Search Results - "volatility modelling"

A flexible model of term-structure dynamics of commodity prices: A comparative analysis with a two-factor Gaussian model by Suenaga, Hiroaki

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Consistent nonparametric specification tests for stochastic volatility models based on the return distribution by Zu, Yang, Boswijk, Peter

Subjects: “…Nonparametric test; Stochastic volatility models…”
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Nonparametric specification tests for stochastic volatility models based on volatility density by Zu, Yang

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Volatility modeling and prediction: the role of price impact by Jiang, Ying, Cao, Yi, Liu, Xiaoquan, Zhai, Jia

Subjects: “…Market Microstructure; Chinese Stock Market; Panel Vector Autoregression; Volatility Modeling…”
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Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework by Zhang, Y., Wu, Yong, Wiwatanapataphee, Benchawan, Angkola, Francisca

Subjects: “…Heston stochastic volatility model…”
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