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Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
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Realized return volatility, asset pricing, and risk management
Andersen, Torben; Bollerslev, Tim - In: NBER reporter online (2006/2007) 3, pp. 7-10
Persistent link: https://www.econbiz.de/10011366975
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Exploring asset pricing anomalies
Zhang, Lu - In: NBER reporter online (2014) 1, pp. 17-19
Persistent link: https://www.econbiz.de/10011368742
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Term structure persistence
Abbritti, Mirko; Gil-Alaña, Luis A.; Lovcha, Yuliya; … - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 331-352
Persistent link: https://www.econbiz.de/10011589005
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Is market fear persistent? : a long-memory analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147
Persistent link: https://www.econbiz.de/10012006763
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The term structure of credit spreads, firm fundamentals, and expected stock returns
Han, Bing; Subrahmanyam, Avanidhar; Zhou, Yi - In: Journal of financial economics 124 (2017) 1, pp. 147-171
Persistent link: https://www.econbiz.de/10011751418
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Computational economics 51 (2018) 4, pp. 913-940
Persistent link: https://www.econbiz.de/10011972202
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Modeling and forecasting realized volatility
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 2, pp. 579-625
Persistent link: https://www.econbiz.de/10001750369
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Equilibrium stock return dynamics under alternative rules of learning about hidden states
Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954
Persistent link: https://www.econbiz.de/10002099538