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Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models
16 references·5 citing·37 second hop
Autoregressive stochastic volatility models with heavy-tailed distributions: A comparison with multifactor volatility models (2007)Autoregressive stochastic volatility mode…Modelling Financial Time Series (2007)Modelling Financial Time Seri…Alternative models for stock price dynamics (2003)Alternative models for stock …Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Estimation of stochastic volatility models via Monte Carlo maximum likelihood (1998)Estimation of stochastic vola…Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns (1996)Estimation of an Asymmetric S…5 Stochastic volatility (1996)5 Stochastic volatilityStochastic volatility in asset prices estimation with simulated maximum likelihood (1994)Stochastic volatility in asse…Bayesian Analysis of Stochastic Volatility Models (1994)Bayesian Analysis of Stochast…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…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…Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75 (1982)Financial returns modelled by…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm (2020)Analysis of the bitcoin stock…Realized stochastic volatility with general asymmetry and long memory (2017)Realized stochastic volatilit…Modelling stochastic volatility using generalizedtdistribution (2011)Modelling stochastic volatili…Forecasting industrial production in Brazil: Evidence from a wavelet approach (2010)Forecasting industrial produc…Multivariate stochastic volatility, leverage and news impact surfaces (2009)Multivariate stochastic volat…The Behavior of Stock-Market Prices (1965)An Intertemporal Capital Asset Pricing Model (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Chapter 49 Arch models (1994)Monte Carlo methods for security pricing (1997)Generalized autoregressive conditional heteroskedasticity (1986)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)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)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)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)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)Multivariate Stochastic Variance Models (1994)Forecasting Volatility in Financial Markets: A Review (2003)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)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 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
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 2007Modelling Financial Time Series1,415 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 19965 Stochastic volatility1,189 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 2003Alternative models for stock price dynamics893 cited
  • 1994Bayesian Analysis of Stochastic Volatility Models611 cited
  • 1996Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns461 cited
  • 1994Stochastic volatility in asset prices estimation with simulated maximum likelihood394 cited
  • 1998Estimation of stochastic volatility models via Monte Carlo maximum likelihood

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331 cited
  • 1982Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75326 cited
  • Cited by

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    • 2011Modelling stochastic volatility using generalizedtdistribution25 cited
    • 2020Analysis of the bitcoin stock market indexes using comparative study of two models SV with MCMC algorithm21 cited
    • 2010Forecasting industrial production in Brazil: Evidence from a wavelet approach13 cited