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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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Nonlinear asymmetric models of the short-term interest rate
Demirtas, K. Ozgur - In: The journal of futures markets 26 (2006) 9, pp. 869-894
Persistent link: https://www.econbiz.de/10003356477
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An empirical comparison of continuous time models of the short term interest rate
Bali, Turan G. - In: The journal of futures markets 19 (1999) 7, pp. 777-797
Persistent link: https://www.econbiz.de/10001443351
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Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models
Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-751
Persistent link: https://www.econbiz.de/10001523755
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A new look at hedging with derivatives : will firms reduce market risk exposure?
Bali, Turan G.; Hume, Susan R.; Martell, Terrence F. - In: The journal of futures markets 27 (2007) 11, pp. 1053-1083
Persistent link: https://www.econbiz.de/10003627056
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A comparative study of alternative extreme-value volatility estimators
Bali, Turan G.; Weinbaum, David - In: The journal of futures markets 25 (2005) 9, pp. 873-892
Persistent link: https://www.econbiz.de/10003106015
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Excessive variation in risk-factor correlations and volatilities
Bali, Turan G.; Genberg, Hans; Neftci, Salih N. - In: The journal of futures markets 22 (2002) 12, pp. 1119-1146
Persistent link: https://www.econbiz.de/10001713588
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Pricing eurodollar futures options using the BDT term structure model : the effect of yield curve smoothing
Bali, Turan G.; Karagozoglu, Ahmet K. - In: The journal of futures markets 20 (2000) 3, pp. 293-306
Persistent link: https://www.econbiz.de/10001485244
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A comparative study of alternative extreme-value volatility estimators
Bali, Turan G.; Weinbaum, David - In: The journal of futures markets 25 (2005) 9, pp. 873-892
Persistent link: https://www.econbiz.de/10006812464
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Modeling the Conditional Mean and Variance of the Short Rate Using Diffusion, GARCH, and Moving Average Models
Bali, Turan G. - In: The journal of futures markets 20 (2000) 8, pp. 717-752
Persistent link: https://www.econbiz.de/10006836695