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Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
-
2017
Persistent link: https://www.econbiz.de/10011691484
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Conditional correlations and
volatility
spillovers between crude oil and stock index returns
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669344
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Alternative asymmetric stochastic
volatility
models
Asai, Manabu
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008760507
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4
Is value premium a proxy for time-varying investment opportunities : some time series evidence
Guo, Hui
(
contributor
)
-
2005
to be robust using both the realized
volatility
model and the GARCH model, confirm that the value premium cannot be …
Persistent link: https://www.econbiz.de/10002995301
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Forecasting foreign exchange
volatility
: is implied
volatility
the best we can do?
Neely, Christopher J.
(
contributor
)
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2003
-
[Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001974118
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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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7
Crude oil
hedging
strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669351
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8
Exchange rate and industrial commodity
volatility
transmissions, asymmetries and
hedging
strategies
Hammoudeh, Shawkat
;
Yuan, Yuan
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008689068
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The rise and fall of S&P 500 variance
futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan-Angel
;
McAleer, …
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2011
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Rev.
Persistent link: https://www.econbiz.de/10009413649
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Is the currency risk priced in equity markets?
Giurda, Francesco
(
contributor
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Tzavalis, Elias
(
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-
2004
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[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002024385
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