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Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes
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Characteristic function estimation of non-Gaussian Ornstein–Uhlenbeck processes (2009)Characteristic function estimation of non…Nonparametric estimation for Lévy processes from low-frequency observations (2009)Nonparametric estimation for …Student processes (2005)Student processesSpectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes (2005)Spectral Properties of Uperpo…Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility (2005)Inference with non-Gaussian O…Fitting the variance-gamma model to financial data (2004)Fitting the variance-gamma mo…Lévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models (2003)Integrated OU Processes and N…Estimation of Continuous-Time Processes via the Empirical Characteristic Function (2002)Estimation of Continuous-Time…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Processes of Meixner type (1999)Processes of Meixner typeSome stationary processes in discrete and continuous time (1998)Some stationary processes in …The normal inverse gaussian lévy process: simulation and approximation (1997)The normal inverse gaussian l…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)Normal Inverse Gaussian Distr…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)Stationary-increment Student and variance-gamma processes (2006)A Stochastic Processes Toolkit for Risk Management (2008)Dependence calibration and portfolio fit with factor-based subordinators (2016)Hyperbolic Distributions in Finance (1995)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)Stochastic Modelling of Temperature Variations with a View Towards Weather Derivatives (2005)Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Stochastic Integration and Differential Equations : A New Approach (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Stochastic Integration and Differential Equations (2005)Models for construction of multivariate dependence – a comparison study (2008)The Volatility of Realized Volatility (2008)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)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Expected Stock Returns and Variance Risk Premia (2009)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form (2005)Efficient estimation of general dynamic models with a continuum of moment conditions (2006)Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The distribution of realized stock return volatility (2001)Probability and Mathematical Statistics (2005)Ornstein–Uhlenbeck Processes and Extensions (2009)Recent results in the theory and applications of CARMA processes (2014)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Estimating quadratic variation using realized variance (2002)
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References

  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
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  • 2004Fitting the variance-gamma model to financial data137 cited
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  • 1998Some stationary processes in discrete and continuous time114 cited
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  • 1999Processes of Meixner type104 cited
  • 2005Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes

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  • 2005Inference with non-Gaussian Ornstein–Uhlenbeck processes for stochastic volatility74 cited
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