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Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10010465152
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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
Bernis, Guillaume; Brignone, Riccardo; Scotti, Simone; … - In: Mathematics and financial economics 15 (2021) 4, pp. 747-773
Persistent link: https://www.econbiz.de/10012616856
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The continuous limit of weak GARCH
Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
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A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu; Guo, Jia-Hau; Hung, Mao-Wei - In: The journal of futures markets 36 (2016) 9, pp. 887-901
Persistent link: https://www.econbiz.de/10011568657
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Forecasting global equity indices using large Bayesian VARs
Huber, Florian; Krisztin, Tamás; Piribauer, Philipp - 2014
Persistent link: https://www.econbiz.de/10010480996
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The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293
Persistent link: https://www.econbiz.de/10009489609
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Executive stock option pricing in China under stochastic volatility
Chong, Terence Tai-Leung; Ding, Yue; Li, Yong - In: The journal of futures markets 35 (2015) 10, pp. 953-960
Persistent link: https://www.econbiz.de/10011392713
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Critical analysis of the stochastic volatility of the S&P 500 Index between 2000 - 2010
Renfro, Brandon; Asante, Rebecca - In: Inventi impact: emerging economies (2015) 1, pp. 9-19
Persistent link: https://www.econbiz.de/10010513985
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Spillover effects of the 2008 global financial crisis on the volatility of the Indian equity markets : coupling or uncoupling? ; a study on sector-based data
Dufrénot, Gilles; Keddad, Benjamin - In: International review of financial analysis 33 (2014), pp. 17-32
Persistent link: https://www.econbiz.de/10010520091