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An assessment of empirical model performance when financial market transactions are observed at different data frequencies : an application to East Asian exchange rates
Wang, Kai-Li; Fawson, Christopher; Barrett, Christopher B. - In: Review of quantitative finance and accounting 19 (2002) 2, pp. 111-129
Persistent link: https://www.econbiz.de/10001719971
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An Assessment of Empirical Model Performance When Financial Market Transactions are Observed at Different Data Frequencies: An Application to East Asian Exchange Rates
Wang, Kai-Li; Fawson, Chris; Barrett, Christopher B. - In: Review of quantitative finance and accounting 19 (2002) 2, pp. 111-130
Persistent link: https://www.econbiz.de/10007164196
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The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework
Wang, Kai-li; Chen, Mei-ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394
Persistent link: https://www.econbiz.de/10003600297
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The dynamics in the spot, futures, and call options with basis asymmetries: an intraday analysis in a generalized multivariate GARCH-M MSKST framework
Wang, Kai-Li; Chen, Mei-Ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394
Persistent link: https://www.econbiz.de/10007869862