Bryan Ellickson

University of California, Los Angeles (UCLA) - Department of Economics

Box 951477

2263 Bunche Hall Box 951477

Los Angeles, CA 90095-1477

United States

SCHOLARLY PAPERS

3

DOWNLOADS

238

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Stocks in the Short Run

Number of pages: 65 Posted: 24 Jun 2011
University of California, Los Angeles (UCLA) - Department of Economics, Parametric Portfolio Associates, LLC, University of California, Los Angeles (UCLA), University of California, Los Angeles (UCLA) and University of California, Los Angeles (UCLA) - Department of Economics
Downloads 184 (225,339)
Citation 3

Abstract:

Loading...

discrete observation, intraday volatility estimation, quadratic variation, realized volatility, Heston, DJIA, SPDR, VIX

2.

Estimating a Local Heston Model

Number of pages: 50 Posted: 01 Feb 2018
Bryan Ellickson, Miao Sun, Duke Whang and Sibo Yan
University of California, Los Angeles (UCLA) - Department of Economics, Independent, University of California, Los Angeles (UCLA) and Independent
Downloads 54 (502,418)
Citation 2

Abstract:

Loading...

Heston model, volatility, high-frequency data, GMM

3.
Downloads 0 (892,524)

Intertemporal Insurance

WFIC 96-19
Posted: 23 Apr 1998
Bryan Ellickson and José Penalva
University of California, Los Angeles (UCLA) - Department of Economics and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Abstract:

Loading...

Intertemporal Insurance

Journal of Risk and Insurance, Vol. 64 No. 4, December 1997
Posted: 21 Apr 1998
Bryan Ellickson and José Penalva
University of California, Los Angeles (UCLA) - Department of Economics and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Abstract:

Loading...