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Self-exciting jumps, learning, and asset pricing implications
Fulop, Andras; Li, Junye; Yu, Jun - In: The review of financial studies 28 (2015) 3, pp. 876-912
Persistent link: https://www.econbiz.de/10011337555
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Investigating impacts of self-exciting jumps in returns and volatility : a Bayesian learning approach
Fulop, Andras; Li, Junye; Yu, Jun - 2012
Persistent link: https://www.econbiz.de/10010202344
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Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras; Li, Junye - In: Journal of econometrics 209 (2019) 1, pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
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Augmented GARCH (p,q) process and its diffusion limit
Duan, Jin-Chuan - In: Journal of econometrics 79 (1997) 1, pp. 97-127
Persistent link: https://www.econbiz.de/10001220068
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Systematic risk and the price structure of individual equity options
Duan, Jin-Chuan; Wei, Jason - In: The review of financial studies 22 (2009) 5, pp. 1981-2006
Persistent link: https://www.econbiz.de/10003886037
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Jump and volatility risk premiums implied by VIX
Duan, Jin-Chuan; Yeh, Chung-ying - In: Journal of economic dynamics & control 34 (2010) 11, pp. 2232-2244
Persistent link: https://www.econbiz.de/10009008897
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Forward-looking market risk premium
Duan, Jin-Chuan; Zhang, Weiqi - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 521-538
Persistent link: https://www.econbiz.de/10010258775
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Pricing Hang Seng Index options around the Asian financial crisis : a GARCH approach
Duan, Jin-Chuan; Zhang, Hua - In: Journal of banking & finance 25 (2001) 11, pp. 1989-2014
Persistent link: https://www.econbiz.de/10001617904
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Jump starting GARCH : pricing and hedging options with jumps in returns and volatilities
Duan, Jin-Chuan (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003419274
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Volatility and maturity effects in the Nikkei index futures
Chen, Yen-ju; Duan, Jin-Chuan; Hung, Mao-Wei - In: The journal of futures markets 19 (1999) 8, pp. 895-909
Persistent link: https://www.econbiz.de/10001443384