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A stochastic‐volatility equity‐price tree for pricing convertible bonds with endogenous firm values and default risks determined by the first‐passage default model
Dai, Tian‐Shyr, Fan, Chen‐Chiang, Liu, Liang‐Chih, Wang, Chuan‐Ju, Wang, Jr‐Yan
Published in The journal of futures markets (01.12.2022)
Published in The journal of futures markets (01.12.2022)
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A Bayesian panel stochastic volatility measure of financial stability
Mamatzakis, Emmanuel C., Tsionas, Mike G.
Published in International journal of finance and economics (01.10.2021)
Published in International journal of finance and economics (01.10.2021)
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Comparison of asymmetric stochastic volatility models under different correlation structures
Men, Zhongxian, McLeish, Don, Kolkiewicz, Adam W., Wirjanto, Tony S.
Published in Journal of applied statistics (11.06.2017)
Published in Journal of applied statistics (11.06.2017)
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Pricing Variance Swaps Under Stochastic Volatility with an Ornstein-Uhlenbeck Process
Jia, Zhaoli, Bi, Xiuchun, Zhang, Shuguang
Published in Journal of systems science and complexity (01.12.2015)
Published in Journal of systems science and complexity (01.12.2015)
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