This paper develops an order selection criterion for a continuous autoregressive (CAR) time series. Based on the quadratic variation consideration of a ...

This paper develops an order selection criterion for a continuous autoregressive (CAR) time series. Based on the quadratic variation consideration of a ...

In this paper, an order selection method based on the so-called quadratic variation (QV) is studied and its asymptotic behavior is analyzed. Based on this QV.

Order selection of continuous time models : Applications to estimation of risk premiums ; Publisher, Institute of Electrical and Electronics Engineers, Inc.

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time-varying intensity.

This paper develops an optimal trading strategy explicitly linked to an agent׳s preferences and assessment of the distribution of asset returns.

Market index volatility is one of the most fundamental variables determined in financial markets and is a particularly relevant input into option pricing, risk ...

Feb 2, 2024 · We propose expected shortfall type model risk measures applied to Lévy jump, affine jump-diffusion, and multifactor models.

To implement the time series based tests, we use a representative option price to com- pute a model based estimate of Vt. We select a representative daily ...

Then, given these parameters, we use the information embedded in options to estimate volatility and risk premiums.” In their effort to fit Stochastic ...