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Stochastic dominance bounds on derivative prices in a multiperiod economy with proportional transaction costs
Kōnstantinidēs, Giōrgos; Perrakis, Stylianos - 2002
Persistent link: https://www.econbiz.de/10001661181
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Option prices in a model with stochastic disaster risk
Seo, Sang Byung; Wachter, Jessica - 2013
Persistent link: https://www.econbiz.de/10010210684
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DSGE model-based forecasting of non-modelled variables
Schorfheide, Frank; Sill, D. Keith; Kryshko, Maxym - 2009
Persistent link: https://www.econbiz.de/10003827739
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Costs of equity capital and model mispricing
Pástor, Ľuboš; Stambaugh, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000659972
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Risk-adjusting the returns to venture capital
Korteweg, Arthur; Nagel, Stefan - 2013
Persistent link: https://www.econbiz.de/10009790247
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An empirical investigation of continuous-time equity return models
Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001
Persistent link: https://www.econbiz.de/10001615265
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Time-varying volatility and the dynamic behavior of the term structure
Engle, Robert F.; Ng, Victor K. - 1991
Persistent link: https://www.econbiz.de/10000812958
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Heteroskedasticity in stock returns
Schwert, George William; Seguin, Paul John - 1989
Persistent link: https://www.econbiz.de/10000765828
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Long-term memory in stock market prices
Lo, Andrew W. - 1989
Persistent link: https://www.econbiz.de/10000767657
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Answering the critics : yes, arch models do provide good volatility forecasts
Andersen, Torben; Bollerslev, Tim - 1997
Persistent link: https://www.econbiz.de/10000627888