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High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
Mapping Intimacies
◽
10.3386/w8162
◽
2001
◽
Cited By ~ 5
Author(s):
Sassan Alizadeh
◽
Michael Brandt
◽
Francis Diebold
Keyword(s):
Exchange Rate
◽
Stochastic Volatility
◽
Exchange Rate Volatility
◽
Low Frequency
◽
Stochastic Volatility Models
◽
Volatility Models
Download Full-text
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Cited By
References
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
Support Vector Regression Model of Currency Options Pricing with Stochastic Volatility Models and Forward Exchange Rate
2009 Fifth International Joint Conference on INC, IMS and IDC
◽
10.1109/ncm.2009.328
◽
2009
◽
Author(s):
Ping Wang
◽
YunCheng Huang
◽
YuanSu Wang
Keyword(s):
Exchange Rate
◽
Regression Model
◽
Support Vector Regression
◽
Stochastic Volatility
◽
Options Pricing
◽
Support Vector
◽
Currency Options
◽
Stochastic Volatility Models
◽
Support Vector Regression Model
◽
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
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
On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models
SSRN Electronic Journal
◽
10.2139/ssrn.2720927
◽
2016
◽
Author(s):
Joss Da Fonseca
Keyword(s):
Stochastic Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
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RCAR and CHARMA Models Versus Stochastic Volatility Models: A Forecasting Analysis Using Macrofinancial Data
SSRN Electronic Journal
◽
10.2139/ssrn.3210081
◽
2018
◽
Author(s):
Stefanos Dimitrakopoulos
◽
Efthymios G. Tsionas
Keyword(s):
Stochastic Volatility
◽
Stochastic Volatility Models
◽
Volatility Models
◽
Forecasting Analysis
Download Full-text
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