The continuous-time limit of score-driven volatility models

Journal of Econometrics ◽

10.1016/j.jeconom.2020.07.042 ◽

2020 ◽

Author(s):

Giuseppe Buccheri ◽

Fulvio Corsi ◽

Franco Flandoli ◽

Giulia Livieri

Keyword(s):

Continuous Time ◽

Volatility Models

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The Continuous-Time Limit of Score-Driven Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3382479 ◽

2019 ◽

Author(s):

Giuseppe Buccheri ◽

Fulvio Corsi ◽

Franco Flandoli ◽

Giulia Livieri

Keyword(s):

Continuous Time ◽

Volatility Models

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Smooth Ambiguity Aversion and the Continuous-Time Limit

SSRN Electronic Journal ◽

10.2139/ssrn.1690240 ◽

2011 ◽

Author(s):

Ronald Gindrat ◽

Jean Lefoll

Keyword(s):

Continuous Time ◽

Ambiguity Aversion ◽

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Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX

Managerial Finance ◽

10.1108/03074351111167938 ◽

2011 ◽

Vol 37 (11) ◽

pp. 1048-1067 ◽

Author(s):

Isao Ishida ◽

Michael McAleer ◽

Kosuke Oya

Keyword(s):

Stochastic Volatility ◽

Continuous Time ◽

High Frequency ◽

Stochastic Volatility Models ◽

Volatility Models

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Quantum theory of optical temporal phase and instantaneous frequency. II. Continuous-time limit and state-variable approach to phase-locked loop design

Physical Review A ◽

10.1103/physreva.79.053843 ◽

2009 ◽

Vol 79 (5) ◽

Author(s):

Mankei Tsang ◽

Jeffrey H. Shapiro ◽

Seth Lloyd

Keyword(s):

Quantum Theory ◽

Instantaneous Frequency ◽

Continuous Time ◽

Phase Locked Loop ◽

State Variable ◽

Loop Design ◽

Temporal Phase ◽

Variable Approach

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Continuous-time limit of repeated interactions for a system in a confining potential

Stochastic Processes and their Applications ◽

10.1016/j.spa.2014.08.006 ◽

2015 ◽

Vol 125 (1) ◽

pp. 327-342

Author(s):

Julien Deschamps

Keyword(s):

Continuous Time ◽

Confining Potential

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Parameters estimations for continuous-time stochastic volatility models

2017 36th Chinese Control Conference (CCC) ◽

10.23919/chicc.2017.8027703 ◽

2017 ◽

Author(s):

Ximei Wang ◽

Hang Zhang ◽

Yanlong Zhao

Keyword(s):

Stochastic Volatility ◽

Continuous Time ◽

Stochastic Volatility Models ◽

Volatility Models

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Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2021.113901 ◽

2021 ◽

pp. 113901

Author(s):

Jingtang Ma ◽

Wensheng Yang ◽

Zhenyu Cui

Keyword(s):

Markov Chain ◽

Option Pricing ◽

Convergence Analysis ◽

Continuous Time ◽

Continuous Time Markov Chain ◽

Local Volatility ◽

Markov Chain Approximation ◽

Volatility Models ◽

Chain Approximation ◽

Stochastic Local Volatility

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Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods

Statistics & Probability Letters ◽

10.1016/j.spl.2019.108600 ◽

2020 ◽

Vol 156 ◽

pp. 108600

Author(s):

Milan Merkle ◽

Yuri F. Saporito ◽

Rodrigo S. Targino

Keyword(s):

Fourier Transform ◽

Parameter Estimation ◽

Stochastic Volatility ◽

Bayesian Approach ◽

Continuous Time ◽

Stochastic Volatility Models ◽

Transform Methods ◽

Volatility Models ◽

Fourier Transform Methods

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Estimating the Leverage Parameter of Continuous-Time Stochastic Volatility Models Using High Frequency S&P 500 and VIX

SSRN Electronic Journal ◽

10.2139/ssrn.1754352 ◽

2011 ◽

Author(s):

Isao Ishida ◽

Michael McAleer ◽

Kosuke Oya

Keyword(s):

Stochastic Volatility ◽

Continuous Time ◽

High Frequency ◽

Stochastic Volatility Models ◽

Volatility Models

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Continuous-Time Limit of a Shift Map Yielding an Exactly Solvable Chaotic Differential Equation

IFAC Proceedings Volumes ◽

10.3182/20090622-3-uk-3004.00028 ◽

2009 ◽

Vol 42 (7) ◽

pp. 140-143

Author(s):

Ned J. Corron

Keyword(s):

Differential Equation ◽

Continuous Time ◽

Exactly Solvable ◽

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