Fractional Cointegration in Stochastic Volatility Models

Econometric Theory - United Kingdom
doi 10.1017/s0266466608080481
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Cambridge University Press (CUP)

Related search

Stochastic Volatility Models With Volatility Driven by Fractional Brownian Motions

Communications in Information and Systems
2015English

Foreign Exchange, Fractional Cointegration and the Implied–realized Volatility Relation

Journal of Banking and Finance
EconomicsEconometricsFinance
2010English

News Impact Curve for Stochastic Volatility Models

Economics Letters
EconomicsFinanceEconometrics
2013English

Range-Based Estimation of Stochastic Volatility Models

Journal of Finance
AccountingEconomicsEconometricsFinance
2002English

Solving Asset Pricing Models With Stochastic Volatility

SSRN Electronic Journal
2014English

Bayesian Estimation of Non-Gaussian Stochastic Volatility Models

Journal of Mathematical Finance
2014English

Fractional Cointegration in US Term Spreads

Applied Economics Letters
EconomicsEconometrics
2012English

Option Pricing in Multivariate Stochastic Volatility Models of OU Type

SIAM Journal on Financial Mathematics
Applied MathematicsNumerical AnalysisFinance
2012English

On Efficient Bayesian Inference for Models With Stochastic Volatility

SSRN Electronic Journal
2016English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy