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高级股权衍生品工具：Advanced Equity Derivatives,Local Volatility,Stochastic Corr
3 个回复 - 1216 次查看高级股权衍生品工具：Advanced Equity Derivatives,Advanced Equity Derivatives,Local Volatility,Stochastic Correlation(我在学习国际金融学时，导师推荐给我学习资料，包括我导师的学术论文及经典解读，学习交流 ...2020-7-31 09:24 - lotus_sss - 现金交易版

海外论文_Asset volatility forecasting
0 个回复 - 354 次查看 Asset volatility forecasting：The optimal decay parameter in the EWMA model2024-2-18 13:44 - rayzhang2332 - 金融学（理论版）

MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
1 个回复 - 313 次查看【作者(必填)】 i8、【文题(必填)】 MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY【年份(必填)】 8 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1 ...2024-1-22 22:49 - internet.hzx - 求助成功区

Volatility measurement with pockets of extreme return persistence
1 个回复 - 122 次查看【作者(必填)】 343 【文题(必填)】 Volatility measurement with pockets of extreme return persistence【年份(必填)】 3434 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/ ...2024-1-1 20:49 - internet.hzx - 求助成功区

Realized matrix-exponential stochastic volatility with asymmetry, long memory an
1 个回复 - 366 次查看【作者(必填)】 3453 【文题(必填)】 Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers【年份(必填)】 3534 【全文链接或数据库名称(选填)】http ...2024-1-1 21:04 - internet.hzx - 求助成功区

A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
3 个回复 - 352 次查看【作者(必填)】 333 【文题(必填)】A forecast comparison of volatility models: does anything beat a GARCH(1,1)? 【年份(必填)】 333 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley.com/doi/ ...2023-8-25 00:41 - internet.hzx - 求助成功区

Trading volume and realized volatility forecasting: Evidence from the China stoc
1 个回复 - 197 次查看【作者(必填)】Min Liu[/backcolor], Wei-Chong Choo[/backcolor], Chi-Chuan Lee[/backcolor], Chien-Chiang Lee[/backcolor] 【文题(必填)】 Trading volume and realized volatility forecasting: Evidence ...2023-11-24 13:46 - rawstone - 求助成功区

Forecasting volatility and correlation between oil and gold prices using a novel
1 个回复 - 160 次查看【作者(必填)】 2222 【文题(必填)】 Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model【年份(必填)】 222 【全文链接或数据库名称(选填)】https:// ...2023-11-21 14:06 - internet.hzx - 求助成功区

Forecasting the Chinese stock volatility across global stock markets
1 个回复 - 139 次查看【作者(必填)】 22 【文题(必填)】 Forecasting the Chinese stock volatility across global stock markets【年份(必填)】 22 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/ ...2023-11-20 21:16 - internet.hzx - 求助成功区

Oil price volatility forecasts: What do investors need to know?
1 个回复 - 154 次查看【作者(必填)】 222 【文题(必填)】 Oil price volatility forecasts: What do investors need to know?【年份(必填)】 222 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/pii ...2023-11-20 15:52 - internet.hzx - 求助成功区

Stochastic Volatility in Financial Markets
0 个回复 - 104 次查看 Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time Textbook:Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time Author(s): Fabio Forn ...2024-8-21 09:12 - Rona-2028 - 现金交易版

Option Valuation under Stochastic Volatility II
2 个回复 - 431 次查看【作者(必填)】 lewis 【文题(必填)】 Option Valuation under Stochastic Volatility II: With Mathematica Code 【年份(必填)】 2016 【全文链接或数据库名称(选填)】注意是第二册。我需要的是只在第二册里 ...2023-11-12 22:23 - 丁屹y - 文献求助专区

Forecasting stock return volatility: The role of shrinkage approaches in a data-
4 个回复 - 438 次查看【作者(必填)】 22 【文题(必填)】 Forecasting stock return volatility: The role of shrinkage approaches in a data-rich environment【年份(必填)】 22 【全文链接或数据库名称(选填)】https://onlinelibr ...2023-11-18 22:30 - internet.hzx - 求助成功区

