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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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Alternative models for stock price dynamics
Chernov, Mikhail; Gallant, A. Ronald; Ghysels, Eric; … - In: Journal of econometrics 116 (2003) 1/2, pp. 225-257
Persistent link: https://www.econbiz.de/10001772148
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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What option prices tell us about the ECB's unconventional monetary policies
Olijslager, Stan Stan; Petersen, Annelie; Vette, Nander de - 2018
Persistent link: https://www.econbiz.de/10012109721
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Increased correlation among asset classes : Are volatility or jumps to blame, or both?
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 194 (2016) 2, pp. 205-219
Persistent link: https://www.econbiz.de/10011705106
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The relationship between oil prices and the Nigerian stock market : an analysis based on fractional integration and cointegration
Gil-Alaña, Luis A.; Yaya, OlaOluwa S. - In: Energy economics 46 (2014), pp. 328-333
Persistent link: https://www.econbiz.de/10011298580
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Effects of oil price shocks on the stock market performance : do nature of shocks and economies matter?
Thai-Ha Le; Youngho, Chang - In: Energy economics 51 (2015), pp. 261-274
Persistent link: https://www.econbiz.de/10011564841
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Can clean energy stock price rule oil price? : new evidences from a regime-switching model at first and second moments
Yahya, Muhammad; Kanjilal, Kakali; Dutta, Anupam; … - In: Energy economics 95 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012816596