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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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Using daily range data to calibrate volatility diffusions and extract the forward integrated variance
Gallant, A. Ronald; Hsu, Chiente; Tauchen, George Eugene - In: The review of economics and statistics 81 (1999) 4, pp. 617-631
Persistent link: https://www.econbiz.de/10001437376
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Modelling the relation between the US real economy and the corporate bond-yield spread in Bayesian VARs with non-Gaussian disturbances
Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2021
Persistent link: https://www.econbiz.de/10012605022
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US interest rates : are relations stable?
Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024
estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
Persistent link: https://www.econbiz.de/10014490330
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
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Myths and facts about the alleged over-pricing of US real estate : evidence from multi-factor asset pricing models of REIT returns
Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - In: The journal of real estate finance and economics 49 (2014) 4, pp. 477-523
Persistent link: https://www.econbiz.de/10010422266
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314