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Linear filtering for asymmetric stochastic volatility models
Economics Letters
◽
10.1016/j.econlet.2006.03.005
◽
2006
◽
Vol 92
(2)
◽
pp. 284-292
◽
Cited By ~ 3
Author(s):
Chris Kirby
Keyword(s):
Stochastic Volatility
◽
Linear Filtering
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
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References
Non-linear filtering and optimal investment under partial information for stochastic volatility models
Mathematical Methods of Operations Research
◽
10.1007/s00186-017-0609-x
◽
2018
◽
Vol 87
(3)
◽
pp. 311-346
Author(s):
Dalia Ibrahim
◽
Frédéric Abergel
Keyword(s):
Stochastic Volatility
◽
Partial Information
◽
Optimal Investment
◽
Linear Filtering
◽
Stochastic Volatility Models
◽
Volatility Models
◽
Non Linear
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A non-linear filtering approach to stochastic volatility models with an application to daily stock returns
Journal of Applied Econometrics
◽
10.1002/(sici)1099-1255(199903/04)14:2<101::aid-jae499>3.0.co;2-a
◽
1999
◽
Vol 14
(2)
◽
pp. 101-121
◽
Cited By ~ 26
Author(s):
Toshiaki Watanabe
Keyword(s):
Stock Returns
◽
Stochastic Volatility
◽
Linear Filtering
◽
Stochastic Volatility Models
◽
Volatility Models
◽
Non Linear
◽
Daily Stock Returns
◽
Filtering Approach
Download Full-text
Linear Filtering for Asymmetric Stochastic Volatility Models
SSRN Electronic Journal
◽
10.2139/ssrn.681291
◽
2005
◽
Author(s):
Chris Kirby
Keyword(s):
Stochastic Volatility
◽
Linear Filtering
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
An adaptive Filon quadrature for stochastic volatility models
The Journal of Computational Finance
◽
10.21314/jcf.2018.356
◽
2018
◽
Vol 22
(3)
◽
pp. 65-88
◽
Cited By ~ 1
Author(s):
Fabien Le Floc'h
Keyword(s):
Stochastic Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models
The Journal of Risk
◽
10.21314/jor.2014.297
◽
2014
◽
Vol 17
(2)
◽
pp. 3-19
◽
Cited By ~ 6
Author(s):
Matthew Lorig
◽
Stefano Pagliarani
◽
Andrea Pascucci
Keyword(s):
Stochastic Volatility
◽
Taylor Series
◽
Implied Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models
SSRN Electronic Journal
◽
10.2139/ssrn.1528827
◽
2009
◽
Cited By ~ 1
Author(s):
Natalia Beliaeva
◽
Sanjay K. Nawalkha
Keyword(s):
Stochastic Volatility
◽
American Options
◽
Stochastic Volatility Models
◽
Volatility Models
◽
Low Dimensional
Download Full-text
Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think
SSRN Electronic Journal
◽
10.2139/ssrn.231165
◽
2000
◽
Cited By ~ 3
Author(s):
Sassan Alizadeh
◽
Michael W. Brandt
◽
Francis X. Diebold
Keyword(s):
Exchange Rate
◽
Stochastic Volatility
◽
Stochastic Volatility Models
◽
Exchange Rate Dynamics
◽
Volatility Models
Download Full-text
Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models
SSRN Electronic Journal
◽
10.2139/ssrn.2339504
◽
2013
◽
Cited By ~ 2
Author(s):
Chi Yuen
◽
Wendong Zheng
◽
Yue Kuen Kwok
Keyword(s):
Stochastic Volatility
◽
Stochastic Volatility Models
◽
Variance Swaps
◽
Volatility Models
Download Full-text
Computing Journal: Stochastic-volatility Models with Optional Jumps
SSRN Electronic Journal
◽
10.2139/ssrn.2487746
◽
2007
◽
Author(s):
Anna Pretre
◽
Gabriele Susinno
Keyword(s):
Stochastic Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
Asymmetric Stochastic Volatility Models: Properties and Estimation
SSRN Electronic Journal
◽
10.2139/ssrn.2544473
◽
2015
◽
Cited By ~ 1
Author(s):
Xiuping Mao
◽
Esther Ruiz
◽
Helena Veiga
◽
Veronika Czellar
Keyword(s):
Stochastic Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
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