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Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence
Pérez Rodríguez, Jorge V.; Andrada Félix, Julián; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012822266
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Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
Mensi, Walid; Hammoudeh, Shawkat; Ur Rehman, Mobeen; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012659807
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Higher moment exchange rate exposure of S&P500 firms
Bianconi, Marcelo; Cai, Zhe - In: The North American journal of economics and finance : a … 42 (2017), pp. 513-530
Persistent link: https://www.econbiz.de/10011938192
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An empirical model comparison for valuing crack spread options
Mahringer, Steffen; Prokopczuk, Marcel - In: Energy economics 51 (2015), pp. 177-187
Persistent link: https://www.econbiz.de/10011564825
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Option valuation with co.integrated asset prices
Duan, Jin-Chuan; Pliska, Stanley R. - In: Journal of economic dynamics & control 28 (2004) 4, pp. 727-754
Persistent link: https://www.econbiz.de/10001854468
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Filtering and identification of Heston's stochastic volatility model and its market risk
Aihara, ShinIchi; Bagchi, Arunabha - In: Journal of economic dynamics & control 30 (2006) 12, pp. 2363-2388
Persistent link: https://www.econbiz.de/10003395572
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Consistent modeling of S&P 500 and VIX derivatives
Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2302-2319
Persistent link: https://www.econbiz.de/10009008878
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Jump and volatility risk premiums implied by VIX
Duan, Jin-Chuan; Yeh, Chung-ying - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2232-2244
Persistent link: https://www.econbiz.de/10009008897
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Rejoinder to a remark on Lin and Chang's paper "Consistent modeling of S&P 500 and VIX derivatives"
Lin, Yueh-neng; Chang, Chien-hung - In: Journal of economic dynamics & control 36 (2012) 5, pp. 716-718
Persistent link: https://www.econbiz.de/10009554307
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Consistent modeling of S&P 500 and VIX derivatives : a remark on Lin and Chang's paper
Cheng, Jun; Ibraimi, Meriton; Leippold, Markus; Zhang, … - In: Journal of economic dynamics & control 36 (2012) 5, pp. 708-715
Persistent link: https://www.econbiz.de/10009554315