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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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Exchange rate dynamics
Wang, T'ao - In: China's growth and integration into the world economy : …, (pp. 21-28). 2004
Persistent link: https://www.econbiz.de/10002164631
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Sources of real exchange rate fluctuations in China
Wang, T'ao - In: Journal of comparative economics : the journal of the … 33 (2005) 4, pp. 753-771
Persistent link: https://www.econbiz.de/10003251032
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Crude oil market autocorrelation : evidence from multiscale quantile regression analysis
Sun, Jie; Zhao, Xiaojun; Xu, Chao - In: Energy economics 98 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012822032
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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 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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How frequently does the stock price jump? : An analysis of high-frequency data with microstructure noises
Duan, Jin-Chuan (contributor); Fulop, Andras (contributor) - 2007
Persistent link: https://www.econbiz.de/10003494018
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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