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A stochastic variance factor model for large datasets and an application to S&P data
Cipollini, Andrea (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001920657
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402
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Modeling conditional factor risk premia implied by index option returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
Persistent link: https://www.econbiz.de/10013328240
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A simple expected volatility (SEV) index : application to SET50 Index Options
McAleer, Michael; Wiphatthanananthakul, Chatayan - 2010
Persistent link: https://www.econbiz.de/10008670007
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Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones
Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020
Persistent link: https://www.econbiz.de/10012310604
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Application of volatility-managed portfolios in the context of a volatility index
Subramanian, Abhishek; Kayal, Parthajit - 2023
Persistent link: https://www.econbiz.de/10014375126
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Score-driven time series models with dynamic shape : an application to the Standard & Poor's 500 index
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://www.econbiz.de/10012100546
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Policy news and stock market volatility
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Kost, Kyle - 2019
Persistent link: https://www.econbiz.de/10012026867
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Valuing bonds with embedded average price options
Easton, Stephen Andrew - 1996
Persistent link: https://www.econbiz.de/10000947723
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A supply-demand analysis of the index option market
Barras, Laurent; Malkhozov, Ayteck; Roussellet, Guillaume - 2021
Persistent link: https://www.econbiz.de/10012587146