Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits.
- Published in:
- Journal of Financial Econometrics, 2017, v. 15, n. 4, p. 602, doi. 10.1093/jjfinec/nbx022
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- Article
Works matching IS 14798409 AND DT 2017 AND VI 15 AND IP 4
Results: 4
1
2
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation.
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- Journal of Financial Econometrics, 2017, v. 15, n. 4, p. 649, doi. 10.1093/jjfinec/nbx019
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- Publication type:
- Article
3
Real-Time GARCH.
- Published in:
- Journal of Financial Econometrics, 2017, v. 15, n. 4, p. 561, doi. 10.1093/jjfinec/nbx008
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- Publication type:
- Article
4
Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models.
- Published in:
- Journal of Financial Econometrics, 2017, v. 15, n. 4, p. 509, doi. 10.1093/jjfinec/nbw013
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- Publication type:
- Article