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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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Which continuous-time model is most appropriate for exchange rates?
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - In: Journal of banking & finance 61 (2015) 2, pp. 256-268
Persistent link: https://www.econbiz.de/10011586923
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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Discrete stochastic autoregressive volatility
Cordis, Adriana S.; Kirby, Chris - In: Journal of banking & finance 43 (2014), pp. 160-178
Persistent link: https://www.econbiz.de/10010410013
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Optimal smooth consumption and annuity design
Bruhn, Kenneth; Steffensen, Mogens - In: Journal of banking & finance 37 (2013) 8, pp. 2693-2701
Persistent link: https://www.econbiz.de/10009776496
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Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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The stability of short-term interest rates pass-through in the euro area during the financial market and sovereign debt crises
Avouyi-Dovi, Sanvi; Horny, Guillaume; Sevestre, Patrick - In: Journal of banking & finance 79 (2017), pp. 74-94
Persistent link: https://www.econbiz.de/10011815138
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VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump
Wang, Qi; Wang, Zerong - In: Journal of banking & finance 116 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012489233
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Modeling persistent interest rates with double-autoregressive processes
Hansen, Anne Lundgaard - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257376