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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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A time series approach to testing for market linkage : unit root and cointegration tests
Wang, George H. K. - In: The journal of futures markets 14 (1994) 4, pp. 457-474
Persistent link: https://www.econbiz.de/10001169791
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A general volatility framework and the generalised historical volatility estimator
Bollen, Bernard - 1998
Persistent link: https://www.econbiz.de/10000995980
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Dynamic mixture models for financial time series
Haas, Markus - 2004 - 1. Aufl.
Inaugural -Dissertation zur Erlangung des Grades eines Doktors der Wirtschafts -und Sozialwissenschaften der Wirtschafts -und Sozialwissenschaftlichen Fakultät der Christian -Albrechts -Universität zu Kiel The objective of this study is the development and application of models for financial...
Persistent link: https://www.econbiz.de/10002452594
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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Forecasting implied volatilities for options on index futures : time-series and cross-sectional analysis versus constant elasticity of variance (CEV) model
Tai, Tzu; Lee, Cheng F. - In: Portfolio construction, measurement, and efficiency : …, (pp. 355-387). 2017
Persistent link: https://www.econbiz.de/10011603288
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Volatility estimation for stock index options : a GARCH approach
Chu, Shin-herng - In: The quarterly review of economics and finance : journal … 36 (1996) 4, pp. 431-450
Persistent link: https://www.econbiz.de/10001214235
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Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach
Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905
Persistent link: https://www.econbiz.de/10011459137
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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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Testing the martingale restriction for option implied densities
Busch, Thomas - In: Review of derivatives research 11 (2008) 1/2, pp. 61-81
Persistent link: https://www.econbiz.de/10003829557