Models for S&P 500 Dynamics : Evidence from Realized Volatility, Daily Returns, and Option Prices
Year of publication: |
[2009]
|
---|---|
Authors: | Christoffersen, Peter |
Other Persons: | Jacobs, Kris (contributor) ; Mimouni, Karim (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Extent: | 1 Online-Ressource (39 p) |
---|---|
Series: | CREATES Research Paper ; No. 2007-37 |
Type of publication: | Book / Working Paper |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 15, 2007 erstellt |
Other identifiers: | 10.2139/ssrn.1150644 [DOI] |
Classification: | G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Transmission of policy shocks in a monetary asset-pricing model
Müller, Markus, (1999)
-
How does European integration affect the European stock markets?
Erdogan, Burcu, (2009)
-
Margin trading bans in experimental asset markets
Füllbrunn, Sascha, (2012)
- More ...
-
Models for S&P500 dynamics : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F., (2008)
-
Nonlinear filtering in affine term structure models : evidence from the term structure of swap rates
Christoffersen, Peter F., (2008)
-
Christoffersen, Peter, (2009)
- More ...