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Using VIX futures to hedge forward implied volatility risk
Lin, Yueh-neng; Lin, Anchor Y. - In: International review of economics & finance : IREF 43 (2016), pp. 88-106
Persistent link: https://www.econbiz.de/10011625539
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A macro-finance term structure model with multivariate stochastic volatility
Laurini, Márcio Poletti; Caldeira, João F. - In: International review of economics & finance : IREF 44 (2016), pp. 68-90
Persistent link: https://www.econbiz.de/10011626008
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Stochastic volatility vs. jump diffusions : evidence from the Chinese convertible bond market
Fan, Chenxi; Luo, Xingguo; Wu, Qingbiao - In: International review of economics & finance : IREF 49 (2017), pp. 1-16
Persistent link: https://www.econbiz.de/10011748345
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Mutual information and persistence in the stochastic volatility of market returns : an emergent market example
Dima, Bogdan; Dima, Ştefana Maria - In: International review of economics & finance : IREF 51 (2017), pp. 36-59
Persistent link: https://www.econbiz.de/10011754136
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How arbitrage-free is the Nelson–Siegel model under stochastic volatility?
Takamizawa, Hideyuki - In: International review of economics & finance : IREF 79 (2022), pp. 205-223
Persistent link: https://www.econbiz.de/10013343384
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A cointegration approach to the lead-lag effect among size-sorted equity portfolios
Kanas, Angelos; Kouretas, Georgios P. - In: International review of economics & finance : IREF 14 (2005) 2, pp. 181-201
Persistent link: https://www.econbiz.de/10003357385
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Asset allocation with differential borrowing and lending rates
Olson, Dennis; Bley, Jorg - In: International review of economics & finance : IREF 17 (2008) 4, pp. 629-643
Persistent link: https://www.econbiz.de/10003793191
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Liquidity risk and bank portfolio management in a financial system without deposit insurance : empirical evidence from prewar Japan
Sawada, Michiru - In: International review of economics & finance : IREF 19 (2010) 3, pp. 392-406
Persistent link: https://www.econbiz.de/10008669995
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Extreme observations and non-normality in ARCH and GARCH
Bali, Rakesh; Guirguis, Hany S. - In: International review of economics & finance : IREF 16 (2007) 3, pp. 332-346
Persistent link: https://www.econbiz.de/10003613144
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Strategic use of futures and options by commodity processors
Bullock, David W.; Wilson, William W.; Dahl, Bruce L. - In: International review of economics & finance : IREF 16 (2007) 4, pp. 578-591
Persistent link: https://www.econbiz.de/10003613198