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Nonparametric Stochastic Volatility
16 references·4 citing·31 second hop
Nonparametric Stochastic Volatility (2008)Nonparametric Stochastic VolatilityDesigning Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance? (2020)Volatility as a Transmitter o…ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES (2017)ON THE FUNCTIONAL ESTIMATION …Fourier transform methods for pathwise covariance estimation in the presence of jumps (2014)Fourier transform methods for…Stochastic Volatility and Stochastic Leverage (2009)Stochastic Volatility and Sto…Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Cross‐Section of Volatility and Expected Returns (2006)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Analysis of Financial Time Series (2006)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

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1,346 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • Cited by

    • 2020Volatility as a Transmitter of Systemic Risk: Is there a Structural Risk in Finance?38 cited
    • 2009Stochastic Volatility and Stochastic Leverage38 cited
    • 2017ON THE FUNCTIONAL ESTIMATION OF MULTIVARIATE DIFFUSION PROCESSES35 cited
    • 2014Fourier transform methods for pathwise covariance estimation in the presence of jumps33 cited