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An evaluation of volatility forecasting techniques
Brailsford, Timothy J. - In: Journal of banking & finance 20 (1996) 3, pp. 419-438
Persistent link: https://www.econbiz.de/10001197045
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Earning the right premium on the right factor in portfolio planning
Branger, Nicole; Hansis, Alexandra - In: Journal of banking & finance 59 (2015), pp. 367-383
Persistent link: https://www.econbiz.de/10011544589
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The jump component of S&P 500 volatility and the VIX index
Becker, Ralf; Clements, Adam; McClelland, Andrew - In: Journal of banking & finance 33 (2009) 6, pp. 1033-1038
Persistent link: https://www.econbiz.de/10003841865
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Optimal portfolios when volatility can jump
Branger, Nicole; Schlag, Christian; Schneider, Eva - In: Journal of banking & finance 32 (2008) 6, pp. 1087-1097
Persistent link: https://www.econbiz.de/10003733829
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Does implied volatility provide any information beyond that captured in model-based volatility forecasts?
Becker, Ralf; Clements, Adam; White, Scott I. - In: Journal of banking & finance 31 (2007) 8, pp. 2535-2549
Persistent link: https://www.econbiz.de/10003522977
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Keep on smiling? : the pricing of Quanto options when all covariances are stochastic
Branger, Nicole; Muck, Matthias - In: Journal of banking & finance 36 (2012) 6, pp. 1577-1591
Persistent link: https://www.econbiz.de/10009616465
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Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?
Isshaq, Zangina; Faff, Robert W. - In: Journal of banking & finance 68 (2016), pp. 153-161
Persistent link: https://www.econbiz.de/10011634813
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What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi; Chan, Kam Fong; Faff, Robert W. - In: Journal of banking & finance 138 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013461866