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Market risk models for intraday data
Giot, Pierre - 2002
Persistent link: https://www.econbiz.de/10001687727
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The information content of implied volatility in agricultural commodity markets
Giot, Pierre - In: The journal of futures markets 23 (2002) 5, pp. 441-454
Persistent link: https://www.econbiz.de/10001769698
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Value-at-risk for long and short trading positions
Giot, Pierre; Laurent, Sébastien - 2001
Persistent link: https://www.econbiz.de/10001590396
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Time transformations, intraday data and volatility models
Giot, Pierre - 1999
Persistent link: https://www.econbiz.de/10001430828
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The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks
Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149
Persistent link: https://www.econbiz.de/10001543399
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Time transformations, intraday data, and volatility models
Giot, Pierre - In: The journal of computational finance 4 (2000/2001) 2, pp. 31-62
Persistent link: https://www.econbiz.de/10001553932
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A comparison of financial duration models via density forecasts
Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - 2000
Persistent link: https://www.econbiz.de/10001555045
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The information content of implied volatility indexes for forecasting volatility and market risk
Giot, Pierre - 2003
Persistent link: https://www.econbiz.de/10001791288
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The Asian financial crisis : the start of a regime switch in volatility
Giot, Pierre - 2003
Persistent link: https://www.econbiz.de/10001876281
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Value-at-risk for long and short trading positions
Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664
Persistent link: https://www.econbiz.de/10001843499