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Hedging options in GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.; Rosenberg, Joshua V. - 1994
Persistent link: https://www.econbiz.de/10000147446
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Option hedging using empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000643460
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - In: The journal of derivatives : the official publication … 8 (2000) 1, pp. 10-28
Persistent link: https://www.econbiz.de/10001522314
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GARCH gamma
Engle, Robert F. - In: The journal of derivatives : the official publication … 2 (1995) 4, pp. 47-59
Persistent link: https://www.econbiz.de/10001223170
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Option hedging using empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000970980
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Hedging options in a GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.; Rosenberg, Joshua V. - 1994
Persistent link: https://www.econbiz.de/10000904203
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - 1998
Persistent link: https://www.econbiz.de/10000982921
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Modeling the impacts of market activity on bid-ask spreads in the option market
Cho, Young-hye; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001415115
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - 1999
Persistent link: https://www.econbiz.de/10001448019
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GARCH gamma
Engle, Robert F. - 1995
Persistent link: https://www.econbiz.de/10000911609