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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda
;
Yu, Lean
- In:
Economic modelling
35
(
2013
),
pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
Saved in:
2
Warrant pricing under GARCH diffusion model
Wu, Xin-yu
;
Ma, Chao-qun
;
Wang, Shouyang
- In:
Economic modelling
29
(
2012
)
6
,
pp. 2237-2244
Persistent link: https://www.econbiz.de/10009673781
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3
Volatility risk premium implications of GARCH option pricing models
Papantonis, Ioannis
- In:
Economic modelling
58
(
2016
),
pp. 104-115
Persistent link: https://www.econbiz.de/10011647056
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4
A conditional autoregressive range model with gamma distribution for financial volatility modelling
Xie, Haibin
;
Wu, Xinyu
- In:
Economic modelling
64
(
2017
),
pp. 349-356
Persistent link: https://www.econbiz.de/10011761274
Saved in:
5
The relationship between economic growth and real uncertainty in the G3
Fountas, Stilianos
;
Karanasos, Menelaos
- In:
Economic modelling
23
(
2006
)
4
,
pp. 638-647
Persistent link: https://www.econbiz.de/10003353913
Saved in:
6
Large shocks and the September 11th terrorist attacks on international stock markets
Charles, Amélie
;
Darné, Olivier
- In:
Economic modelling
23
(
2006
)
4
,
pp. 683-698
Persistent link: https://www.econbiz.de/10003353920
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7
Central bank intervention, threshold effects and asymmetric volatility : evidence from the Japanese yen-US dollar foreign exchange market
Suardi, Sandy
- In:
Economic modelling
25
(
2008
)
4
,
pp. 628-642
Persistent link: https://www.econbiz.de/10003791238
Saved in:
8
Volatility spill-overs in commodity spot prices : new empirical results
Dahl, Christian M.
;
Iglesias, Emma M.
- In:
Economic modelling
26
(
2009
)
3
,
pp. 601-607
Persistent link: https://www.econbiz.de/10003870631
Saved in:
9
Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)/ C. C. Wu, Jack C. Lee
Wu, C. C.
;
Lee, Jack C.
- In:
Economic modelling
24
(
2007
)
2
,
pp. 329-349
Persistent link: https://www.econbiz.de/10003415673
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10
House price dynamics, conditional higher-order moments, and density forecasts
Chang, Kuang-liang
- In:
Economic modelling
27
(
2010
)
5
,
pp. 1029-1039
Persistent link: https://www.econbiz.de/10008824917
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