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Estimation error in the assessment of financial risk exposure

Figlewski, Stephen - 2003

Persistent link: https://www.econbiz.de/10001779249

Forecasting volatility

Figlewski, Stephen - In: Financial markets, institutions & instruments 6 (1997) 1

Persistent link: https://www.econbiz.de/10001217426

What goes into risk-neutral volatility? : empirical estimates of risk and subjectve risk preferences

Figlewski, Stephen - In: The journal of portfolio management : a publication of … 43 (2016) 1, pp. 29-42

Persistent link: https://www.econbiz.de/10011686157

Anatomy of a meltdown : the risk neutral density for the S&P 500 in the fall of 2008

Birru, Justin; Figlewski, Stephen - In: Journal of financial markets 15 (2012) 2, pp. 151-180

Persistent link: https://www.econbiz.de/10009614494

Modeling the dynamics of correlations among implied volatilities

Engle, Robert F.; Figlewski, Stephen - In: Review of finance : journal of the European Finance … 19 (2015) 3, pp. 991-1018

Persistent link: https://www.econbiz.de/10011405161

Is the "leverage effect" a leverage effect?

Figlewski, Stephen; Wang, Xiaozu - 2000

Persistent link: https://www.econbiz.de/10001554375

Forecasting volatilities and coorelations with EGARCH models

Cumby, Robert - In: The journal of derivatives : the official publication … 1 (1993) 2, pp. 51-63

Persistent link: https://www.econbiz.de/10001220370

Forecasting volatility using historical data

Figlewski, Stephen - 1994

Persistent link: https://www.econbiz.de/10000952027

Market risk and model risk for a financial institution writing options

Green, Tracy Clifton; Figlewski, Stephen - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1465-1499

Persistent link: https://www.econbiz.de/10001395780

Is the "leverage effect" a leverage effect?

Figlewski, Stephen; Wang, Xiaozu - 2000

The "leverage effect" refers to the well-established relationship between stock returns and both implied and realized volatility: volatility increases when the stock price falls. A standard explanation ties the phenomenon to the effect a change in market valuation of a firm's equity has on the...

Persistent link: https://www.econbiz.de/10005846843