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Asymmetry and leverage in conditional volatility models

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The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

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Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

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High frequency traders and the price process

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The term structure of equity and variance risk premia

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High-dimensional predictive regression in the presence of cointegration

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Modelling regional patterns of inefficiency : a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales

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High-frequency factor models and regressions

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Using principal component analysis to estimate a high dimensional factor model with high-frequency data

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Dynamic panels with threshold effect and endogeneity

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