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Gamma stochastic volatility models
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Gamma stochastic volatility models (2006)Gamma stochastic volatility modelsModelling Financial Time Series (2007)Modelling Financial Time Seri…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…5 Stochastic volatility (1996)5 Stochastic volatilityMultivariate Stochastic Variance Models (1994)Multivariate Stochastic Varia…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…Simulated Moments Estimation of Markov Models of Asset Prices (1993)Simulated Moments Estimation …Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Simulated Moments Estimation of Markov Models of Asset Prices (1990)Simulated Moments Estimation …Pricing foreign currency options with stochastic volatility (1990)Pricing foreign currency opti…Modelling Financial Time Series. (1987)Modelling Financial Time Seri…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Time 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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Range‐Based Estimation of Stochastic Volatility Models (2002)Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)Stochastic Simulation (1987)The Pricing of Options on Assets with Stochastic Volatilities (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)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Statistical analysis of cointegration vectors (1988)An Overview of Value at Risk (1997)Econometric Analysis of Cross Section and Panel Data (2001)Forecasting Volatility in Financial Markets: A Review (2003)Bayesian Analysis of Stochastic Volatility Models (1994)Parametric and Nonparametric Volatility Measurement (2010)Does realized skewness predict the cross-section of equity returns? (2015)Multivariate Stochastic Volatility: A Review (2006)Metal volatility in presence of oil and interest rate shocks (2007)Modelling Nonlinear Economic Time Series (2010)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)
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References

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  • 1990Simulated Moments Estimation of Markov Models of Asset Prices617 cited
  • 1987

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Modelling Financial Time Series.
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