Volatility
National Institutes of Health
Papers overview
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This dissertation is an investigation into realised volatility (RV) estimators. Here, RV is defined as the sum-of-squared-returns…
s (Talks) 5 Adeline Samson. PARAMETER ESTIMATION IN THE STOCHASTIC MORRIS-LECAR NEURONAL MODEL…
We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high-frequency…
This paper provides a new empirical guidance for modeling a skewed and fat-tailed error distribution underlying the traditional…
This paper considers an estimator of the model-free implied volatility (MF-IV) derived by Jiang and Tian (2005) and investigates…
A family of credit risk models is proposed to capture three salient features of Latin American (LA) Sovereign Bond Markets…