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Showing results 1 to 5 of 5

1
Crude oil price shocks and hedging performance: A comparison of volatility models

Chun, Dohyun; Cho, Hoon; Kim, Jihun, ENERGY ECONOMICS, v.81, pp.1132 - 1147, 2019-06

2
Gamma expansion of the Heston stochastic volatility model

Glasserman, P; Kim, Kyoung-Kuk, FINANCE AND STOCHASTICS, v.15, no.2, pp.267 - 296, 2011-06

3
Interest rates factor model

Lee, Sang-Wook; Kim, Min-Jae; Kim, Soo-Yong, PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, v.390, no.13, pp.2531 - 2548, 2011-07

4
The role of stochastic volatility and return jumps: Reproducing volatility and higher moments in the KOSPI 200 returns dynamics

Kim I.J.; Baek I.-S.; Noh J.; Kim S., REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING, v.29, no.1, pp.69 - 110, 2007-07

5
Unified discrete-time factor stochastic volatility and continuous-time Ito models for combining inference based on low-frequency and high-frequency

Kim, Donggyu; Song, Xinyu; Wang, Yazhen, JOURNAL OF MULTIVARIATE ANALYSIS, v.192, 2022-11

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