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Sampling Student's T distribution – use of the inverse cumulative distribution function
4 references·2 citing·20 second hop
Sampling Student's T distribution – use of the inverse cumulative distribution function (2006)Sampling Student's T distribution – use o…On the Distributional Characterization of Daily Log‐Returns of a World Stock Index (2006)On the Distributional Charact…Copula Methods in Finance (2004)Copula Methods in FinanceAn Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…The variation of certain speculative prices (1997)The variation of certain spec…Hedging sanctions risk: Cryptocurrency in central bank reserves (2025)Hedging sanctions risk: Crypt…CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (2013)CHI-SQUARE SIMULATION OF THE …A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)The Pricing of Options and Corporate Liabilities (1973)A Benchmark Approach to Quantitative Finance (2006)Brownian Motion and Stochastic Calculus (2007)Sufficient conditions for expected utility to imply drawdown-based performance rankings (2011)Financial power laws: Empirical evidence, models, and mechanisms (2016)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)
this work references cited by second hop

References

  • 1997The variation of certain speculative prices4,513 cited
  • 2004Copula Methods in Finance2,020 cited
  • 2001An Introduction to High-Frequency Finance989 cited
  • 2006On the Distributional Characterization of Daily Log‐Returns of a World Stock Index88 cited

Cited by

  • 2013CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL18 cited
  • 2025Hedging sanctions risk: Cryptocurrency in central bank reserves16 cited

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