Back to search

Long memory in continuous‐time stochastic volatility models

Data up to Jan 2025

Published1998
Citations747
References29

Total Citations Per Year

Abstract

References (29)

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Convergence of Probability Measures

1999 • 14,297 citations

Brownian Motion and Stochastic Calculus

2007 • 8,413 citations

Theory of rational option pricing

2005 • 7,870 citations

Fractional Brownian Motions, Fractional Noises and Applications

1968 • 7,349 citations

Stochastic Integration and Differential Equations

2005 • 4,762 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

1983 • 2,957 citations

Fractionally integrated generalized autoregressive conditional heteroskedasticity

1996 • 2,276 citations

A General Version of the Fundamental Theorem of Asset Pricing (1994)

2008 • 1,557 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

5 Stochastic volatility

1996 • 1,243 citations

Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series

1986 • 908 citations

Pricing foreign currency options with stochastic volatility

1990 • 780 citations

Efficient parameter estimation for self-similar processes

2006 • 719 citations

A Long Memory Property of Stock Market Returns and a New Model

2010 • 707 citations

Arbitrage with Fractional Brownian Motion

1997 • 589 citations

Semi parametric analysis of long memory time series

1994 • 401 citations

Semiparametric Analysis of Long-Memory Time Series

1994 • 335 citations

Implied ARCH models from options prices

1992 • 310 citations

OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1

1996 • 251 citations

Long memory continuous time models

1996 • 245 citations

Closing the GARCH gap: Continuous time GARCH modeling

1996 • 234 citations

[Bayesian Analysis of Stochastic Volatility Models]: Reply

1994 • 205 citations

Analysis of the Term Structure of Implied Volatilities

1994 • 200 citations

Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates

1993 • 170 citations

Asypmtotic Filtering Theory for Univariate Arch Models

1994 • 55 citations

EQUILIBRIUM STATE PRICES IN A STOCHASTIC VOLATILITY MODEL1

1996 • 53 citations

SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS

1996 • 50 citations

Cited By (0)

Loading...