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~accessRights:"free"
~person:"Bianchi, Michele Leonardo"
~person:"McAleer, Michael"
~subject:"ARCH model"
~subject:"CAPM"
~subject:"Volatility smile"
~subject:"volatility smile"
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Bianchi, Michele Leonardo
McAleer, Michael
Janssen, Alexandra
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Fabozzi, Frank J.
;
Rachev, …
-
Banca d'Italia
-
2014
time series and to fit the
volatility
smile
for exchange-traded options where the underlying is the main �Borsa Italianaï …
Persistent link: https://www.econbiz.de/10011099609
Saved in:
2
Volatility smirk as an externality of agency conflict and growing debt
Jaskowski, Marcin
;
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009784936
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