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7 research outputs found
Data cloning estimation of GARCH and COGARCH models
Author
Bollerslev T
E. Romero
+5 more
J.M. Marín
Kazmerchuk Y
M.T. Rodríguez-Bernal
Nakatsuma T
Sólymos P
Publication venue
'Informa UK Limited'
Publication date
Field of study
No full text
Crossref
On the Continuous Limit of GARCH
Author
C Alexander
Carol Alexander
+18 more
D B Nelson
D S Bates
D S Bates
Emese Lazar
F C Drost
F C Drost
G Bakshi
J Duan
J Duan
J Kallsen
L D Brown
N Meddahi
R F Engle
S J Taylor
T Bollerslev
T Jeantheau
Y Kazmerchuk
Y Wang
Publication venue
'Elsevier BV'
Publication date
01/01/2005
Field of study
No full text
Crossref
Volatility and Variance Swap for the Cogarch(1,1) Model
Author
A Javaheri
A Swishchuk
+20 more
A Swishchuk
Anatoliy V. Swishchuk
C Kl�ppelberg
C Kl�ppelberg
D Applebaum
D B Nelson
F C Drost
J Kallsen
J.-C Duan
K Demeterfi
L De Haan
O Brockhaus
O E Barndorff-Nielsen
P Brockwell
S Haug
S Haug
T Bollerslev
V V Anh
W Schoutens
Y Kazmerchuk
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
No full text
Crossref
Asymptotic analysis of a boundary-value problem in a cascade thick junction with a random transmission zone
Author
Amirat Y
Balzano M
+22 more
Balzano M
C. D'Apice
Chechkin GA
De Maio U
Fleury F
G.A. Chechkin
Jikov VV
Kazmerchuk YuA
Ladyzhenskaya OA
Mel'nyk TA
Mel'nyk TA
Mel'nyk TA
Mel'nyk TA
Mel'nyk TA
Mel'nyk TA
Mel'nyk TA
Mel'nyk TA
Nazarov SA
Sobolev SL
T.A. Mel'nyk
T.P. Chechkina
U. De Maio
Publication venue
'Informa UK Limited'
Publication date
Field of study
No full text
Crossref
State-Dependent Dependencies: A Continuous-Time Dynamics for Correlations
Author
A Ang
A Ang
+30 more
A Buraschi
As Hurn
B Eichengreen
B H Boyer
C Gourieroux
Christoph Becker
D G Hobson
F Longin
F Longin
H Markowitz
K J Forbes
L Cappiello
L You
M Arriojas
M Escobar
M Pericoli
N El Karoui
Nobuyuki Ikeda
O E Barndorff-Nielsen
R A J Campbell
U K�chler
Uwe K�chler
Uwe K�chler
V J Yohai
Valentin Todorov
W N Venables
Wolfgang M. Schmidt
X Mao
Y Kazmerchuk
Z Ding
Publication venue
'Elsevier BV'
Publication date
01/01/2010
Field of study
No full text
Crossref
Pricing of Variance and Volatility Swaps with Semi-Markov Volatilities
Author
A Javaheri
A Shiryaev
+39 more
A Swishchuk
A Swishchuk
A Swishchuk
A Swishchuk
Anatoliy V. Swishchuk
B Dupire
D Hobson
Di Masi
E Derman
E Derman
E Stein
H F�llmer
H F�llmer
H Johnson
J Cox
J Cox
J Duan
J Hamilton
J Harrison
J Hull
J Hull
J Wiggins
K Demeterfi
L Scott
M Chesney
O Brockhaus
P Carr
P Wilmott
R Buff
R Elliott
R Frey
R Griego
R Merton
R Theoret
S Gray
S Heston
T Bollerslev
V Korolyuk
Y Kazmerchuk
Publication venue
'Elsevier BV'
Publication date
01/01/2009
Field of study
No full text
Crossref