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Changing-regime volatility : a fractionally integrated SETAR model

Dufrénot, Gilles; Guégan, Dominique; … - In: Applied financial economics 18 (2008) 7/9, pp. 519-526

Persistent link: https://www.econbiz.de/10003739214

Option pricing with discrete time jump processes

Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445

Persistent link: https://www.econbiz.de/10010348134

Long-memory dynamics in a SETAR model : applications to stock markets

Dufrénot, Gilles; Guégan, Dominique; … - In: Journal of international financial markets, … 15 (2005) 5, pp. 391-406

Persistent link: https://www.econbiz.de/10003270564

Modelling squared returns using a SETAR model with long-memory dynamics

Dufrénot, Gilles; Guégan, Dominique; … - In: Economics letters 86 (2005) 2, pp. 237-243

Persistent link: https://www.econbiz.de/10002584436

Flexible dynamic consitional correlation multivariate GARCH models for asset allocation

Billio, Monica (contributor); Gobbo, Michele (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003376752

Volatility and shocks spillover before and after EMU in European stock markets

Billio, Monica; Pelizzon, Loriana - In: Journal of multinational financial management 13 (2003) 4/5, pp. 323-340

Persistent link: https://www.econbiz.de/10001782062

Pricing options with switching volatility

Billio, Monica; Pelizzon, Loriana - 1997

Persistent link: https://www.econbiz.de/10000971200

Pricing options with switching volatility

Billio, Monica - In: Geld, Finanzwirtschaft, Banken und Versicherungen : …, (pp. 415-441). 1997

Persistent link: https://www.econbiz.de/10001299041

Markov Switching Models for Volatility : Filtering, Approximation and Duality

Billio, Monica - 2013

This paper is devoted to show duality in the estimation of Markov Switching (MS) processes for volatility. It is well-known that MS-GARCH models suffer of path dependence which makes the estimation step unfeasible with usual Maximum Likelihood procedure. However, by rewriting the MS-GARCH model...

Persistent link: https://www.econbiz.de/10013073127

Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

Billio, Monica - 2015

A new Bayesian multi-chain Markov Switching GARCH model for dynamic hedging in energy futures markets is developed by constructing a system of simultaneous equations for the return dynamics on the hedged portfolio and futures. More specifically, both the mean and variance of the hedged portfolio...

Persistent link: https://www.econbiz.de/10013033418