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Gleb Sandmann · Study
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Author
Gleb Sandmann
3 works
· latest 2001
· 1 institutions
cluster: provisional
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415
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Most cited in this library
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
1998 · 331 citations
The Effect of Futures Market Volume on Spot Market Volatility
2001 · 58 citations
Maximum Likelihood Estimation of Stochastic Volatility Models
1996 · 26 citations
Works
3 shown
The Effect of Futures Market Volume on Spot Market Volatility
Journal of Business Finance & Accounting
·
2001
·
2 authors
58
citations
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
Journal of Econometrics
·
1998
·
2 authors
331
citations
Maximum Likelihood Estimation of Stochastic Volatility Models
London School of Economics and Political Science Research Online (London School of Economics and Political Science)
·
1996
·
2 authors
·
book
·
Open access
26
citations