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Initial margin policy and stochastic volatility in the crude oil futures market
Day, Theodore E. - In: The review of financial studies 10 (1997) 2, pp. 303-332
Persistent link: https://www.econbiz.de/10001220634
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A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni; Engle, Robert F.; Mancini, Loriano - In: The review of financial studies 21 (2008) 3, pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
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A closed-form GARCH option valuation model
Heston, Steven L.; Nandi, Saikat - In: The review of financial studies 13 (2000) 3, pp. 585-625
Persistent link: https://www.econbiz.de/10001499745
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An analysis of covariance risk and pricing anomalies
Moskowitz, Tobias J. - In: The review of financial studies 16 (2003) 2, pp. 417-457
Persistent link: https://www.econbiz.de/10001764235
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Capturing option anomalies with a variance-dependent pricing Kernel
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - In: The review of financial studies 26 (2013) 8, pp. 1962-2006
Persistent link: https://www.econbiz.de/10010207293
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Thinking outside the borders : investors' underreaction to foreign operations information
Huang, Xing - In: The review of financial studies 28 (2015) 11, pp. 3109-3152
Persistent link: https://www.econbiz.de/10011401443
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The worst, the best, ignoring all the rest : the rank effect and trading behavior
Hartzmark, Samuel M. - In: The review of financial studies 28 (2015) 4, pp. 1024-1059
Persistent link: https://www.econbiz.de/10011338241
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Mutual fund's R² as predictor of performance
Amihud, Yakov; Goyenko, Ruslan - In: The review of financial studies 26 (2013) 3, pp. 667-694
Persistent link: https://www.econbiz.de/10009752256
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The spline-GARCH model for low-frequency volatility and its global macroeconomic causes
Engle, Robert F.; Rangel, Jose Gonzalo - In: The review of financial studies 21 (2008) 3, pp. 1187-1222
Persistent link: https://www.econbiz.de/10003742225
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Option valuation with conditional heteroskedasticity and nonnormality
Christoffersen, Peter F.; Elkamhi, Redouane; Feunou, Bruno - In: The review of financial studies 23 (2010) 5, pp. 2139-2138
Persistent link: https://www.econbiz.de/10003969117