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Long-term equity anticipation securities and stock market volatility dynamics
Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - In: Journal of econometrics 92 (1999) 1, pp. 75-99
Persistent link: https://www.econbiz.de/10001400092
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The detection and estimation of long memory in stochastic volatility
Breidt, F. Jay - In: Journal of econometrics 83 (1998) 1, pp. 325-348
Persistent link: https://www.econbiz.de/10001336943
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An alternative specification for intraday simultaneity in spot and futures markets
Mercer, Jeffrey M. - In: The quarterly review of economics and finance : journal … 37 (1997) 3, pp. 667-682
Persistent link: https://www.econbiz.de/10001230617
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Volatility patterns : theory and some evidence from the dollar-mark option market
Gesser, Vincent - In: The journal of derivatives : the official publication … 5 (1997) 2, pp. 46-61
Persistent link: https://www.econbiz.de/10001232635
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Estimating continuous-time stochastic volatility models of the short-term interest rate
Andersen, Torben - In: Journal of econometrics 77 (1997) 2, pp. 343-377
Persistent link: https://www.econbiz.de/10001212838
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Is there a term structure of futures volatilities? : Reevaluating the Samuelson hypothesis
Bessembinder, Hendrik; Coughenour, Jay F.; Seguin, Paul John - In: The journal of derivatives : the official publication … 4 (1996) 2, pp. 45-58
Persistent link: https://www.econbiz.de/10001214072
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Volatility estimation for stock index options : a GARCH approach
Chu, Shin-herng - In: The quarterly review of economics and finance : journal … 36 (1996) 4, pp. 431-450
Persistent link: https://www.econbiz.de/10001214235
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Testing for a slowly changing level with special reference to stochastic volatility
Harvey, Andrew C. - In: Journal of econometrics 87 (1998) 1, pp. 167-189
Persistent link: https://www.econbiz.de/10001248302
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A causality-in-variance test and its application to financial market prices
Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48
Persistent link: https://www.econbiz.de/10001198033
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A regression analysis of the effects of option introduction on stock variances
Freund, Steven - In: The journal of derivatives : the official publication … 1 (1994) 3, pp. 25-38
Persistent link: https://www.econbiz.de/10001219483