Narrow search
Showing 1 - 10 of 4,244
Cover Image
Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
Cover Image
Modelling financial time series
Taylor, Stephen - 2007 - 2. edition
Persistent link: https://www.econbiz.de/10003553502
Cover Image
Modelling financial time series with SEMIFAR-GARCH model
Feng, Yuanhua; Beran, Jan; Yu, Keming - 2007
A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper...
Persistent link: https://www.econbiz.de/10003876744
Cover Image
Symposium on stochastic volatility : an introductory overview
Viens, Frederi G. - In: Annals of finance 8 (2012) 2/3, pp. 151-157
Persistent link: https://www.econbiz.de/10009548135
Cover Image
Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
Cover Image
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
Cover Image
Empirical comparison of alternative implied volatility measures of the forecasting performance of future volatility
Rhee, Dong Woo; Byun, Suk Joon; Kim, Sol - In: Asia-Pacific journal of financial studies 41 (2012) 1, pp. 103-124
Persistent link: https://www.econbiz.de/10009514731
Cover Image
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Cover Image
The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Cover Image
Analysis of market volatility via a dynamically purified option price process
Luong, Chuong; Dokučaev, Nikolaj G. - In: Annals of financial economics 9 (2014) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10010391659