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Pricing options under generalised GARCH and stochastic volatility processes
Ritchken, Peter H.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978436
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Short-term interest rates, weekly money announcements and rational forecasts
Trevor, Robert G. - 1986
Persistent link: https://www.econbiz.de/10000705121
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Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.; Trevor, Robert G. - 1997
Persistent link: https://www.econbiz.de/10000978435
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The performance of exchange rate forecasts
Lowe, Philip W. - In: The Australian economic review (1987), pp. 31-44
Persistent link: https://www.econbiz.de/10001035806
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Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.; Trevor, Robert G. - In: Journal of business & economic statistics : JBES ; a … 17 (1999) 4, pp. 397-408
Persistent link: https://www.econbiz.de/10001412844
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Options : theory, strategy and applications
Ritchken, Peter H. - 1987
Persistent link: https://www.econbiz.de/10013502760
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Jump starting GARCH : pricing and hedging options with jumps in returns and volatilities
Duan, Jin-Chuan (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003419274
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On forecasting the term structure of credit spreads
Krishnan, C.N.V. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003487848
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On correlation and default clustering in credit markets
Berndt, Antje; Ritchken, Peter H.; Sun, Zhiqiang - In: The review of financial studies 23 (2010) 7, pp. 2680-2729
Persistent link: https://www.econbiz.de/10003992037