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~isPartOf:"Documents de travail du Centre d'Economie de la Sorbonne"
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Search: subject:"S&P500"
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S&P 500
3
CAC 40
2
Option pricing
2
exponential affine stochastic discount factor
2
Lévy processes
1
Lévy processess
1
Maximum likelihood method
1
Minimal Entropy Martingale Measure
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forecast
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generalized hyperbolic distributions
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incomplete market
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leverage effect
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minimal entropy martingale measure
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mixture of Gaussian distributions
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recursive estimation method
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related-GARCH process
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Guegan, Dominique
3
Ielpo, Florian
3
Lalaharison, Hanjarivo
3
Chorro, Christophe
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Documents de travail du Centre d'Economie de la Sorbonne
International review of financial analysis
9
Journal of Risk and Financial Management
9
Managerial Finance
9
Journal of risk and financial management : JRFM
8
MPRA Paper
8
The North American journal of economics and finance : a journal of financial economics studies
8
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
8
Journal of banking & finance
7
Finance research letters
6
ICMA Centre Discussion Papers in Finance
5
International review of economics & finance : IREF
5
Journal of Banking & Finance
5
Research paper series / Swiss Finance Institute
5
Review of quantitative finance and accounting
5
The International Journal of Business and Finance Research
5
Accounting, Finance, Financial Planning and Insurance Series
4
Applied economics
4
Economic modelling
4
Finance
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
NBER working paper series
4
Physica A: Statistical Mechanics and its Applications
4
Risks
4
Risks : open access journal
4
Working Paper
4
Working papers
4
Applied economics letters
3
CESifo Working Paper
3
CESifo working papers
3
Discussion paper / Tinbergen Institute
3
International journal of economics and finance
3
International journal of finance & economics : IJFE
3
Journal of Risk Finance
3
Journal of business & economics research
3
Journal of empirical finance
3
Journal of financial and quantitative analysis : JFQA
3
The Journal of Risk Finance
3
The international journal of business and finance research : IJBFR
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The journal of asset management
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1
Testing for Leverage Effect in Financial Returns.
Chorro, Christophe
;
Guegan, Dominique
;
Ielpo, Florian
; …
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2014
over the past 25 years of
S&P
500
returns, casting light on the importance of the conditional distribution in time series …
Persistent link: https://www.econbiz.de/10010753974
Saved in:
2
Option pricing with discrete time jump processes.
Guegan, Dominique
;
Ielpo, Florian
;
Lalaharison, Hanjarivo
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2011
, using a dataset of European options based on the
S&P
500
and on the CAC 40 indices. Our results show that models involving …
Persistent link: https://www.econbiz.de/10009225975
Saved in:
3
Option pricing with discrete time jump processes.
Guegan, Dominique
;
Ielpo, Florian
;
Lalaharison, Hanjarivo
-
Centre d'Économie de la Sorbonne, Université Paris 1 …
-
2011
, using a dataset of European options based on the
S&P
500
and on the CAC 40 indices. Our results show that models involving …
Persistent link: https://www.econbiz.de/10010721555
Saved in:
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