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Hedging strategy comparisons of volatility index options using diffusion models

Lin, Jun-Biao - In: The international journal of business and finance … 9 (2015) 3, pp. 59-69

Persistent link: https://www.econbiz.de/10011285427

A non-linear dynamic model of the variance risk premium

Eraker, Bjørn; Wang, Jiakou - In: Journal of econometrics 187 (2015) 2, pp. 547-556

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Improving variance forecasts : the role of Realized Variance features

Papantonis, Ioannis; Rompolis, Leonidas; Tzavalis, Elias - In: International journal of forecasting 39 (2023) 3, pp. 1221-1237

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Estimation of distortion risk measures

Tsukahara, Hideatsu - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 213-235

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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was …

Persistent link: https://www.econbiz.de/10011477452