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Box-Cox stochastic volatility models with heavy-tails and correlated errors
16 references·4 citing·34 second hop
Box-Cox stochastic volatility models with heavy-tails and correlated errors (2007)Box-Cox stochastic volatility models with…Modelling Financial Time Series (2007)Modelling Financial Time Seri…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…5 Stochastic volatility (1996)5 Stochastic volatilityMeasuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Prices and Volume (1992)Stock Prices and VolumeStock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Investigating the risk-return trade-off for crude oil futures using high-frequency data (2016)Investigating the risk-return…Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions (2015)Box–Cox realized asymmetric s…On the use of non-linear transformations in Stochastic Volatility models (2009)On the use of non-linear tran…Beta-t-(E)GARCH (2008)Beta-t-(E)GARCHTime Series Analysis: Forecasting and Control (1977)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)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)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Forecasting Volatility in Financial Markets: A Review (2003)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)The variation of certain speculative prices (1997)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A long memory property of stock market returns and a new model (1993)Option pricing when underlying stock returns are discontinuous (1976)On estimating the expected return on the market (1980)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Econometric Analysis of Cross Section and Panel Data (2001)THE GARCH OPTION PRICING MODEL (1995)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)
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References

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  • 1987The Pricing of Options on Assets with Stochastic Volatilities

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1,179 cited
  • 1990ARCH models as diffusion approximations943 cited
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    • 2016Investigating the risk-return trade-off for crude oil futures using high-frequency data69 cited
    • 2008Beta-t-(E)GARCH32 cited
    • 2015Box–Cox realized asymmetric stochastic volatility models with generalized Student'st-error distributions23 cited
    • 2009On the use of non-linear transformations in Stochastic Volatility models22 cited