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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
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The information content of risk-neutral skewness for volatility forecasting
Byun, Suk Joon; Kim, Jun Sik - In: Journal of empirical finance 23 (2013), pp. 142-161
Persistent link: https://www.econbiz.de/10010221765
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Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
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Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices
Wu, Feng; Myers, Robert J.; Guan, Zhengfei; Wang, Zhiguang - In: Journal of empirical finance 34 (2015), pp. 260-274
Persistent link: https://www.econbiz.de/10011557143
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The quality of market volatility forecasts implied by S&P 100 index option prices
Fleming, Jeff - In: Journal of empirical finance 5 (1998) 4, pp. 317-345
Persistent link: https://www.econbiz.de/10001375188
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Forecasting the term structure of option implied volatility : the power of an adaptive method
Chen, Ying; Han, Qian; Niu, Linlin - In: Journal of empirical finance 49 (2018), pp. 157-177
Persistent link: https://www.econbiz.de/10012117736
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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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Retrieving risk neutral densities from European option prices based on the principle of maximum entropy
Rompolis, Leonidas S. - In: Journal of empirical finance 17 (2010) 5, pp. 918-937
Persistent link: https://www.econbiz.de/10009267235
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Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels
Gospodinov, Nikolaj; Hirukawa, Masayuki - In: Journal of empirical finance 19 (2012) 4, pp. 595-609
Persistent link: https://www.econbiz.de/10009615659
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Crash risk and risk neutral densities
Chen, Ren-Raw; Hsieh, Pei-lin; Huang, Jeffrey - In: Journal of empirical finance 47 (2018), pp. 162-189
Persistent link: https://www.econbiz.de/10012103473