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On the Predictability of the Stock Market Volatility : Does History Matter?
Adjaoute, Kpate - 2001
This study compares the performance of the ISD, the GARCH (1,1), the historical volatility estimates and of two lagged trading volume measures for predicting the Swiss Stock Market Index's (SMI) volatility. The ISD has a superior daily informational content than the GARCH(1,1) estimate and...
Persistent link: https://www.econbiz.de/10012788420
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Options, futures and stock market interactions : empirical evidence from the Swiss stock market
Bruand, Martin; Gibson, Rajna - 1996
Persistent link: https://www.econbiz.de/10000954650
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Options, futures and stock market interactions : empirical evidence from the Swiss stock market
Bruand, Martin; Gibson-Asner, Rajna - 1995
Persistent link: https://www.econbiz.de/10004356161
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Le processus mixte appliqué à l'évolution du prix des actions suisses et son influence sur le prix des options
Bruand, Martin - 1994
Persistent link: https://www.econbiz.de/10000905518
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Non-stationary exchange rates and the efficiency of the foreign exchange market
Adjaoute, Kpate - 1995
Persistent link: https://www.econbiz.de/10000934123
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On some parametric and nonparametric characterizations of exchange risk premia
Adjaoute, Kpate - 1995
Persistent link: https://www.econbiz.de/10000906333
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Stochastic interest rates and the pricing of European currency options
Adjaoute, Kpate - 1997
Persistent link: https://www.econbiz.de/10000982372
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Non-stationary exchange rates and the efficiency of the foreign exchange market
Adjaoute, Kpate - 1995 - This version: Apr. 1995
Persistent link: https://www.econbiz.de/10004322908