Forecasting renewable energy stock volatility using short and long-term Markov s
1 个回复 - 159 次查看【作者(必填)】 222 【文题(必填)】 Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?【年份(必填)】 222 【全文链接 ...2023-11-19 12:07 - internet.hzx - 求助成功区

Realized GARCH: a joint model for returns and realized measures of volatility
1 个回复 - 271 次查看【作者(必填)】 333 【文题(必填)】Realized GARCH: a joint model for returns and realized measures of volatility 【年份(必填)】 33 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley.com/doi/ ...2023-8-24 23:59 - internet.hzx - 求助成功区

Forecasting VaR models under different volatility processes and distributions of
1 个回复 - 306 次查看【作者(必填)】 22 【文题(必填)】 Forecasting VaR models under different volatility processes and distributions of return innovations[/backcolor]【年份(必填)】22 【全文链接或数据库名称(选填)】htt ...2023-8-25 02:30 - internet.hzx - 求助成功区

【随机波动性模型，金融数学】 Stochastic Volatility Modeling (2016) by L. Bergomi
85 个回复 - 16931 次查看 Stochastic Volatility Modeling Lorenzo Bergomi Packed with insights, Lorenzo Bergomi’s Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in ...2016-12-9 09:52 - cmwei333 - 金融学（理论版）

Asymmetric relationship between implied volatility, index returns and trading vo
1 个回复 - 275 次查看【作者(必填)】 23 【文题(必填)】 Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model【年份(必填)】 23 【全文链接或数据 ...2022-12-21 09:59 - internet.hzx - 求助成功区

Can volume predict Bitcoin returns and volatility? A quantiles-based approach
1 个回复 - 297 次查看【作者(必填)】 777 【文题(必填)】 Can volume predict Bitcoin returns and volatility? A quantiles-based approach【年份(必填)】 88 【全文链接或数据库名称(选填)】 https://www.sciencedirect.com/scie ...2022-12-17 23:22 - internet.hzx - 求助成功区

Can volume predict Bitcoin returns and volatility? A quantiles-based approach
1 个回复 - 341 次查看【作者(必填)】 23 【文题(必填)】 Can volume predict Bitcoin returns and volatility? A quantiles-based approach【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science ...2022-12-14 14:00 - internet.hzx - 求助成功区

Increasing the information content of realized volatility forecasts
1 个回复 - 450 次查看【作者(必填)】Razvan Pascalau, Ryan Poirier 【文题(必填)】Increasing the information content of realized volatility forecasts 【年份(必填)】2021 【全文链接或数据库名称(选填)】https://academi ...2022-11-4 22:29 - hnhs100 - 求助成功区

The Role of Jumps in Realized Volatility Modeling and Forecasting
1 个回复 - 432 次查看【作者(必填)】Massimiliano Caporin 【文题(必填)】The Role of Jumps in Realized Volatility Modeling and Forecasting 【年份(必填)】2022 【全文链接或数据库名称(选填)】https://academic.oup.com/jf ...2022-10-30 16:03 - hnhs100 - 求助成功区

谁有Option valuation under Stochastic volatility II by Lewis
3 个回复 - 2176 次查看论坛币2017-12-24 08:41 - martingale08 - 金融学（理论版）

e Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
2 个回复 - 935 次查看【作者(必填)】 [*]Siem Jan Koopman 【文题(必填)】e Analysis of Stochastic Volatility in the Presence of Daily Realized Measures 【年份(必填)】2013 【全文链接或数据库名称(选填)】http://jfec ...2013-8-3 22:23 - hnhs100 - 求助成功区

Sample quantile analysis for long-memory stochastic volatility models
1 个回复 - 854 次查看 Sample quantile analysis for long-memory stochastic volatility models2015-10-27 20:31 - lucky187 - 求助成功区

The representation of American options prices under stochastic volatility and ju
1 个回复 - 587 次查看【作者(必填)】Gerald H. L. Cheang , Carl Chiarella & Andrew Ziogas 【文题(必填)】The representation of American options prices under stochastic volatility and jump-diffusion dynamics 【年份(必填 ...2020-8-11 14:47 - ssylzz - 求助成功区

Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type
2 个回复 - 933 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

Derivatives in Financial Markets with Stochastic Volatility
11 个回复 - 8951 次查看 Derivatives in Financial Markets with Stochastic Volatility Authors:Jean-Pierre Fouque, George PapanicolaouK. Ronnie S Publisher: Cambridge University Press Keywords: volatility, stochastic, market ...2011-4-3 09:48 - martinnyj - 金融学（理论版）

Firm Diversification and Earnings VolatilityAn Empirical Analysis of US based mn
0 个回复 - 220 次查看 2022-3-22 16:28 - 2464_1576338390 - Forum

econpapers文献Nominal and real volatility as determinants of FDI
1 个回复 - 362 次查看【作者(必填)】Cavallari 【文题(必填)】Nominal and real volatility as determinants of FDI 【年份(必填)】2013 【全文链接或数据库名称(选填)】https://econpapers.repec.org/article/tafapplec/v_3a45_3 ...2021-12-1 14:48 - 凌子墨 - 求助成功区

【阿尔法系列】Forecasting High-Frequency Volatility Shocks: An Analytical Real
95 个回复 - 11572 次查看 2016年最新高频策略，降价出售3天，想要随时跟踪最新好书，请点击头像下方“加关注”。关注成功后，查看这里即可：三步走把千本好书“一网打尽”！。 [相关阅读] 【阿尔法系列】Fama-French五因子模型！【阿 ...2016-2-13 07:05 - wwqqer - 量化投资

The Impact of Stochastic Volatility on Pricing, Hedging and Hedge Efficiency of
1 个回复 - 711 次查看 SOA QFI Track 参考书超全大合集https://bbs.pinggu.org/thread-6906828-1-1.html文章名称：The Impact of Stochastic Volatility on Pricing, Hedging and Hedge Efficiency of Withdrawal Benefit Guarantees in V ...2021-11-16 10:56 - gonnaago - 金融学（理论版）

Volatility specifications versus probability distributions in VaR forecasting
1 个回复 - 413 次查看【作者(必填)】 2323 【文题(必填)】 Volatility specifications versus probability distributions in VaR forecasting 【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley ...2021-8-23 06:41 - internet.hzx - 求助成功区

Social media sentiment, model uncertainty, and volatility forecasting☆
1 个回复 - 428 次查看【作者(必填)】StevenLehrer[/backcolor] TianXie[/backcolor] XinyuZhang[/backcolor] 【文题(必填)】Social media sentiment, model uncertainty, and volatility forecasting☆ 【年份(必填)】2021 ...2021-8-12 15:39 - hengchao919 - 求助成功区

Firm-Specific Industries, Volatility, and Return: A Text-Based Network Industria
1 个回复 - 621 次查看【作者(必填)】Hussein Abdoh 【文题(必填)】Firm-Specific Industries, Volatility, and Return: A Text-Based Network Industrial Classification Approach 【年份(必填)】2021.1 【全文链接或数据库名称 ...2021-7-23 15:23 - hester184 - 求助成功区

Forecasting the return distribution using high-frequency volatility measures
1 个回复 - 441 次查看【作者(必填)】 23 【文题(必填)】 Forecasting the return distribution using high-frequency volatility measures【年份(必填)】 2323 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/scienc ...2021-6-18 19:24 - internet.hzx - 求助成功区

Dynamic return-volatility dependence and risk measure of CoVaR in the oil market
1 个回复 - 639 次查看【作者(必填)】 23 【文题(必填)】 Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model【年份(必填)】 23 【全文链接或数据库名称(选填)】 ...2021-6-17 03:34 - internet.hzx - 求助成功区

A Stochastic Volatility Model With a General Leverage Specification
1 个回复 - 615 次查看【作者(必填)】 23 【文题(必填)】 A Stochastic Volatility Model With a General Leverage Specification 【年份(必填)】 23 【全文链接或数据库名称(选填)】https://amstat.tandfonline.com/doi/full/10.10 ...2021-6-2 15:03 - internet.hzx - 求助成功区

