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Sample quantile analysis for long-memory stochastic volatility models
1 个回复 - 859 次查看 Sample quantile analysis for long-memory stochastic volatility models2015-10-27 20:31 - lucky187 - 求助成功区

Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type
2 个回复 - 938 次查看【作者(必填)】Nicolato, E. and E. Venardos 【文题(必填)】Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type 【年份(必填)】2003 Mathematical Finance, 13:445-466. ...2015-5-27 21:38 - Bumboo - 求助成功区

Bayesian Analysis of Stochastic Volatility Models
1 个回复 - 560 次查看【作者(必填)】Eric Jacquier, Nicholas G. Polson and Peter E. Rossi 【文题(必填)】Bayesian Analysis of Stochastic Volatility Models 【年份(必填)】1994 【全文链接或数据库名称(选填)】https://www ...2021-5-31 09:44 - sunny.syf - 求助成功区

WinBUGS for A Bayesian Analysis of Stochastic Volatility Models
18 个回复 - 1960 次查看 SummaryThis paper reviews the general Bayesian approach to parameter estimationin stochastic volatility models with posterior computations performed byGibbs sampling. The main purpose is to illustrate ...2016-5-22 23:23 - Nicolle - winbugs及其他软件专版

On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rate
2 个回复 - 757 次查看【作者(必填)】 Lech A. Grzelakab* & Cornelis W. Oosterleeac 【文题(必填)】 On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates 【年份(必填)】 Volume 19, Issue 1, 20 ...2014-5-9 08:12 - sqq19860225 - 求助成功区

On the Curvature of the Smile in Stochastic Volatility Models
2 个回复 - 1395 次查看【作者(必填)】Elisa Alòs and Jorge A. León 【文题(必填)】On the Curvature of the Smile in Stochastic Volatility Models 【年份(必填)】2017 【全文链接或数据库名称(选填)】http://epubs.siam.o ...2017-8-18 16:37 - crossbone254 - 求助成功区

Bayesian Analysis of Stochastic Volatility Models
4 个回复 - 783 次查看【作者(必填)】Eric Jacquier, Nicholas G. Polson and Peter E. Rossi 【文题(必填)】Bayesian Analysis of Stochastic Volatility Models 【年份(必填)】Vol. 12, No. 4 (Oct., 1994), pp. 371-389 【全文链 ...2017-4-19 19:36 - hnhs100 - 求助成功区

The forward smile in local–stochastic volatility models
1 个回复 - 738 次查看【作者(必填)】Andrea Mazzon and Andrea Pascucci 【文题(必填)】The forward smile in local–stochastic volatility models 【年份(必填)】2017 【全文链接或数据库名称(选填)】Journal of Computational ...2017-1-18 16:05 - Bumboo - 文献求助专区

A General Asymptotic Implied Volatility for Stochastic Volatility Models
0 个回复 - 863 次查看 In this paper, we derive a general asymptotic implied volatility atthe first-order for any stochastic volatility model using the heat kernel expansionon a Riemann manifold endowed with an Abelian conn ...2016-9-14 03:53 - standatw - 灌水吧

VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WE
1 个回复 - 871 次查看【作者(必填)】【文题(必填)】VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES 【年份(必填)】EVA LüTKEBOHMERT and LYDIENNE MATCHIE 【全 ...2014-10-27 22:32 - ssylzz - 求助成功区

Estimating the Parameters of Stochastic Volatility Models Using Option Price Dat
1 个回复 - 832 次查看【作者(必填)】A. S. Hurna, K. A. Lindsaya & A. J. McClellandb 【文题(必填)】Estimating the Parameters of Stochastic Volatility Models Using Option Price Data 【年份(必填)】 2015 【全文链接或数据库 ...2016-7-16 18:08 - hnhs100 - 求助成功区

stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) Models
0 个回复 - 1691 次查看 stochvol: Efficient Bayesian Inference for Stochastic Volatility (SV) ModelsThis package provides efficient algorithms for fully Bayesian estimation of stochastic volatility (SV) models via Markov cha ...2014-7-7 22:51 - Nicolle - winbugs及其他软件专版

