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Stock market momentum, business conditions, and GARCH option pricing models
Chiang, Min-Hsien; Huang, Hsin-yi - In: Journal of empirical finance 18 (2011) 3, pp. 488-505
Persistent link: https://www.econbiz.de/10009302078
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American option pricing with discrete and continuous time models : an empirical comparison
Stentoft, Lars - In: Journal of empirical finance 18 (2011) 5, pp. 880-902
Persistent link: https://www.econbiz.de/10009492526
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Pricing American options when the underlying asset follows GARCH processes
Stentoft, Lars - In: Journal of empirical finance 12 (2005) 4, pp. 576-611
Persistent link: https://www.econbiz.de/10003144806
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A generalized partially linear model of asymmetric volatility
Wu, Guojun; Xiao, Zhijie - In: Journal of empirical finance 9 (2002) 3, pp. 287-319
Persistent link: https://www.econbiz.de/10001705438
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Bayesian option pricing using asymmetric GARCH models
Bauwens, Luc; Lubrano, Michel - In: Journal of empirical finance 9 (2002) 3, pp. 287-319
Persistent link: https://www.econbiz.de/10001705439
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Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - In: Journal of empirical finance 8 (2001) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10001568288
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A multiple regime extension to the Heston–Nandi GARCH(1,1) model
Díaz-Hernández, Adán; Constantinou, Nick - In: Journal of empirical finance 53 (2019), pp. 162-180
Persistent link: https://www.econbiz.de/10012171628
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Option valuation via nonaffine dynamics with realized volatility
Zhang, Yuanyuan; Zhang, Qian; Wang, Zerong; Wang, Qi - In: Journal of empirical finance 77 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10014578567
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Is long memory necessary? : an empirical investigation of nonnegative interest rate processes
Duan, Jin-Chuan; Jacobs, Kris - In: Journal of empirical finance 15 (2008) 3, pp. 567-581
Persistent link: https://www.econbiz.de/10003759664
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Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution
Chen, Carl R.; Su, Yuli; Huang, Ying - In: Journal of empirical finance 15 (2008) 4, pp. 789-798
Persistent link: https://www.econbiz.de/10003759773