Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model-Reference-Cited by-同舟云学术

Testing volatility autocorrelation in the constant elasticity of variance stochastic volatility model

Published:2009-04 Issue:6 Volume:53 Page:2201-2218
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Figà-Talamanca Gianna

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference23 articles.

1. Andersen, T.G., Benzoni, L., Lund, J., 2004, Stochastic volatility, mean drift, and jumps in the short term interest rate (manuscript). Paper n. 432 in Econometric Society 2004 North American Winter Meetings Series

2. An option pricing formula for the GARCH diffusion model;Barone Adesi;Computational Statistics and Data Analysis,2005

3. Modelling by Lévy processes for financial econometrics;Barndorff-Nielsen,2001

4. Non-Gaussian Ornstein–Uhlenbech-based models and some of their use in financial economics;Barndorff-Nielsen;Journal of the Royal Statistical Society B,2001

5. Econometric analysis of realized volatility and its use in estimating stochastic volatility models;Barndorff-Nielsen;Journal of the Royal Statistical Society B,2002

Cited by 8 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. Quadrinomial trees with stochastic volatility to value real options;Journal of Economics, Finance and Administrative Science;2021-09-07

2. CEV model equipped with the long-memory;Journal of Computational and Applied Mathematics;2021-06

3. GARCH-type volatility in the multiplicative quadrinomial tree method: An application to real options;Contaduría y Administración;2020-03-05

4. On the estimation of non linear functions in stochastic volatility models;Communications in Statistics - Theory and Methods;2019-07-05

5. Quadrinomial Trees to Value Options in Stochastic Volatility Models;The Journal of Derivatives;2019-04-22