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Conditional correlated jump dynamics in foreign exchange
Chan, Wing Hong - In: Economics letters 83 (2004) 1, pp. 23-28
Persistent link: https://www.econbiz.de/10001967528
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A correlated bivariate poisson jump model for foreign exchange
Chan, Wing Hong - In: Empirical economics : a journal of the Institute for … 28 (2003) 4, pp. 669-685
Persistent link: https://www.econbiz.de/10001798156
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The economic value of using realized volatility in forecasting future implied volatility
Chan, Wing Hong; Jha, Ranjini; Kalimipalli, Madhu - In: The journal of financial research 32 (2009) 3, pp. 231-259
Persistent link: https://www.econbiz.de/10003966444
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Jumping hedges : an examination of movements in copper spot and futures markets
Chan, Wing Hong; Young, Denise - In: The journal of futures markets 26 (2006) 2, pp. 169-188
Persistent link: https://www.econbiz.de/10003303876
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Nonlinear features of realized FX volatility
Maheu, John M.; McCurdy, Thomas H. - In: The review of economics and statistics 84 (2002) 4, pp. 668-681
Persistent link: https://www.econbiz.de/10001711218
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Nonlinear features of realized FX volatility
Maheu, John M. (contributor); McCurdy, Thomas H. (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001699562
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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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How useful are historical data for forecasting the long-run equity return distribution?
Maheu, John M.; McCurdy, Thomas H. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 1, pp. 95-112
Persistent link: https://www.econbiz.de/10003805430
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Identifying bull and bear markets in stock returns
Maheu, John M.; McCurdy, Thomas H. - In: Journal of business & economic statistics : JBES ; a … 18 (2000) 1, pp. 100-112
Persistent link: https://www.econbiz.de/10001441612
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Components of market risk and return
Maheu, John M.; McCurdy, Thomas H. - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 560-590
Persistent link: https://www.econbiz.de/10003570729