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Conditional volatility, skewness, and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001534321
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Conditional volatility, skewness and kurtosis : existence and persistence
Jondeau, Eric; Rockinger, Michael - 2000
Persistent link: https://www.econbiz.de/10001526562
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Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements
Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737
Persistent link: https://www.econbiz.de/10001755410
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Option-based tests of interest rate diffusion functions
Rosenberg, Joshua V. - 1999
Persistent link: https://www.econbiz.de/10001447927
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Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence
Jondeau, Eric - 2010
findings from extreme value theory. Kurtosis exists on fewer dates and for fewer series. There is little evidence at the weekly … surprise and that there is a certain persistence in moments beyond volatility. For exchange-rate and stock-market data cross …-sectionally and at daily frequency we also document co-variability of moments beyond volatility …
Persistent link: https://www.econbiz.de/10013134839
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10000550284
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Investor and central bank uncertainty and fear measures embedded in index options
David, Alexander; Veronesi, Pietro - 2011
"Investors' option-implied fear measures - implied volatility (ATMIV) and put-call implied volatility ratios (P … volatility premium"--National Bureau of Economic Research web site …
Persistent link: https://www.econbiz.de/10008858624
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Closed-form approximate solutions of window barrier options with term-structure volatility and interest rates using the boundary integral method
Hsiao, Yi-long - In: Journal of mathematical finance 2 (2012) 4, pp. 291-302
Persistent link: https://www.econbiz.de/10009725339
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The information content of derivatives for monetary policy : implied volatilities and probabilities
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10009699999
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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...
Persistent link: https://www.econbiz.de/10009700000