Heavy-tailed-distributed threshold stochastic volatility models in financial
1 个回复 - 901 次查看【作者(必填)】Chen, C.W.S., Liu, F.C., So, M.K.P. 【文题(必填)】Heavy-tailed-distributed threshold stochastic volatility models in financial time series 【年份(必填)】2008 【全文链接或数据库名 ...2015-9-26 16:42 - 我来了 - 求助成功区

VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS
2 个回复 - 852 次查看【作者(必填)】CH Han，WH Liu，TY Chen 【文题(必填)】VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS 【年份(必填)】2014 【全文链接或数据库名称(选填)】http://www.worldscientific.com/doi/ ...2015-5-13 12:31 - lipj - 求助成功区

求文献Maximum likelihood approach for several stochastic volatility models
2 个回复 - 647 次查看题目：Maximum likelihood approach for several stochastic volatility models 作者 Jordi Camprodon, Josep Perelló 发表日期 2012/8/1 期刊 Journal of Statistical Mechanics: Theory and Experime ...2015-3-12 23:25 - weilinhy - 求助成功区

McMC estimation of multiscale stochastic volatility models with applications
2 个回复 - 1080 次查看【作者(必填)Chuan-Hsiang Hana, 1, , , German Molinab, , Jean-Pierre Fouquec, 【文题(必填)】McMC estimation of multiscale stochastic volatility models with applications 【年份(必填)】2014 【全 ...2015-2-6 19:17 - lipj - 求助成功区

文献求助:Complications with Stochastic Volatility Models
3 个回复 - 941 次查看【作者(必填)】Carlos A Sin. 【文题(必填)】Complications with Stochastic Volatility Models 【年份(必填)】1998 【全文链接或数据库名称(选填)】http://www.jstor.org/discover/10.2307/1427887?uid=37 ...2014-8-26 02:51 - Bumboo - 求助成功区

Bayesian analysis of stochastic volatility models with fat-tails
2 个回复 - 1209 次查看【作者(必填)】Joanna J.J. Wanga, , , Jennifer S.K. Chana, S.T. Boris Choyb 【文题(必填)】Stochastic volatility models with leverage and heavy-tailed distributions: A Bayesian approach using scale m ...2014-7-22 16:51 - lipj - 求助成功区

Heavy-Tailed-Distributed Threshold Stochastic Volatility Models in Financial Tim
1 个回复 - 1017 次查看【作者(必填)】Cathy W. S. Chen†,*, F. C. Liu† and Mike K. P. So‡ 【文题(必填)】Heavy-Tailed-Distributed Threshold Stochastic Volatility Models in Financial Time Series 【年份(必 ...2014-7-15 22:14 - lipj - 求助成功区

Asymmetry in Stochastic Volatility Models: Threshold or Correlation?
3 个回复 - 1238 次查看【作者(必填)】Daniel R Smith 【文题(必填)】Asymmetry in Stochastic Volatility Models: Threshold or Correlation? 【年份(必填)】2009 【全文链接或数据库名称(选填)】http://www.degruyter.com/view/ ...2014-7-12 13:24 - lipj - 求助成功区

[Research Paper]BUGS for a Bayesian Analysis of Stochastic Volatility Models
3 个回复 - 1669 次查看 BUGS for a Bayesian Analysis of Stochastic Volatility Models Renate Meyer , Jun Yu AbstractThis paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models w ...2014-6-15 23:29 - Nicolle - winbugs及其他软件专版

[Research Paper]Multivariate Stochastic Volatility Models
0 个回复 - 1017 次查看 Multivariate Stochastic Volatility Models: Bayesian Estimation and Model ComparisonJun YuSingapore Management University, http://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1359&context=soe_r ...2014-6-15 09:57 - Nicolle - winbugs及其他软件专版

VaR/CVaR estimation under stochastic volatility models
3 个回复 - 681 次查看【作者(必填)】CHUAN-HSIANG HAN 【文题(必填)】VaR/CVaR estimation under stochastic volatility models 【年份(必填)】2014 【全文链接或数据库名称(选填)】http://www.worldscientific.com/doi/abs/10 ...2014-5-29 21:41 - lipj - 求助成功区

New solvable stochastic volatility models for pricing volatility derivatives
1 个回复 - 810 次查看【作者(必填)】 [*]Andrey Itkin 【文题(必填)】New solvable stochastic volatility models for pricing volatility derivatives 【年份(必填)】Review of Derivatives Research July 2013, Volume 16, ...2013-9-16 20:53 - ssylzz - 求助成功区

