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The top documents tagged [realized variance]
Patton Sheppard Realized Semi Variance 7oct11
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Vol Market
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Estimation and Forecasting of Stock Volatility With Range - Based Estimators
58 views
Spline Garch as a Measure of Unconditional Volatility and its Global Macroeconomic Causes Robert Engle and Jose Gonzalo Rangel NYU and UCSD
219 views
Mean-Reverting Models in Financial and Energy Markets Anatoliy Swishchuk Mathematical and Computational Finance Laboratory, Department of Mathematics and
217 views
Achieving Consistent Modeling Of VIX and Equities Derivatives
101 views
Efficient Numerical PDE Methods to Solve Calibration and Pricing Problems in Local Stochastic Volatility Models
186 views
Volatility derivatives and default risk
141 views
An Approximate Distribution of Delta-Hedging Errors in a Jump-Diffusion Model with Discrete Trading and Transaction Costs
105 views
Paper Review: “On the Pricing and Hedging of Volatility Derivatives” by S. Howison, A. Rafailidis and H. Rasmussen (Applied Mathematical Finance J., 2004)
215 views
Forecasting Realized Variance Using Jumps Andrey Fradkin Econ 201 4/4/2007
224 views
Bruno Dupire Applications of the Root Solution of the Skorohod Embedding Problem in Finance Bruno Dupire Bloomberg LP CRFMS, UCSB Santa Barbara, April
235 views
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