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Pricing currency options in the presence of time-varying volatility and non-normalities
Lim, Guay C.; Martin, Gael M.; Martin, Vance - In: Journal of multinational financial management 16 (2006) 3, pp. 291-314
Persistent link: https://www.econbiz.de/10003328760
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A multifactor model of exchange rates with unanticipated shocks : measuring contagion in the East Asian currency crisis
Dungey, Mardi H.; Martin, Vance - In: Journal of emerging market finance 3 (2004) 3, pp. 305-330
Persistent link: https://www.econbiz.de/10002498316
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Pricing currency options in tranquil markets : modelling volatility frowns
Lim, Guay C.; Martin, Gael M.; Martin, Vance - 2002
Persistent link: https://www.econbiz.de/10001704963
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Endogenous jumping and asset price dynamics
Lim, Guay C.; Martin, Vance; Teo, Leslie E. - In: Macroeconomic dynamics 2 (1998) 2, pp. 213-237
Persistent link: https://www.econbiz.de/10001617645
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Forecasting large changes in exchange rates
Lim, Guay C.; Martin, Vance - In: Economic forecasting, (pp. 255-276). 2000
Persistent link: https://www.econbiz.de/10001515132
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The distribution of exchange rate returns and tahe pricing of currency opations
Lim, Guay C.; Lye, Jenny N.; Martin, Gael M.; Martin, Vance - In: Journal of international economics 45 (1998) 2, pp. 351-368
Persistent link: https://www.econbiz.de/10001395805
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Forecasting the volatility of asset returns : the informational gains from option prices
Martin, Vance; Tang, Chrismin; Yao, Wenying - In: International journal of forecasting 37 (2021) 2, pp. 862-880
Persistent link: https://www.econbiz.de/10012792874
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News and expected returns in East Asian equity markets : the RV-GARCHM model
Martin, Vance; Tang, Chrismin; Yao, Wenying - In: Journal of Asian economics 57 (2018), pp. 36-52
Persistent link: https://www.econbiz.de/10012102777