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Regime-switching stochastic volatility and short-term interest rates
16 references·15 citing·35 second hop
Regime-switching stochastic volatility and short-term interest rates (2004)Regime-switching stochastic volatility an…The Impact of Jumps in Volatility and Returns (2003)The Impact of Jumps in Volati…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Bayesian Analysis of Stochastic Volatility Models (2002)Bayesian Analysis of Stochast…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Post-'87 crash fears in the S&P 500 futures option market (2000)Post-'87 crash fears in the S…Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Stochastic Volatility: Likeli…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyAutoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Volatility and …An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Alternative models for conditional stock volatility (1990)Alternative models for condit…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate (2022)Vulnerable European option pr…A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (2021)A closed-form pricing formula…Pricing convertible bonds (2018)Pricing convertible bondsAn Infinite Hidden Markov Model for Short-term Interest Rates (2016)An Infinite Hidden Markov Mod…An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching (2016)An analytical approximation f…Beyond Stochastic Volatility and Jumps in Returns and Volatility (2012)Beyond Stochastic Volatility …Markov switching GARCH models of currency turmoil in Southeast Asia (2008)Markov switching GARCH models…Modeling the Euro overnight rate (2007)Modeling the Euro overnight r…How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models (2007)How Persistent is Stock Retur…Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model (2006)Foreign Exchange Intervention…Volatility Transmission Models: A Survey (2005)Volatility Transmission Model…Testing For Threshold Nonlinearity in Short-Term Interest Rates (2005)Testing For Threshold Nonline…Regime shifts in interest rate volatility (2005)Regime shifts in interest rat…Explicit solutions to European options in a regime-switching economy (2005)Explicit solutions to Europea…Bayesian Analysis of a Markov Switching Stochastic Volatility Model (2005)Bayesian Analysis of a Markov…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)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)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Dynamic Asset Pricing Theory. (1993)Theory of rational option pricing (2005)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)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2003The Impact of Jumps in Volatility and Returns1,469 cited
  • 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
  • 2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
  • 1988Rational-expectations econometric analysis of changes in regime

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898 cited
  • 2002Regime Switches in Interest Rates854 cited
  • Cited by

    • 2008Markov switching GARCH models of currency turmoil in Southeast Asia63 cited
    • 2005Explicit solutions to European options in a regime-switching economy59 cited
    • 2016An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching47 cited
    • 2005Volatility Transmission Models: A Survey46 cited
    • 2022Vulnerable European option pricing in a Markov regime-switching Heston model with stochastic interest rate33 cited
    • 2018Pricing convertible bonds30 cited
    • 2005Testing For Threshold Nonlinearity in Short-Term Interest Rates30 cited
    • 2007Modeling the Euro overnight rate27 cited
    • 2021A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model25 cited
    • 2016An Infinite Hidden Markov Model for Short-term Interest Rates24 cited
    • 2012Beyond Stochastic Volatility and Jumps in Returns and Volatility24 cited
    • 2007How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models20 cited
    • 2006Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model19 cited
    • 2005Bayesian Analysis of a Markov Switching Stochastic Volatility Model18 cited
    • 2005Regime shifts in interest rate volatility17 cited