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Proxying for expected returns with price earnings ratios
Strunk Hansen, Charlotte (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491493
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Phenomenology of the interest curve
BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997
a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …
Persistent link: https://www.econbiz.de/10005413172
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The comovement of US and UK stock markets
Engsted, Tom (contributor); Tanggaard, Carsten (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660129
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The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg (contributor); Lunde, Asger (contributor) - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
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Long-run regression : theory and application to U.S. asset markets
Strunk Hansen, Charlotte (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491534
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Testing the martingale restriction for option implied densities
Busch, Thomas (contributor) - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491622
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Decomposing European bond and equity volatility
Christiansen, Charlotte (contributor) - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002167494
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Impact of jumps on returns and realised variances : econometric analysis of time-deformed Lévy processes
Barndorff-Nielsen, Ole E. (contributor);  … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491746
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Hyperbolic processes in finance
Bibby, Bo Martin (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599143
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Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data
Christensen, Bent Jesper (contributor);  … - 2001 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001599144