Estimation of continuous-time models with an application to equity volatility dynamics
Author:
Publisher
Elsevier BV
Subject
Strategy and Management,Economics and Econometrics,Finance,Accounting
Reference21 articles.
1. Testing continuous-time models of the spot interest rate;Aı¨t-Sahalia;Review of Financial Studies,1996
2. Transition densities for interest rate and other nonlinear diffusions;Aı¨t-Sahalia;Journal of Finance,1999
3. Maximum likelihood estimation of discretely sampled diffusion: a closed-form approximation approach;Aı¨t-Sahalia;Econometrica,2002
4. Aı¨t-Sahalia, Y., 2003. Closed-form likelihood expansions for multivariate diffusions. Unpublished working paper. Princeton University, Princeton, NJ.
5. Aı¨t-Sahalia, Y., Kimmel, R., 2003. Estimating affine multifactor term structure models using closed-form likelihood expansions. Unpublished working paper. Princeton University, Princeton, NJ.
Cited by 117 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
1. VIX option pricing through nonaffine GARCH dynamics and semianalytical formula;Journal of Futures Markets;2024-04-16
2. Analytical formulae for variance and volatility swaps with stochastic volatility, stochastic equilibrium level and regime switching;AIMS Mathematics;2024
3. A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching;Japan Journal of Industrial and Applied Mathematics;2023-12-26
4. LOG-NORMAL STOCHASTIC VOLATILITY MODEL WITH QUADRATIC DRIFT;International Journal of Theoretical and Applied Finance;2023-12
5. Forecasting VIX with time-varying risk aversion;International Review of Economics & Finance;2023-11
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3