldridge. Estimation and inference for dependent processes , 1994 .
[62] Thomas M. Stoker,et al. Goodness-of-fit tests for regression using kernel methods , 1994 .
[63] J. Richard,et al. Accelerated gaussian importance sampler with application to dynamic latent variable models , 1993 .
[64] Anil K. Bera,et al. ARCH Models: Properties, Estimation and Testing , 1993 .
[65] A. Harvey,et al. Forecasting Hourly Electricity Demand Using Time-Varying Splines , 1993 .
[66] David S. Bates. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Thephlx Deutschemark Options , 1993 .
[67] L. Ederington,et al. How Markets Process Information: News Releases and Volatility , 1993 .
[68] Alain Monfort,et al. Simulation-based inference: A survey with special reference to panel data models , 1993 .
[69] L. Hansen,et al. Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes , 1993 .
[70] M. Dacorogna,et al. A geographical model for the daily and weekly seasonal volatility in the foreign exchange market , 1993 .
[71] A. Harvey,et al. Detrending, stylized facts and the business cycle , 1993 .
[72] Kaushik I. Amin,et al. Option Valuation with Systematic Stochastic Volatility , 1993 .
[73] Stephen Figlewski,et al. The Informational Content of Implied Volatility , 1993 .
[74] T. Nijman,et al. Temporal Aggregation of GARCH Processes. , 1993 .
[75] Peter E. Rossi,et al. Nonlinear dynamic structures , 1993 .
[76] C. Granger,et al. A long memory property of stock market returns and a new model , 1993 .
[77] F. Diz,et al. Do the options markets really overreact , 1993 .
[78] Christopher G. Lamoureux,et al. Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities , 1993 .
[79] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[80] S. Viswanathan,et al. The Effect of Public Information and Competition on Trading Volume and Price Volatility , 1993 .
[81] Tim Bollerslev,et al. COMMON PERSISTENCE IN CONDITIONAL VARIANCES , 1993 .
[82] Aamir M. Sheikh. The Behavior of Volatility Expectations and Their Effects on Expected Returns , 1993 .
[83] D. Andrews. Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models , 1993 .
[84] A. Hall,et al. 15 Some aspects of generalized method of moments estimation , 1993 .
[85] A. Gallant,et al. A NONPARAMETRIC APPROACH TO NONLINEAR TIME SERIES ANALYSIS: ESTIMATION AND SIMULATION* , 1993 .
[86] Masao Ogaki,et al. 17 Generalized method of moments: Econometric applications , 1993 .
[87] Hahn-Shik Lee,et al. On the (mis)specification of seasonality and its consequences: An empirical investigation with US data , 1993 .
[88] Fallaw Sowell. Maximum likelihood estimation of stationary univariate fractionally integrated time series models , 1992 .
[89] Maureen O'Hara,et al. Time and the Process of Security Price Adjustment , 1992 .
[90] R. Engle,et al. Implied ARCH models from options prices , 1992 .
[91] A. Harvey,et al. Unobserved component time series models with Arch disturbances , 1992 .
[92] Dean P. Foster,et al. Filtering and Forecasting with Misspecified Arch Models Ii: Making the Right Forecast with the Wrong Model , 1992 .
[93] T. Day,et al. Stock market volatility and the information content of stock index options , 1992 .
[94] Peter E. Rossi,et al. Stock Prices and Volume , 1992 .
[95] Campbell R. Harvey,et al. Market volatility prediction and the efficiency of the S & P 100 index option market , 1992 .
[96] D. Duffie. Dynamic Asset Pricing Theory , 1992 .
[97] R. Engle,et al. Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns , 1991 .
[98] E. Stein,et al. Stock Price Distributions with Stochastic Volatility: An Analytic Approach , 1991 .
[99] A. Lo,et al. An Ordered Probit Analysis of Transaction Stock Prices , 1991 .
[100] Campbell R. Harvey,et al. Volatility in the Foreign Currency Futures Market , 1991 .
[101] J. Hull. Introduction To Futures And Options Markets , 1991 .
[102] R. Baillie,et al. INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES , 1991 .
[103] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[104] Alex Kane,et al. Measuring Risk Aversion from Excess Returns on a Stock Index , 1991 .
[105] M. Dacorogna,et al. Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis , 1990 .
[106] R. Engle,et al. Testing for Common Features , 1990 .
[107] R. C. Merton,et al. Continuous-Time Finance , 1990 .
[108] Daniel B. Nelson. ARCH models as diffusion approximations , 1990 .
[109] S. Turnbull,et al. Pricing foreign currency options with stochastic volatility , 1990 .
[110] Enrique Sentana,et al. Volatiltiy and Links between National Stock Markets , 1990 .
[111] Ronald W. Masulis,et al. Correlations in Price Changes and Volatility Across International Stock Markets , 1990 .
[112] Andrew C. Harvey,et al. Forecasting, structural time series models and the Kalman filter: Selected answers to exercises , 1990 .
[113] Christopher G. Lamoureux,et al. Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects , 1990 .
[114] D. Duffie,et al. Simulated Moments Estimation of Markov Models of Asset Prices , 1990 .
[115] M. Yor,et al. Continuous martingales and Brownian motion , 1990 .
[116] M. Chesney,et al. Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model , 1989, Journal of Financial and Quantitative Analysis.
[117] J. Stein. Overreactions in the Options Market , 1989 .
[118] L. J. Merville,et al. Stock-price volatility, mean-reverting diffusion, and noise , 1989 .
[119] D. Pollard,et al. Simulation and the Asymptotics of Optimization Estimators , 1989 .
[120] D. McFadden. A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration , 1989 .
[121] A. Gallant,et al. Seminonparametric Estimation Of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications , 1989 .
