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Volatility
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-3-642-18786-5openalex-snapshot
Option Theory with Stochastic Analysis: An Introduction to Mathematical Finance
inferredcites →https://doi.org/10.1007/s00780-005-0161-zopenalex-snapshot
The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
inferredcites →https://doi.org/10.1016/0304-4076(95)01750-xopenalex-snapshot
Closing the GARCH gap: Continuous time GARCH modeling
inferredcites →https://doi.org/10.1016/j.jeconom.2005.01.018openalex-snapshot
A multiple indicators model for volatility using intra-daily data
inferredcites →https://doi.org/10.1016/j.jeconom.2010.07.009openalex-snapshot
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
inferredcites →https://doi.org/10.1016/j.spa.2008.11.004openalex-snapshot
Microstructure noise in the continuous case: The pre-averaging approach
inferredcites →https://doi.org/10.1016/s0304-405x(01)00055-1openalex-snapshot
The distribution of realized stock return volatility
inferredcites →https://doi.org/10.1016/s0304-4076(03)00200-8openalex-snapshot
Temporal aggregation of volatility models
inferredcites →https://doi.org/10.1017/ccol0521871549.010openalex-snapshot
Variation, Jumps, and High-Frequency Data in Financial Econometrics
inferredcites →https://doi.org/10.1080/13504860601170609openalex-snapshot
Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
inferredcites →https://doi.org/10.1080/17442501003629554openalex-snapshot
Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
inferredcites →https://doi.org/10.1093/jjfinec/nbx021openalex-snapshot
Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
inferredcites →https://doi.org/10.1093/rfs/4.4.727openalex-snapshot
Stock Price Distributions with Stochastic Volatility: An Analytic Approach
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1111/1467-9868.00282openalex-snapshot
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
inferredcites →https://doi.org/10.1111/1467-9868.00336openalex-snapshot
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
inferredcites →https://doi.org/10.1111/1467-9965.00015openalex-snapshot
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
inferredcites →https://doi.org/10.1111/1467-9965.t01-1-00175openalex-snapshot
Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type
inferredcites →https://doi.org/10.1111/1468-0262.00418openalex-snapshot
Modeling and Forecasting Realized Volatility
inferredcites →https://doi.org/10.1111/j.1368-423x.2008.00275.xopenalex-snapshot
Realized kernels in practice: trades and quotes
inferredcites →https://doi.org/10.1111/j.1467-985x.2007.00506_18.xopenalex-snapshot
Asset Price Dynamics, Volatility, and Prediction
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-snapshot
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.1137/s0040585x97978166openalex-snapshot
Superposition of Ornstein--Uhlenbeck Type Processes
inferredcites →https://doi.org/10.1198/016214501750332965openalex-snapshot
The Distribution of Realized Exchange Rate Volatility
inferredcites →https://doi.org/10.1198/073500106000000260openalex-snapshot
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
inferredcites →https://doi.org/10.1214/009053606000000452openalex-snapshot
ANOVA for diffusions and Itô processes
inferredcites →https://doi.org/10.1214/07-aap475openalex-snapshot
Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients
inferredcites →https://doi.org/10.1515/9781400830190openalex-snapshot
Anticipating Correlations: A New Paradigm for Risk Management
inferredcites →https://doi.org/10.2139/ssrn.1030851openalex-snapshot
Inference for Continuous Semimartingales Observed at High Frequency: A General Approach
inferredcites →https://doi.org/10.3150/bj/1165269149openalex-snapshot
Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
inferredcites →https://doi.org/10.3982/ecta6495openalex-snapshot
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.1007/978-3-642-18412-3_2openalex-snapshot
Ambit Processes and Stochastic Partial Differential Equations
inferred← citeshttps://doi.org/10.1016/j.physa.2021.125813openalex-snapshot
Dynamics of the price behavior in stock markets: A statistical physics approach
inferred← citeshttps://doi.org/10.1080/1540496x.2021.1964949openalex-snapshot
Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China
inferred← citeshttps://doi.org/10.1111/j.1467-9965.2011.00494.xopenalex-snapshot
THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL
inferred← citeshttps://doi.org/10.1111/mafi.12306openalex-snapshot
The Alpha‐Heston stochastic volatility model
inferred← citeshttps://doi.org/10.1111/sjos.12056openalex-snapshot
Integer‐valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
inferred← citeshttps://doi.org/10.1140/epjb/e2009-00341-xopenalex-snapshot
Empirical behavior of a world stock index from intra-day to monthly time scales
inferred← citeshttps://doi.org/10.1214/14-ejs942openalex-snapshot
Assessing relative volatility/ intermittency/energy dissipation
inferred← citeshttps://doi.org/10.3150/25-bej1905openalex-snapshot
Ole Eiler Barndorff-Nielsen and financial econometrics
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