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OPTION HEDGING USING EMPIRICAL PRICING KERNELS Working Paper 6222
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10006996140
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MEASURING, FORECASTING AND EXPLAINING TIME VARYING LIQUIDITY IN THE STOCK MARKET
Engle, Robert F.; Lange, Joe - 1997
Persistent link: https://www.econbiz.de/10006996883
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THE ECONOMETRICS OF ULTRA-HIGH FREQUENCY DATA
Engle, Robert F. - 1996
Persistent link: https://www.econbiz.de/10007002761
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GARCH GAMMA
Engle, Robert F.; Rosenberg, Joshua V. - 1995
Persistent link: https://www.econbiz.de/10007007560
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FORECASTING TRANSACTION RATES: THE AUTOREGRESSIVE CONDITIONAL DURATION MODEL
Engle, Robert F.; Russell, Jeffrey R. - 1994
Persistent link: https://www.econbiz.de/10007010732
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HEDGING OPTIONS IN A GARCH ENVIRONMENT: TESTING THE TERM STRUCTURE OF STOCHASTIC VOLATILITY MODELS
Engle, Robert F.; Rosenberg, Joshua - 1994
Persistent link: https://www.econbiz.de/10007010740
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ESTIMATING SECTORAL CYCLES USING COINTEGRATION AND COMMON FEATURES
Engle, Robert F.; Issler, Jo~ao Victor - 1993
Persistent link: https://www.econbiz.de/10007015550
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A TEST OF EFFICIENCY FOR THE S&P 500 INDEX OPTION MARKET USING VARIANCE FORECASTS
Noh, Jaesun; Engle, Robert F.; Kane, Alex - 1993
Persistent link: https://www.econbiz.de/10007015559
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INDEX-OPTION PRICING WITH STOCHASTIC VOLATILITY AND THE VALUE OF ACCURATE VARIANCE FORECASTS
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10007015560
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A MULTIPLE INDICATORS MODEL FOR VOLATILITY USING INTRA-DAILY DATA
Engle, Robert F.; Gallo, Giampiero M. - 2003
Persistent link: https://www.econbiz.de/10006966048