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2016, Chapman & Hall/CRC financial mathematics series, ISBN 9781482244069, xvi, 506
Book
The Journal of finance (New York), ISSN 0022-1082, 2006, Volume 61, Issue 1, pp. 259 - 299
Journal Article
The review of economics and statistics, ISSN 1530-9142, 2013, Volume 95, Issue 3, pp. 776 - 797
We revisit the relation between stock market volatility and macroeconomic activity using a new class of component models that distinguish short-run from long-run movements... 
UNITED-STATES | PERSISTENCE | LONG-RUN | RETURNS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | STOCHASTIC VOLATILITY | VARIANCE | MODEL | ECONOMY | Econometric models | Industrial productivity | Macroeconomics | Stock markets | Analysis
Journal Article
Journal Article
Physica A, ISSN 0378-4371, 01/2019, Volume 514, pp. 156 - 166
Journal Article
Physica A, ISSN 0378-4371, 06/2018, Volume 499, pp. 224 - 232
We test the goodness-of-fit of stochastic volatility (SV) models using the implied volatility index of the KOSPI200 options (VKOSPI... 
Stochastic volatility | VKOSPI | CEV model | Jump–diffusion process | PHYSICS, MULTIDISCIPLINARY | Jump-diffusion process | MARKETS | OPTIONS
Journal Article
The Journal of finance (New York), ISSN 0022-1082, 2002, Volume 57, Issue 3, pp. 1047 - 1091
Journal Article
Mathematical finance, ISSN 0960-1627, 07/2019, Volume 29, Issue 3, pp. 928 - 966
We consider a modeling setup where the volatility index (VIX) dynamics are explicitly computable as a smooth transformation of a purely diffusive, multidimensional Markov process... 
implied volatility asymptotics | asymptotic expansions | VIX options | G13 | G12 | C60 | multifactor stochastic volatility | Options (Finance) | Markov processes | Analysis | Generalizations | Transformation | Accuracy | Perturbation methods | Volatility | Stock market indexes | Markov analysis | Maturity
Journal Article
Energy economics, ISSN 0140-9883, 2014, Volume 43, pp. 264 - 273
This paper investigates the empirical properties of oil, natural gas, and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from wholesale markets... 
DCC model | Electricity | Crude oil | Volatility | Trivariate VARMA | Asymmetric BEKK model | GARCH-in-mean model | Natural gas | BEAT | NATURAL-GAS | TRANSMISSION | COINTEGRATION | AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY | INFLATION | TIME-SERIES | UNIT-ROOT | ECONOMICS | OIL PRICE UNCERTAINTY | Energy industry | Models | Performance evaluation | Correlation analysis | Comparative studies | Stochastic models | Estimating techniques
Journal Article
Econometrica, ISSN 0012-9682, 1/2009, Volume 77, Issue 1, pp. 283 - 306
Journal Article
European journal of operational research, ISSN 0377-2217, 2019, Volume 275, Issue 2, pp. 768 - 779
•Design an exact simulation for Ornstein–Uhlenbeck stochastic volatility model.•Find a conditional Laplace transform with integrals on Ornstein–Uhlenbeck process... 
Stochastic volatility | Analytical extension | Ornstein–Uhlenbeck process | Simulation | Laplace transform | MAXIMUM-LIKELIHOOD-ESTIMATION | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | Ornstein-Uhlenbeck process | TERM STRUCTURE | OPTIONS | Markov processes | Usage | Mathematical optimization | Analysis
Journal Article
2005, STU - Student edition, ISBN 0691115370, xv, 525
..., and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. 
Capital assets pricing model | Economics | Mathematical models | Finance | Econometrics | BUSINESS & ECONOMICS
Book