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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Analyzing interest rate risk : stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - In: Journal of banking & finance 36 (2012) 11, pp. 2988-3007
Persistent link: https://www.econbiz.de/10009673006
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Oil price dynamics, macro-finance interactions and the role of financial speculation
Morana, Claudio - In: Journal of banking & finance 37 (2013) 1, pp. 206-226
Persistent link: https://www.econbiz.de/10009675544
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - In: Journal of banking & finance 35 (2011) 10, pp. 2733-2746
Persistent link: https://www.econbiz.de/10009273874
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The dynamics of the volatility skew : a Kalman filter approach
Bedendo, Mascia; Hodges, Stewart D. - In: Journal of banking & finance 33 (2009) 6, pp. 1156-1165
Persistent link: https://www.econbiz.de/10003842010
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel; De Grauwe, Paul; Grimaldi, Marianna - In: Journal of banking & finance 33 (2009) 7, pp. 1187-1195
Persistent link: https://www.econbiz.de/10003842244
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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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Forecasting currency volatility : a comparison of implied volatilities and AR(FI)MA models
Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen; … - In: Journal of banking & finance 28 (2004) 10, pp. 2541-2563
Persistent link: https://www.econbiz.de/10002233147
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Multivariate term structure models with level and heteroskedasticity effects
Christiansen, Charlotte - In: Journal of banking & finance 29 (2005) 5, pp. 1037-1057
Persistent link: https://www.econbiz.de/10002628401
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Unspanned stochastic volatility and fixed income derivatives pricing
Casassus, Jaime; Collin-Dufresne, Pierre; Goldstein, Bob - In: Journal of banking & finance 29 (2005) 11, pp. 2723-2749
Persistent link: https://www.econbiz.de/10003121044