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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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Historical volatility distribution in Gaussian and GARCH (1,1) models
Molgedey, Lutz - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 417
Persistent link: https://www.econbiz.de/10001522909
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Regime-switched volatility of brent crude oil futures with Markov-switching ARCH model
Chiu, Tien-yu; Shieh, Shwu-Jane - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 113-124
Persistent link: https://www.econbiz.de/10003855754
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Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie-jane - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-21
Persistent link: https://www.econbiz.de/10009624510
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Covariance and correlation swaps for financial markets with Markov-modulated volatilities
Salvi, Giovanni; Sviščuk, Anatolij - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363946
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Estimating expected exchange rates under target zone regimes
Chen, Zhaohui - In: International journal of theoretical and applied finance 1 (1998) 1, pp. 43-59
Persistent link: https://www.econbiz.de/10001236675
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The valuation of options on foreign exchange rate in a target zone
Xu, Guangli; Song, Shiyu; Wang, Yongjin - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011523802
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Derivative pricing based on the exchange rate in a target zone with realignment
Bo, Lijun; Wang, Yongjin; Yang, Xuewei - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 945-956
Persistent link: https://www.econbiz.de/10009380992
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Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
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A stochastic volatility model for risk-reversals in foreign exchange
Albanese, Claudio; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 877-899
Persistent link: https://www.econbiz.de/10003911250