Extended stochastic volatility models incorporating realised measures
1 个回复 - 640 次查看【作者(必填)】 [*]J.H. Venter, , [*]P.J. de Jongh 【文题(必填)】Extended stochastic volatility models incorporating realised measures 【年份(必填)】2012 【全文链接或数据库名称(选填)】http ...2013-8-3 22:26 - hnhs100 - 求助成功区

Moving average stochastic volatility models with application to inflation foreca
1 个回复 - 1316 次查看【作者(必填)】Joshua C.C. Chan 【文题(必填)】Moving average stochastic volatility models with application to inflation forecast 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://www.scien ...2013-6-25 20:55 - hnhs100 - 求助成功区

Estimating stochastic volatility models using daily returns and realized volatil
1 个回复 - 848 次查看【作者(必填)】 [*]Makoto Takahashia, [*]Yasuhiro Omorib, [*]Toshiaki Watanabec, 【文题(必填)】Estimating stochastic volatility models using daily returns and realized volatility simultaneously ...2013-6-24 07:53 - hnhs100 - 求助成功区

Jump Diffusion and Stochastic Volatility Models in Securities Pricing: Theory an
0 个回复 - 732 次查看【作者(必填)】 Mthuli Ncube (Author), Sambulo Malumisa (Author) 【文题(必填)】Jump Diffusion and Stochastic Volatility Models in Securities Pricing: Theory and Estimation for Various Asset Classes ...2013-6-15 13:43 - johnzi0128 - 文献求助专区

A New Bayesian Unit Root Test in Stochastic Volatility Models
1 个回复 - 885 次查看 A new posterior odds analysis is proposed to test for a unit root in volatility dynamics in the context of stochastic volatility models. Our analysis extends the Bayesian unit root test of So and Li ...2012-8-14 17:12 - shasha101955 - EViews专版

[下载]BUGS for a Bayesian Analysis of Stochastic Volatility Models
4 个回复 - 3677 次查看 BUGS for a Bayesian Analysis of Stochastic Volatility Models,提供给大家交流！！<br/>2008-12-21 18:53 - qh006 - 计量经济学与统计软件

[下载]Analytical comparisons of option prices in stochastic volatility models
2 个回复 - 2459 次查看希望能加点钱,穷人寸步难行... [此贴子已经被作者于2005-7-3 5:28:53编辑过]2005-7-3 05:23 - woshinenji - 金融学（理论版）

Option pricing with stochastic volatility models
2 个回复 - 1590 次查看 Option pricing with stochastic volatility models by Yoon, Jungyeon, Ph.D., The University of North Carolina at Chapel Hill, 2008, 87 pages; AAT 3315713 希望能帮我下载，可以设置五个论坛币，我会购买！ ...2011-4-1 01:01 - sqq19860225 - 文献求助专区

STOCHASTIC VOLATILITY MODELS WITH PERSISTENT LATENT FACTORS
0 个回复 - 1519 次查看 STOCHASTIC VOLATILITY MODELS WITH PERSISTENT LATENT FACTORS: THEORY AND ITS APPLICATIONS TO ASSET PRICES A Dissertation by HYOUNG IL LEE Submitted to the Office of Graduate Studies of Texas A&M ...2010-3-13 11:47 - liumartin - 计量经济学与统计软件

关于Stochastic volatility models
7 个回复 - 3439 次查看最近向用Stochastic volatility models ，请教各位能不能推荐一下有关Stochastic volatility models 的书或者文章，先谢谢了2006-2-20 13:21 - duanyuehen - 计量经济学与统计软件

Estimating Stochastic Volatility Models using Prediction-based Estimating F...
0 个回复 - 216 次查看 2004-11-22 08:51 - 文化认同630 - Forum

Estimation of Stochastic Volatility Models by Nonparametric Filtering-随机波动率...
0 个回复 - 156 次查看 2004-11-6 08:35 - 企业转型838 - Forum

Estimation of Stochastic Volatility Models by Nonparametric Filtering
0 个回复 - 699 次查看 2004-11-5 10:41 - 后向一体化381 - Forum

Stochastic Volatility and DSGE Models-随机波动率和DSGE模型
0 个回复 - 380 次查看 2004-10-16 12:08 - 财务帐262 - Forum

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