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Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model. (2006). Masoliver, Jaume ; Perello, Josep.
In: Quantitative Finance.
RePEc:taf:quantf:v:6:y:2006:i:5:p:423-433.

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  1. Inference in generalized exponential O–U processes. (2023). Nkurunziza, Severien ; Lyu, Yunhong.
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  2. New volatility evolution model after extreme events. (2022). Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong ; Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling.
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    RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921009620.

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  3. New volatility evolution model after extreme events. (2022). Li, Sai-Ping ; Chen, Zhang-Hangjian ; Cai, Mei-Ling ; Ren, Fei ; Yang, Ming-Yuan ; Zhang, Wei ; Xiong, Xiong.
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  4. Sentiment Diffusion in Financial News Networks and Associated Market Movements. (2020). Yang, Jie ; Wan, Xingchen ; Dong, Xiaowen ; Zohren, Stefan ; Calliess, Jan-Peter ; Marinov, Slavi.
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  5. Variance swaps with double exponential Ornstein-Uhlenbeck stochastic volatility. (2019). Kim, Jeong-Hoon.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:48:y:2019:i:c:p:149-169.

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  6. The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework. (2019). Pagliarani, Stefano ; Nicolato, Elisa ; Barletta, Andrea.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:29:y:2019:i:3:p:928-966.

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  7. Market Imitation and Win-Stay Lose-Shift Strategies Emerge as Unintended Patterns in Market Direction Guesses. (2016). Perello, Josep ; Duch, Jordi ; Segura, Carlota ; Gutierrez-Roig, Mario.
    In: PLOS ONE.
    RePEc:plo:pone00:0159078.

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  8. Understanding the determinants of volatility clustering in terms of stationary Markovian processes. (2016). Micciche, S.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:462:y:2016:i:c:p:186-197.

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  9. Calibrating the exponential Ornstein--Uhlenbeck multiscale stochastic volatility model. (2014). Dubarry, Cyrille ; Douc, Randal .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:14:y:2014:i:3:p:443-456.

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  10. Agent-based model with asymmetric trading and herding for complex financial systems. (2014). Chen, Jie ; Zheng, BO ; Tan, Lei.
    In: Papers.
    RePEc:arx:papers:1407.5258.

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  11. Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems. (2013). Tan, Lei ; Zheng, BO ; Chen, Jun-Jie .
    In: PLOS ONE.
    RePEc:plo:pone00:0079531.

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  12. Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons. (2009). Subbotin, Alexandre .
    In: Applied Econometrics.
    RePEc:ris:apltrx:0113.

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  13. Volatility Models : from GARCH to Multi-Horizon Cascades. (2009). Subbotin, Alexander ; Chauveau, Thierry ; Shapovalova, Kateryna .
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-00390636.

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  14. Multiple time scales and the empirical models for stochastic volatility. (2007). Buchbinder, G. L. ; Chistilin, K. M..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:379:y:2007:i:1:p:168-178.

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  50. A characterization of self-affine processes in finance through the scaling function. (). Resta, Marina ; Sciutti, Davide.
    In: Modeling, Computing, and Mastering Complexity 2003.
    RePEc:sce:cplx03:13.

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