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The COGARCH: a review, with news on option pricing and statistical inference
16 references·0 citing·39 second hop
The COGARCH: a review, with news on option pricing and statistical inference (2010)The COGARCH: a review, with news on optio…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…5 Stochastic volatility (1996)5 Stochastic volatilityThe Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Generalized autoregressive conditional heteroscedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Using artificial neural network models in stock market index prediction (2011)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 19965 Stochastic volatility1,189 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 1998

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The fundamental theorem of asset pricing for unbounded stochastic processes
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