Aït-Sahalia, Yacine; Sağlam, Mehmet High frequency market making: the role of speed. (English) Zbl 07814011 J. Econom. 239, No. 2, Article ID 105421, 29 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} and \textit{M. Sağlam}, J. Econom. 239, No. 2, Article ID 105421, 29 p. (2024; Zbl 07814011) Full Text: DOI
Petukhina, Alla; Klochkov, Yegor; Härdle, Wolfgang Karl; Zhivotovskiy, Nikita Robustifying Markowitz. (English) Zbl 07814007 J. Econom. 239, No. 2, Article ID 105387, 24 p. (2024). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{A. Petukhina} et al., J. Econom. 239, No. 2, Article ID 105387, 24 p. (2024; Zbl 07814007) Full Text: DOI arXiv
Wang, Xiaohu; Xiao, Weilin; Yu, Jun Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process. (English) Zbl 07648719 J. Econom. 232, No. 2, 389-415 (2023). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Wang} et al., J. Econom. 232, No. 2, 389--415 (2023; Zbl 07648719) Full Text: DOI
Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu Closed-form implied volatility surfaces for stochastic volatility models with jumps. (English) Zbl 1471.91557 J. Econom. 222, No. 1, Part B, 364-392 (2021). MSC: 91G20 91B70 62P05 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} et al., J. Econom. 222, No. 1, Part B, 364--392 (2021; Zbl 1471.91557) Full Text: DOI
Andreasen, Martin M.; Christensen, Jens H. E.; Rudebusch, Glenn D. Term structure analysis with big data: one-step estimation using bond prices. (English) Zbl 1452.62740 J. Econom. 212, No. 1, 26-46 (2019). MSC: 62P05 62M20 91G30 PDFBibTeX XMLCite \textit{M. M. Andreasen} et al., J. Econom. 212, No. 1, 26--46 (2019; Zbl 1452.62740) Full Text: DOI
Li, Chenxu; Chen, Dachuan Estimating jump-diffusions using closed-form likelihood expansions. (English) Zbl 1443.62361 J. Econom. 195, No. 1, 51-70 (2016). MSC: 62P05 62M05 60J60 62F12 91G20 PDFBibTeX XMLCite \textit{C. Li} and \textit{D. Chen}, J. Econom. 195, No. 1, 51--70 (2016; Zbl 1443.62361) Full Text: DOI
Majewski, Adam A.; Bormetti, Giacomo; Corsi, Fulvio Smile from the past: a general option pricing framework with multiple volatility and leverage components. (English) Zbl 1337.91149 J. Econom. 187, No. 2, 521-531 (2015). MSC: 91G70 91G20 62M10 62P05 PDFBibTeX XMLCite \textit{A. A. Majewski} et al., J. Econom. 187, No. 2, 521--531 (2015; Zbl 1337.91149) Full Text: DOI arXiv Link
Asai, Manabu; McAleer, Michael Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing. (English) Zbl 1337.62316 J. Econom. 187, No. 2, 436-446 (2015). MSC: 62P05 62M10 91B84 91G20 PDFBibTeX XMLCite \textit{M. Asai} and \textit{M. McAleer}, J. Econom. 187, No. 2, 436--446 (2015; Zbl 1337.62316) Full Text: DOI Link
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana Mutual excitation in Eurozone sovereign CDS. (English) Zbl 1312.91089 J. Econom. 183, No. 2, 151-167 (2014). MSC: 91G40 91G20 62P05 60G55 60J28 PDFBibTeX XMLCite \textit{Y. Aït-Sahalia} et al., J. Econom. 183, No. 2, 151--167 (2014; Zbl 1312.91089) Full Text: DOI
Xiu, Dacheng Hermite polynomial based expansion of European option prices. (English) Zbl 1298.91171 J. Econom. 179, No. 2, 158-177 (2014). MSC: 91G20 41A10 60H30 60J70 PDFBibTeX XMLCite \textit{D. Xiu}, J. Econom. 179, No. 2, 158--177 (2014; Zbl 1298.91171) Full Text: DOI
Gouriéroux, C.; Monfort, A.; Renne, J. P. Pricing default events: surprise, exogeneity and contagion. (English) Zbl 1311.91186 J. Econom. 182, No. 2, 397-411 (2014); erratum ibid. 183, No. 2, 150 (2014). MSC: 91G40 91G20 62P05 PDFBibTeX XMLCite \textit{C. Gouriéroux} et al., J. Econom. 182, No. 2, 397--411 (2014; Zbl 1311.91186) Full Text: DOI Link
Grothe, Oliver; Korniichuk, Volodymyr; Manner, Hans Modeling multivariate extreme events using self-exciting point processes. (English) Zbl 1311.62074 J. Econom. 182, No. 2, 269-289 (2014). MSC: 62G32 60G70 60G55 91G70 91B84 62P05 PDFBibTeX XMLCite \textit{O. Grothe} et al., J. Econom. 182, No. 2, 269--289 (2014; Zbl 1311.62074) Full Text: DOI Link