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Can time-varying risk of rare disasters explain aggregate stock market volatility
Wachter, Jessica - 2008
Persistent link: https://www.econbiz.de/10003763502
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Econometric estimation in long-range dependent volatility models : theory and practice
Casas, Isabel; Gao, Jiti - In: Journal of econometrics 147 (2008) 1, pp. 72-83
Persistent link: https://www.econbiz.de/10003783786
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Can time-varying risk of rare disasters explain aggregate stock market volatility?
Wachter, Jessica (contributor) - 2008 - Current draft: September 24, 2008
Persistent link: https://www.econbiz.de/10003783866
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On the effects of uncertainty on investment timing and option value
Kanniainen, Juho - In: The engineering economist : a journal devoted to the … 54 (2009) 3, pp. 175-196
Persistent link: https://www.econbiz.de/10003895149
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Beyond the random walk : a guide to stock market anomalies and low risk investing
Singal, Vijay - 2006 - 1. issued as an Oxford pbk.
Persistent link: https://www.econbiz.de/10003982793
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Essays on empirical asset pricing and investor behavior
Westheide, Christian - 2011
Persistent link: https://www.econbiz.de/10009412402
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Volatility managed portfolios
Moreira, Alan; Muir, Tyler - 2016
Persistent link: https://www.econbiz.de/10011484111
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Can time-varying risk of rare disasters explain aggregate stock market volatility?
Wachter, Jessica - 2011 - Current draft: May 17, 2011
Persistent link: https://www.econbiz.de/10009295341
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A closed-form exact solution for pricing variance swaps with stochastic volatility
Zhu, Song-ping; Lian, Guang-hua - In: Mathematical finance : an international journal of … 21 (2011) 2, pp. 233-256
Persistent link: https://www.econbiz.de/10008935680
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Periodic long-memory GARCH models
Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric reviews 28 (2009) 1/3, pp. 60-82
Persistent link: https://www.econbiz.de/10003800657