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科研机构
上海财经大学 [14]
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期刊论文 [13]
会议论文 [1]
发表日期
2019 [5]
2018 [3]
2016 [1]
2014 [2]
2013 [2]
2007 [1]
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专题:上海财经大学
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Least-square-based control variate method for pricing options under general factor models
期刊论文
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2019, 卷号: 96, 期号: 6, 页码: 1121-1136
作者:
Xu, Chenglong
;
Ma, Junmei
;
Tian, Yiming
收藏
  |  
浏览/下载:15/0
  |  
提交时间:2019/08/22
Control variate method
least-square method
Monte Carlo simulation
stochastic volatility
stochastic interest rate
A nonparametric specification test for the volatility functions of diffusion processes
期刊论文
ECONOMETRIC REVIEWS, 2019, 卷号: 38, 期号: 5, 页码: 557-576
作者:
Chen, Qiang
;
Hu, Meidi
;
Song, Xiaojun
收藏
  |  
浏览/下载:28/0
  |  
提交时间:2019/08/22
Bootstrap
diffusion processes
Monte Carlo simulation
nonparametric estimation
parametric volatility function
specification test
A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2019, 卷号: 35, 期号: 3, 页码: 603-623
作者:
Tang, Yinfen
;
Zhang, Zhiyuan
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2019/08/22
combined filters
high-frequency data
integrated volatility
market microstructure noise
price discreteness
Goodness-of-Fit Test in Multivariate Jump Diffusion Models
期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2019, 卷号: 37, 期号: 2, 页码: 275-287
作者:
Zhang, Shulin
;
Zhou, Qian M.
;
Zhu, Dongming
;
Song, Peter X. -K.
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  |  
浏览/下载:21/0
  |  
提交时间:2019/08/22
Approximate MLE
In-sample likelihood
Information matrix
Model specification test
Out-of-sample likelihood
An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
期刊论文
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2019
作者:
Liang, Yijuan
;
Xu, Chenglong
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  |  
浏览/下载:6/0
  |  
提交时间:2019/08/22
Conditional Monte Carlo
martingale control variate
option pricing
stochastic volatility
stochastic interest rate
Hybrid quantile regression estimation for time series models with conditional heteroscedasticity
期刊论文
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2018, 卷号: 80, 期号: 5, 页码: 975-993
作者:
Zheng, Yao
;
Zhu, Qianqian
;
Li, Guodong
;
Xiao, Zhijie
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2019/08/22
Bootstrap method
Conditional quantile
Generalized auto-regressive conditional heteroscedasticity
Non-linear time series
Quantile regression
Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data
期刊论文
RANDOM MATRICES-THEORY AND APPLICATIONS, 2018, 卷号: 7, 期号: 3
作者:
Liu, Zhi
;
Xia, Xiaochao
;
Zhou, Guoliang
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  |  
浏览/下载:8/0
  |  
提交时间:2019/08/22
High-frequency data
volatility estimation
microstructure noise
Bootstrapping volatility functionals: a local and nonparametric perspective
期刊论文
BIOMETRIKA, 2018, 卷号: 105, 期号: 2, 页码: 463-469
作者:
Kong, Xin-Bing
;
Xu, Shao-Jun
;
Zhou, Wang
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  |  
浏览/下载:4/0
  |  
提交时间:2019/08/22
Bootstrap
Ito process
Realized volatility functional
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
期刊论文
JOURNAL OF ECONOMETRICS, 2016, 卷号: 194, 期号: 2, 页码: 220-230
作者:
Kim, Donggyu
;
Wang, Yazhen
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/08/22
GARCH
Ito process
Quasi-maximum likelihood estimator
Realized volatility
Stochastic differential equation
Estimation of extreme value-at-risk: An EVT approach for quantile GARCH model
期刊论文
ECONOMICS LETTERS, 2014, 卷号: 124, 期号: 3, 页码: 378-381
作者:
Yi, Yanping
;
Feng, Xingdong
;
Huang, Zhuo
收藏
  |  
浏览/下载:4/0
  |  
提交时间:2019/08/22
Extreme value theory
GARCH
Quantile regression
Semiparametric
Value at risk
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