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Non-Gaussian OU based models and some of their uses in financial economics
16 references·16 citing·35 second hopsampled
Non-Gaussian OU based models and some of their uses in financial economics (2000)Non-Gaussian OU based models and some of …The Econometrics of Financial Markets (2012)The Econometrics of Financial…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Multivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Testing distributional assumptions: A GMM aproach (2011)Testing distributional assump…Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper (2010)Return distributions and vola…Construction and Interpretation of Model-Free Implied Volatility (2007)Construction and Interpretati…Construction and Interpretation of Model-Free Implied Volatility (2007)Construction and Interpretati…Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures (2006)Semi-Parametric Comparison of…A conditional extreme value volatility estimator based on high-frequency returns (2006)A conditional extreme value v…Realized volatility and transactions (2005)Realized volatility and trans…Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility (2005)Inference with non-Gaussian O…The Comovement of US and UK Stock Markets (2004)The Comovement of US and UK S…ARMA representation of integrated and realized variances (2003)ARMA representation of integr…On measuring volatility and the GARCH forecasting performance (2002)On measuring volatility and t…Financial econometrics: Past developments and future challenges (2001)Financial econometrics: Past …A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities (2001)A Finite Difference Approach …Discounted optimal stopping problems for the maximum process (2000)Discounted optimal stopping p…Realized Stock Volatility (1999)Realized Stock VolatilityChange of structure in financial time series, long range dependence and the GARCH model (1998)Change of structure in financ…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Portfolio Selection: Efficient Diversification of Investments (1959)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Random matrix approach to cross correlations in financial data (2002)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)An equilibrium characterization of the term structure (1977)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Modeling Term Structures of Defaultable Bonds (1999)The distribution of realized stock return volatility (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1,960 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited

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1994
Multivariate Stochastic Variance Models
1,367 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • Cited by

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    • 2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities86 cited
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    • 2010Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper76 cited
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    • 2005Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility74 cited
    • 2006Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures73 cited
    • 2003ARMA representation of integrated and realized variances73 cited
    • 2007Construction and Interpretation of Model-Free Implied Volatility72 cited
    • 2006A conditional extreme value volatility estimator based on high-frequency returns69 cited
    • 1999Realized Stock Volatility65 cited
    • 2011Testing distributional assumptions: A GMM aproach59 cited
    • 2007Construction and Interpretation of Model-Free Implied Volatility57 cited
    • 2004The Comovement of US and UK Stock Markets53 cited
    • 2000Discounted optimal stopping problems for the maximum process47 cited