[122] R. Baillie,et al. The Message in Daily Exchange Rates , 1989 .
[123] Adrian Pagan,et al. Alternative Models for Conditional Stock Volatility , 1989 .
[124] G. Schwert. Business Cycles, Financial Crises, and Stock Volatility , 1989 .
[125] J. Hull. Options, futures, and other derivative securities , 1989 .
[126] G. M. Furstenberg,et al. International Stock Price Movements: Links and Messages , 1989 .
[127] M. West,et al. Bayesian forecasting and dynamic models , 1989 .
[128] T. Day,et al. The behavior of the volatility implicit in the prices of stock index options , 1988 .
[129] A. Kyle,et al. Smart Money, Noise Trading and Stock Price Behavior , 1988 .
[130] H. White,et al. A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models , 1988 .
[131] J. Stock. Estimating Continuous-Time Processes Subject to Time Deformation: An Application to Postwar U.S. GNP , 1988 .
[132] J. Wooldridge,et al. A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.
[133] F. Diebold. Empirical modeling of exchange rate dynamics , 1988 .
[134] Louis O. Scott. Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application , 1987, Journal of Financial and Quantitative Analysis.
[135] James B. Wiggins. Option values under stochastic volatility: Theory and empirical estimates , 1987 .
[136] D. Shanno,et al. Option Pricing when the Variance Is Changing , 1987, Journal of Financial and Quantitative Analysis.
[137] C. N. Morris,et al. The calculation of posterior distributions by data augmentation , 1987 .
[138] Alan G. White,et al. The Pricing of Options on Assets with Stochastic Volatilities , 1987 .
[139] Jonathan M. Karpoff. The Relation between Price Changes and Trading Volume: A Survey , 1987, Journal of Financial and Quantitative Analysis.
[140] C. Granger,et al. Co-integration and error correction: representation, estimation and testing , 1987 .
[141] Gregory W. Huffman. A Dynamic Equilibrium Model of Asset Prices and Transaction Volume , 1987, Journal of Political Economy.
[142] Larry Eisenberg. Random variance option pricing , 1987 .
[143] Ioannis Karatzas,et al. Brownian Motion and Stochastic Calculus , 1987 .
[144] K. French,et al. Stock return variances: The arrival of information and the reaction of traders , 1986 .
[145] L. Harris. A transaction data study of weekly and intradaily patterns in stock returns , 1986 .
[146] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[147] F. Diebold,et al. The dynamics of exchange rate volatility: a multivariate latent factor ARCH model , 1986 .
[148] J. Ord,et al. An Investigation of Transactions Data for NYSE Stocks , 1985 .
[149] D. Talay,et al. Discretization and simulation of stochastic differential equations , 1985 .
[150] J. Poterba,et al. The Persistence of Volatility and Stock Market Fluctuations , 1984 .
[151] G. Kitagawa,et al. A Smoothness Priors–State Space Modeling of Time Series with Trend and Seasonality , 1984 .
[152] George Tauchen,et al. THE PRICE VARIABILITY-VOLUME RELATIONSHIP ON SPECULATIVE MARKETS , 1983 .
[153] A. Christie,et al. The stochastic behavior of common stock variances: value , 1982 .
[154] L. Hansen. Large Sample Properties of Generalized Method of Moments Estimators , 1982 .
[155] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[156] R. Whaley. Valuation of American call options on dividend-paying stocks: Empirical tests , 1982 .
[157] S. Beckers. Standard deviations implied in option prices as predictors of future stock price variability , 1981 .
[158] J. Harrison,et al. Martingales and stochastic integrals in the theory of continuous trading , 1981 .
[159] J. Patell,et al. The Ex Ante And Ex Post Price Effects Of Quarterly Earnings Announcements Reflected In Option And Stock-Prices , 1981 .
[160] C. Sims. Martingale-Like Behavior of Prices , 1980 .
[161] J. Kingman. MULTI-DIMENSIONAL DIFFUSION PROCESSES , 1980 .
[162] J. Patell,et al. Anticipated information releases reflected in call option prices , 1979 .
[163] David M. Kreps,et al. Martingales and arbitrage in multiperiod securities markets , 1979 .
[164] W. Dunsmuir. A Central Limit Theorem for Parameter Estimation in Stationary Vector Time Series and its Application to Models for a Signal Observed with Noise , 1979 .
[165] M. Rubinstein.. Nonparametric tests of alternative option pricing models using all reported trades and quotes on the , 1985 .
[166] Donald P. Chiras,et al. The information content of option prices and a test of market efficiency , 1978 .
[167] Bradford Cornell,et al. Using the Option Pricing Model to Measure the Uncertainty Producing Effect of Major Announcements , 1978 .
[168] Richard J. Rendleman,et al. STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES , 1976 .
[169] S. Ross,et al. The valuation of options for alternative stochastic processes , 1976 .
[170] R. C. Merton,et al. Option pricing when underlying stock returns are discontinuous , 1976 .
[171] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[172] P. Clark. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices , 1973 .
[173] B. Mandelbrot,et al. Fractional Brownian Motions, Fractional Noises and Applications , 1968 .
[174] Howard M. Taylor,et al. On the Distribution of Stock Price Differences , 1967, Oper. Res..
[175] E. Fama. The Behavior of Stock-Market Prices , 1965 .
[176] B. Mandelbrot. The Variation of Certain Speculative Prices , 1963 .
[177] E. Fama. Mandelbrot and the Stable Paretian Hypothesis , 1963 .
[178] N. Metropolis,et al. Equation of State Calculations by Fast Computing Machines , 1953, Resonance.
[179] L. Bachelier,et al. Théorie de la spéculation , 1900 .