Affiliation:
1. University of Vienna, Austria
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference62 articles.
1. T. Bollerslev, Generalized autoregressive conditional heteroskedasticity, J. Econometrics 31 (1986), no. 3, 307–327.
2. E. Alòs, A generalization of the Hull and White formula with applications to option pricing approximation, Finance Stoch. 10 (2006), no. 3, 353–365.
3. D. W. K. Andrews, Non-strong mixing autoregressive processes, Journal of Applied Probability 21 (1984), no. 4, pp. 930–934 (English).
4. C. Bayer, P. Friz, A. Gulisashvili, B. Horvath, and B. Stemper, Short-time near-the-money skew in rough fractional volatility models, Quantitative Finance 19 (2017).
5. J.S. Bendat, Nonlinear system analysis and identification from random data, A Wiley-Interscience Publication, John Wiley & Sons, Inc., New York, 1990.
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献