Bayesian Analysis of Stochastic Volatility Models
1 个回复 - 557 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

求：Volatility-Based Technical Analysis: Strategies for Trading the Invisible
8 个回复 - 3387 次查看 ~ Kirk Northington (作者) [*]出版社: JOHN WILEY & SONS INC (2009年8月1日) [*]丛书名: Wiley Trading [*]精装: 462页 [*]语种：英语 [*]ISBN: 0470387548 [*]条形码: 97804703875422014-3-25 13:27 - 唐宋元清 - 悬赏大厅

求Asset Price Dynamics, Volatility, and Prediction
0 个回复 - 512 次查看 Asset Price Dynamics, Volatility, and Prediction2021-5-14 11:04 - 沙漠之狐aaa - 新手入门区

Listed Volatility and Variance Derivatives: A Python-based Guide (2016)
37 个回复 - 4844 次查看 Listed Volatility and Variance Derivatives: A Python-based Guide Yves Hilpisch Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance D ...2016-11-16 20:25 - cmwei333 - python论坛

免費 A Stochastic Volatility LIBOR Market Model with a closed form solution
8 个回复 - 3053 次查看 A Stochastic Volatility LIBOR Market Model with a closed form solution by Hazim Nada Imperial College London Centre for Quantitative Finance 1 Introduction 6 2 Literature Review 9 2.1 Review ...2009-10-12 15:58 - martinnyj - 金融学（理论版）

求助Futures hedging with stochastic volatility: a new method
0 个回复 - 374 次查看【作者(必填)】Alghalith, M., & Floros, C. 【文题(必填)】Futures hedging with stochastic volatility: a new method. I 【年份(必填)】2020 【全文链接或数据库名称(选填)】 international Journal of ...2020-8-24 22:23 - 地下爆菊 - 文献求助专区

Asset price volatility and trading volume with rational beliefs
2 个回复 - 487 次查看【作者(必填)】 23 【文题(必填)】 Asset price volatility and trading volume with rational beliefs【年份(必填)】23 【全文链接或数据库名称(选填)】https://link_springer.gg363.site/article/10.1007/s0 ...2019-10-23 21:20 - internet.hzx - 求助成功区

SV Model, Stochastic volatility model, 随机波动率模型， stata, eviews, OxMetrics
6 个回复 - 4422 次查看最近写论文需要用到SV和SV的扩展模型预测汇率，数据已经弄好，需要用simulated maximum likelihood估计，并且用滚动窗口预测未来100天汇率波动率，最好用OxMetrics或者stata，eviews做，R语言也可以不过我不会用。模 ...2018-7-23 07:49 - 莫学庞涓怯孙膑0 - winbugs及其他软件专版

Volatility Master Class for Quants by Bruno Dupire
4 个回复 - 2344 次查看 Volatility Master Class for Quants by Bruno Dupire Series: Wiley Finance (Book 547) Hardcover: 288 pages Publisher: Wiley; 1 edition Language: English ISBN-10: 0470053178 ISBN-13: 978-047 ...2015-1-26 08:35 - tigerwolf - 悬赏大厅

Volatility Master Class for Quants
3 个回复 - 1227 次查看 https://www.amazon.it/Volatility-Master-Class-Quants-Dupire/dp/0470053178 A look into the world of volatility from the man who laid the foundations of the field Vo ...2016-9-29 13:05 - carvel - 悬赏大厅

Coronavirus and financial volatility: 40 days of fasting and fear
1 个回复 - 279 次查看【作者(必填)】Claudiu Albulescu 【文题(必填)】Coronavirus and financial volatility: 40 days of fasting and fear 【年份(必填)】2020 【全文链接或数据库名称(选填)】2020-4-8 22:26 - xiaoxingyunlala - 求助成功区

