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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003865680
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Modelling the volatility-return trade-off when volatility may be nonstationary
Dahl, Christian M.; Iglesias, Emma M. - 2009
Persistent link: https://www.econbiz.de/10003911875
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Pitfalls in VAR based return decompositions : a clarification
Engsted, Tom; Pedersen, Thomas Q.; Tanggaard, Carsten - 2010
Persistent link: https://www.econbiz.de/10003934481
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Affine bond pricing with a mixture distribution for interest rate time-series dynamics
Rasmussen, Torben B - 2010
Persistent link: https://www.econbiz.de/10003939417
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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper; Wel, Michael van der - 2010
Persistent link: https://www.econbiz.de/10003947812
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Asset pricing using block-cholesky GARCH and time-varying betas
Grassi, Stefano; Violante, Francesco - 2021
Persistent link: https://www.econbiz.de/10012620745
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The effects of interest rate movements on assets' condotional second movements
Palandri, Alessandro - 2009
Persistent link: https://www.econbiz.de/10003865659
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Jump testing and the speed of market adjustment
Rasmussen, Torben B. - 2009
Persistent link: https://www.econbiz.de/10003849503
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Testing conditional factor models
Kristensen, Dennis; Ang, Andrew - 2009
Persistent link: https://www.econbiz.de/10003849517
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Adding and subtracting black-scholes : a new approach to approximating derivative prices in continuous time models
Kristensen, Dennis; Mele, Antonio - 2009
Persistent link: https://www.econbiz.de/10003849531