Stochastic Volatility

Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests

Economics / Monte Carlo Simulation / Monte Carlo / Mathematical Sciences / Stochastic Volatility / Microstructure Noise / New York Stock Exchange / Empirical Analysis / High Frequency Data / Sampling Frequency / Microstructure Noise / New York Stock Exchange / Empirical Analysis / High Frequency Data / Sampling Frequency

Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media

Stochastic Volatility / geometric Brownian motion / Mean Reversion

A multivariate jump-driven financial asset model

Economics / Derivative Pricing / Quantitative Finance / Mathematical Sciences / Stochastic Volatility / Firm Value

Power-law relaxation in a complex system: Omori law after a financial market crash

Engineering / Mathematical Sciences / Stochastic Volatility / Power Law / Physical sciences / Financial Market / Probability Density Function / Asymptotic Behavior / Financial Market / Probability Density Function / Asymptotic Behavior

Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests

Economics / Monte Carlo Simulation / Monte Carlo / Monte Carlo Simulations / Mathematical Sciences / Stochastic Volatility / Microstructure Noise / New York Stock Exchange / Empirical Analysis / High Frequency Data / Sampling Frequency / Stochastic Volatility / Microstructure Noise / New York Stock Exchange / Empirical Analysis / High Frequency Data / Sampling Frequency

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