On the predictive power of ARJI volatility forecasts for Bitcoin
2 个回复 - 608 次查看【作者(必填)】ying-Nan Wang[/backcolor][/backcolor],Hung-Chun Liu[/backcolor],Shu-Mei Chiang[/backcolor] &Yuan-Teng Hsu[/backcolor][/backcolor] 【文题(必填)】On the predictive power of ARJI volatil ...2020-1-20 14:39 - hnhs100 - 求助成功区

The asymmetric relationship between returns and implied volatility: Evidence fro
1 个回复 - 428 次查看【作者(必填)】 23 【文题(必填)】 The asymmetric relationship between returns and implied volatility: Evidence from global stock markets【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www. ...2020-1-10 00:49 - internet.hzx - 求助成功区

Pricing volatility swaps in the Heston’s stochastic volatility model with regim
1 个回复 - 413 次查看【作者(必填)】Mengzhe Zhang[/backcolor] and Leunglung Chan[/backcolor] 【文题(必填)】Pricing volatility swaps in the Heston’s stochastic volatility model with regime switching: A saddlepoint a ...2019-11-10 20:49 - Alicefree - 求助成功区

Option Valuation Under Stochastic Volatility
22 个回复 - 8375 次查看 Option Valuation Under Stochastic Volatility: With Mathematica Code ~ Alan L. Lewis Review"...an impressive collection of methods and results. I found Chapter 7 on equilibrium models particular ...2010-5-9 11:35 - martinnyj - 金融学（理论版）

HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonline
1 个回复 - 731 次查看【作者(必填)】Giuseppe Buccheri, Fulvio Corsi 【文题(必填)】HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies 【年份(必填)】2019 【全文链接或数据库 ...2019-10-9 06:47 - hnhs100 - 求助成功区

Event studies based on volatility of returns and trading volume: A review
1 个回复 - 384 次查看【作者(必填)】Pradeep K.Yadav 【文题(必填)】Event studies based on volatility of returns and trading volume: A review 【年份(必填)】The British Accounting Review Volume 24, Issue 2, June 1992, P ...2019-9-15 16:05 - hiderm - 求助成功区

The Information Content of Intraday Implied Volatility for Volatility Forecastin
2 个回复 - 357 次查看【作者(必填)】Yaw‐Huei Wang[/backcolor] Yun‐Yi Wang[/backcolor] 【文题(必填)】The Information Content of Intraday Implied Volatility for Volatility Forecasting 【年份(必填)】2015 【全文链 ...2019-8-29 20:16 - hnhs100 - 求助成功区

Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility,
2 个回复 - 716 次查看【作者(必填)】Dimos S. Kambouroudis[/backcolor] David G. McMillan[/backcolor] Katerina Tsakou[/backcolor] 【文题(必填)】Forecasting Stock Return Volatility: A Comparison of GARCH, Implied V ...2019-8-30 22:32 - hnhs100 - 求助成功区

The Information Content of Intraday Implied Volatility for Volatility Forecastin
2 个回复 - 438 次查看【作者(必填)】Yaw‐Huei Wang[/backcolor] Yun‐Yi Wang[/backcolor] 【文题(必填)】The Information Content of Intraday Implied Volatility for Volatility Forecasting 【年份(必填)】2015 【全文链 ...2019-8-25 19:00 - hnhs100 - 求助成功区

Forecasting stock market volatility and information content of implied volatilit
2 个回复 - 421 次查看【作者(必填)】Pratap Chandra Pati[/backcolor] 【文题(必填)】Forecasting stock market volatility and information content of implied volatility index 【年份(必填)】2018 【全文链接或数据库名称 ...2019-8-25 18:57 - hnhs100 - 求助成功区

Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS
4 个回复 - 948 次查看【作者(必填)】Daniel Borup[/backcolor] 【文题(必填)】Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model 【年份(必填)】2019 【全文链接或数据库名称(选填)】http ...2019-8-22 15:22 - hnhs100 - 求助成功区

谁有Option Valuation under Stochastic Volatility II: With Mathematica Code
2 个回复 - 1262 次查看求Option Valuation under Stochastic Volatility II: With Mathematica Code2019-8-10 10:12 - martingale08 - 金融工程（数量金融）与金融衍生品

求realized stochastic volatility代码
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