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Portfolio selection with parsimonious higher comoments estimation

Lassance, Nathan; Vrins, Frédéric - In: Journal of banking & finance 126 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012820331

International stock return predictability : statistical evidence and economic significance

Giot, Pierre (contributor); Petitjean, Mikael (contributor) - 2006

Persistent link: https://www.econbiz.de/10003386818

Short-term market timing using the Bond-Equity Yield Ratio

Giot, Pierre (contributor); Petitjean, Mikael (contributor) - 2006

Persistent link: https://www.econbiz.de/10003386845

Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks

Boudt, Kris; Petitjean, Mikael - In: Journal of financial markets 17 (2014), pp. 121-149

Persistent link: https://www.econbiz.de/10010437262

The Performance of Popular Stochastic Volatility Option Pricing Models During the Subprime Crisis

Moyaert, Thibaut - 2016

Using daily options prices on the Eurostoxx 50 stock index over the whole year 2008, we compare the performance of three popular stochastic volatility models (Heston, 1993; Bates, 1996; Heston and Nandi, 2'007, in addition to the traditional Black-Scholes model and a proprietary trading desk model. We...

Persistent link: https://www.econbiz.de/10013000731

Market instability and technical trading at high frequency : evidence from NASDAQ stocks

Erdemlioglu, Deniz; Petitjean, Mikael; Vargas, Nicolas - In: Economic modelling 102 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012797344

The performance of popular stochastic volatility option pricing models during the subprime crisis

Moyaert, Thibaut; Petitjean, Mikael - In: Applied financial economics 21 (2011) 13/15, pp. 1059-1068

Persistent link: https://www.econbiz.de/10009317438