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The specification of GARCH models with stochastic covariates
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of futures markets 28 (2008) 10, pp. 911-934
Persistent link: https://www.econbiz.de/10003769888
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Persistence of volatility in futures markets
Chen, Zhiyao; Daigler, Robert T.; Parhizgari, Ali M. - In: The journal of futures markets 26 (2006) 6, pp. 571-594
Persistent link: https://www.econbiz.de/10003319540
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The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
Giot, Pierre; Laurent, Sébastien - In: The journal of futures markets 27 (2007) 4, pp. 337-359
Persistent link: https://www.econbiz.de/10003493068
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Oil volatility and the option value of waiting : an analysis of the G-7
Bredin, Donal; Elder, John; Fountas, Stilianos - In: The journal of futures markets 31 (2011) 7, pp. 679-702
Persistent link: https://www.econbiz.de/10009009212
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Testing mean reversion in financial market volatility : evidence from S&P 500 index futures
Bali, Turan G.; Demirtas, K. Ozgur - In: The journal of futures markets 28 (2008) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10003746336
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Forecasting volatility
Ederington, Louis H.; Guan, Wei - In: The journal of futures markets 25 (2005) 5, pp. 465-490
Persistent link: https://www.econbiz.de/10002811542
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Modeling discontinuous periodic conditional volatility : evidence from the commodity futures market
Taylor, Nicholas - In: The journal of futures markets 24 (2004) 9, pp. 805-834
Persistent link: https://www.econbiz.de/10002145942
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An empirical examination of the relation between futures spreads volatility, volume, and open interest
Girma, Paul Berhanu; Mougoué, Mbodja - In: The journal of futures markets 22 (2002) 11, pp. 1083-11102
Persistent link: https://www.econbiz.de/10001713578
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Switching asymmetric GARCH and options on a volatility index
Daouk, Hazem; Guo, Jie Qun - In: The journal of futures markets 24 (2004) 3, pp. 251-282
Persistent link: https://www.econbiz.de/10001968654
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Intraday volatility in interest-rate and foreign-exchange markets : ARCH, announcement, and seasonality effects
Ederington, Louis H.; Lee, Jae-ha - In: The journal of futures markets 21 (2001) 6, pp. 517-552
Persistent link: https://www.econbiz.de/10001579721