Volatility modeling with COGARCH(1,1) driven by Meixner-Lévy process: an application to Tokyo stock exchange market (Nikkei225)-Reference-Cited by-同舟云学术

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Volatility modeling with COGARCH(1,1) driven by Meixner-Lévy process: an application to Tokyo stock exchange market (Nikkei225)

Published:2017-09-20 Issue:2 Volume:6 Page:582-588
ISSN:2195-268X
Container-title:International Journal of Dynamics and Control
language:en
Short-container-title:Int. J. Dynam. Control

Author:

Yıldırım Yavuz,Ünal Gazanfer

Publisher

Springer Science and Business Media LLC

Subject

Electrical and Electronic Engineering,Control and Optimization,Mechanical Engineering,Modeling and Simulation,Civil and Structural Engineering,Control and Systems Engineering

Link

http://link.springer.com/article/10.1007/s40435-017-0351-5/fulltext.html

Reference40 articles.

1. Ando T (2006) Pricing Nikkei 225 options using nonlinear and non-Gaussian stochastic volatility model with leverage effect. J Japan Stat Soc 36(2):173–197

2. Barndorff-Nielsen OE, Shephard N (2001) Non-Gaussian Ornstein–Uhlenbeck-based models and some of their uses in financial economics (with discussion). J R Stat Soc Ser B 63:167–241

3. Björk T (2009) Arbitrage theory in continuous time, 3rd edn. Oxford University Press, Oxford

4. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81(3):637–654

5. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econ 31:307–327

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