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Modelling by Lévy Processess for Financial Econometrics
16 references·16 citing·34 second hopsampled
Modelling by Lévy Processess for Financial Econometrics (2001)Modelling by Lévy Processess for Financia…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…5 Stochastic volatility (1996)5 Stochastic volatilityHyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Chapter 49 Arch models (1994)Chapter 49 Arch modelsConditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Volatiltiy and Links Between National Stock Markets (1990)Volatiltiy and Links Between …Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)The dynamics of exchange rate…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index (2017)Analysis of variance based in…Alpha-CIR model with branching processes in sovereign interest rate modeling (2017)Alpha-CIR model with branchin…Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets (2016)Pricing variance and volatili…A multiple-curve HJM model of interbank risk (2012)A multiple-curve HJM model of…Affine processes on positive semidefinite matrices (2011)Affine processes on positive …Time Change, Volatility, and Turbulence (2008)Time Change, Volatility, and …Implicit–explicit numerical schemes for jump–diffusion processes (2007)Implicit–explicit numerical s…Extremal behavior of stochastic volatility models (2006)Extremal behavior of stochast…Continuous-time GARCH processes (2006)Continuous-time GARCH process…Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models (2006)Continuous Time Volatility Mo…Long range dependence in financial markets (2005)Long range dependence in fina…Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility (2005)Inference with non-Gaussian O…Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (2005)Absolute Moments of Generaliz…On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process (2004)On multidimensional Ornstein-…Some recent developments in stochastic volatility modelling (2002)Some recent developments in s…Subordination and self-decomposability (2001)Subordination and self-decomp…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)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Random matrix approach to cross correlations in financial data (2002)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)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)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 19965 Stochastic volatility1,189 cited
  • 1995Hyperbolic Distributions in Finance959 cited
  • 1994Chapter 49 Arch models880 cited
  • 1996Statistical aspects of ARCH and stochastic volatility749 cited
  • 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited
  • 1990Volatiltiy and Links Between National Stock Markets

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709 cited

Cited by

  • 2011Affine processes on positive semidefinite matrices149 cited
  • 2004On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process144 cited
  • 2005Long range dependence in financial markets131 cited
  • 2002Some recent developments in stochastic volatility modelling118 cited
  • 2007Implicit–explicit numerical schemes for jump–diffusion processes101 cited
  • 2005Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes94 cited
  • 2006Continuous-time GARCH processes86 cited
  • 2005Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility74 cited
  • 2006Continuous Time Volatility Modelling: COGARCH versus Ornstein–Uhlenbeck Models68 cited
  • 2012A multiple-curve HJM model of interbank risk63 cited
  • 2017Alpha-CIR model with branching processes in sovereign interest rate modeling59 cited
  • 2006Extremal behavior of stochastic volatility models52 cited
  • 2017Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index49 cited
  • 2001Subordination and self-decomposability42 cited
  • 2008Time Change, Volatility, and Turbulence40 cited
  • 2016Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets36 cited