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Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method
16 references·0 citing·37 second hop
Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method (2015)Estimation of the Stochastic Leverage Eff…High-Frequency Financial Econometrics (2014)High-Frequency Financial Econ…Fact or friction: Jumps at ultra high frequency (2014)Fact or friction: Jumps at ul…The leverage effect puzzle: Disentangling sources of bias at high frequency (2013)The leverage effect puzzle: D…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Stochastic skew in currency options☆ (2007)Stochastic skew in currency o…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Leverage and Volatility Feedb…A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales (2006)A Central Limit Theorem for R…On leverage in a stochastic volatility model (2004)On leverage in a stochastic v…Fourier series method for measurement of multivariate volatilities (2002)Fourier series method for mea…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…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Studies of stock market volatility changes (1976)Studies of stock market volat…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Book Review: Time Series Analysis: Forecasting and Control (1977)ARCH modeling in finance (1992)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Jump-Diffusion Model for Option Pricing (2002)Modeling and Forecasting Realized Volatility (2003)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Expected Stock Returns and Variance Risk Premia (2009)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)The impact of sentiment and attention measures on stock market volatility (2019)The Pricing of Options on Assets with Stochastic Volatilities (1987)Stochastic volatility with leverage: Fast and efficient likelihood inference (2006)Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH (2015)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)The distribution of realized stock return volatility (2001)Multivariate GARCH models: a survey (2006)Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2006The Malliavin Calculus and Related Topics2,548 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 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 Economics1,827 cited
  • 1995The Malliavin Calculus and Related Topics1,657 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 1976Studies of stock market volatility changes885 cited
  • 2006Leverage and Volatility Feedback Effects in High-Frequency Data439 cited
  • 2004On leverage in a stochastic volatility model411 cited
  • 2014High-Frequency Financial Econometrics388 cited
  • 2007Stochastic skew in currency options☆341 cited
  • 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales282 cited
  • 2002Fourier series method for measurement of multivariate volatilities230 cited
  • 2014

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Fact or friction: Jumps at ultra high frequency
208 cited
  • 2013The leverage effect puzzle: Disentangling sources of bias at high frequency205 cited
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