Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Browsing by Subject Stochastic volatility
Showing results 1 to 5 of 5
| Issue Date | Title | Author(s) |
|---|---|---|
| 2010 | Estimating persistence in the volatility of asset returns with signal plus noise models | Caporale, GM; Gil-Alana, LA |
| 2010 | Liquidity risk, credit risk and the overnight interest rate spread: A stochastic volatility modelling approach | Beirne, J; Caporale, GM; Spagnolo, N |
| 2015 | Pricing of defaultable bonds with random information flow | Brody, DC; Law, YT |
| 2010 | Regime switching volatility calibration by the Baum-Welch method | Mitra, S; Date, P |
| 2014 | Stochastic models with random parameters for financial markets | Islyaev, Suren |