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Modelling the implied volatility surface : does market efficiency matter? ; An application to MIB30 index options
Cassese, Gianluca; Guidolin, Massimo - In: International review of financial analysis 15 (2006) 2, pp. 145-178
Persistent link: https://www.econbiz.de/10003320649
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Empirically based modeling in financial economics and beyond, and spurious stylized facts
Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 767-783
Persistent link: https://www.econbiz.de/10003792190
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Are RiskMetrics forecasts good enough? : evidence from 31 stock markets
McMillan, David G.; Kambouroudis, Dimos - In: International review of financial analysis 18 (2009) 3, pp. 117-124
Persistent link: https://www.econbiz.de/10003880020
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The pricing of time-varying exchange rate risk in the stock market : a nonparametric approach
Chung, Y. Peter; Zhou, Zhong-guo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10009521656
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Volatility feedback and risk premium in GARCH models with generalized hyperbolic distributions
Yang, Minxian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 15 (2011) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10009521860
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Persistence of ex-ante volatility and the cross-section of stock returns
Simlai, Prodosh - In: International review of financial analysis 33 (2014), pp. 253-261
Persistent link: https://www.econbiz.de/10010520455
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Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
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Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients : detecting switching volatility regimes
Tzagkarakis, George; Dionysopoulos, Thomas; Achim, Alin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 75-96
Persistent link: https://www.econbiz.de/10011431136
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An analytical review of volatility metrics for bubbles and crashes
Vogel, Harold L.; Werner, Richard A. - In: International review of financial analysis 38 (2015), pp. 15-28
Persistent link: https://www.econbiz.de/10011337638
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Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412