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Forecasting Realized Volatility of Daily Futures Returns

Gmuer, Bruno - 2014

Despite the vast academic literature on modelling stochastic volatility, many finance practitioners still use the simple "RiskMetrics" approach of J. P. Morgan (1997), based on the exponentially weighted moving average (EWMA) volatility combined with the $\sqrt{h}$-rule for scaling volatility...

Persistent link: https://www.econbiz.de/10013062006

Price formation in the foreign exchange market

Gallien, Florent; Glebkin, Sergei; Kassibrakis, Serge; … - 2023

Persistent link: https://www.econbiz.de/10014480297

Price formation in the foreign exchange market

Gallien, Florent; Glebkin, Sergei; Kassibrakis, Serge; … - 2023

Persistent link: https://www.econbiz.de/10014438617

Ambiguity aversion and the term structure of interest rates

Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - In: The review of financial studies 22 (2009) 10, pp. 4157-4188

Persistent link: https://www.econbiz.de/10003887015

Accurate short-term yield curve forecasting using functional gradient descent

Audrino, Francesco (contributor); Trojani, Fabio (contributor) - 2007

Persistent link: https://www.econbiz.de/10003674257

Ambiguity aversion and the term structure of interest rates

Gagliardini, Patrick (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003674261

Correlation risk and optimal portfolio choice

Buraschi, Andrea (contributor); Porchia, Paolo (contributor) - 2007

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Robust value at risk prediction

Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007

Persistent link: https://www.econbiz.de/10003674273

Robust value at risk prediction

Mancini, Loriano; Trojani, Fabio - 2007

Persistent link: https://www.econbiz.de/10003597922

Robust value at risk prediction

Mancini, Loriano (contributor); Trojani, Fabio (contributor) - 2007

Persistent link: https://www.econbiz.de/10003550862

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