SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
16 references·4 citing·40 second hop
A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS (2002)A CORRELATED STOCHASTIC VOLATILITY MODEL …What good is a volatility model? (2001)What good is a volatility mod…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (1999)Stochastic Volatility With an…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Recovering Probability Distributions from Option Prices (1996)Recovering Probability Distri…5 Stochastic volatility (1996)5 Stochastic volatilityScaling behaviour in the dynamics of an economic index (1995)Scaling behaviour in the dyna…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Brownian Motion in the Stock Market (1959)Brownian Motion in the Stock …A Path Integral Way to Option Pricing (2014)A Path Integral Way to Option…First-passage and risk evaluation under stochastic volatility (2009)First-passage and risk evalua…Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model (2008)Option pricing under stochast…A comparison between several correlated stochastic volatility models (2004)A comparison between several …Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Prices of State-Contingent Claims Implicit in Option Prices (1978)Implied Binomial Trees (1994)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Théorie de la spéculation (1900)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Power Laws in Economics and Finance (2009)The Pricing of Options and Corporate Liabilities (1973)THE GARCH OPTION PRICING MODEL (1995)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Measuring and Testing the Impact of News on Volatility (1993)Theory of rational option pricing (2005)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Expected Stock Returns and Variance Risk Premia (2009)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Forecasting Volatility in Financial Markets: A Review (2003)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Econometric Analysis of Cross Section and Panel Data (2001)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Option Prices, Implied Price Processes, and Stochastic Volatility (2000)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1995Scaling behaviour in the dynamics of an economic index1,754 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 19965 Stochastic volatility1,189 cited
  • 1996Recovering Probability Distributions from Option Prices1,086 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1959Brownian Motion in the Stock Market946 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 2001What good is a volatility model?691 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

539 cited
  • 1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension424 cited
  • Cited by

    • 2009First-passage and risk evaluation under stochastic volatility45 cited
    • 2008Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model42 cited
    • 2004A comparison between several correlated stochastic volatility models34 cited
    • 2014A Path Integral Way to Option Pricing30 cited