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1
An econometric model of serial correlation and illiquidity in hedge fund returns
Getmansky, Mila
;
Lo, Andrew W.
;
Makarov, Igor
-
2003
Persistent link: https://www.econbiz.de/10001748919
Saved in:
2
An econometric model of serial correlation and illiquidity in hedge fund returns
Getmansky, Mila
;
Lo, Andrew W.
;
Makarov, Igor
- In:
Journal of financial economics
74
(
2004
)
3
,
pp. 529-609
Persistent link: https://www.econbiz.de/10002439293
Saved in:
3
Pricing options with switching volatility
Billio, Monica
;
Pelizzon, Loriana
-
1997
Persistent link: https://www.econbiz.de/10000971200
Saved in:
4
Pricing options with switching volatility
Billio, Monica
- In:
Geld, Finanzwirtschaft, Banken und Versicherungen : …
,
(pp. 415-441)
.
1997
Persistent link: https://www.econbiz.de/10001299041
Saved in:
5
Value-at-Risk: a multivariate switching regime approach
Billio, Monica
;
Pelizzon, Loriana
- In:
Journal of empirical finance
7
(
2000
)
5
,
pp. 531-554
Persistent link: https://www.econbiz.de/10001545287
Saved in:
6
CDS industrial sector indices, credit and liquidity risk
Billio, Monica
;
Caporin, Massimiliano
;
Pelizzon, Loriana
; …
-
2012
Persistent link: https://www.econbiz.de/10011629005
Saved in:
7
Fat tails, long memory, and the stock market since the 1960's
Lo, Andrew W.
- In:
Economic notes : economic review of Banca Monte dei …
26
(
1997
)
2
,
pp. 213-246
Persistent link: https://www.econbiz.de/10001337764
Saved in:
8
Nonparametric estimation of state-price densities implicit in financial asset prices
Aït-Sahalia, Yacine
;
Lo, Andrew W.
-
1995
Persistent link: https://www.econbiz.de/10000935916
Saved in:
9
Maximizing predictability in the stock and bond markets
Lo, Andrew W.
- In:
Macroeconomic dynamics
1
(
1997
)
1
,
pp. 102-134
Persistent link: https://www.econbiz.de/10001337437
Saved in:
10
Nonparametric estimation of state-price densities implicit in financial asset prices
Aït-Sahalia, Yacine
- In:
The journal of finance : the journal of the American …
53
(
1998
)
2
,
pp. 499-547
Persistent link: https://www.econbiz.de/10001238271
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