Narrow search
Showing 1 - 10 of 31,835
Cover Image
Forecasting volatility with component conditional autoregressive range model
Wu, Xinyu; Hou, Xinmeng - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012659660
Cover Image
Skewed generalized error distribution of financial assets and option pricing
Theodossiou, Panayiotis - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 223-266
Persistent link: https://www.econbiz.de/10011434223
Cover Image
Model-based pricing for financial derivatives
Zhu, Ke; Ling, Shiqing - In: Journal of econometrics 187 (2015) 2, pp. 447-457
Persistent link: https://www.econbiz.de/10011499705
Cover Image
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Cover Image
Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels
Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - In: Review of asset pricing studies 8 (2018) 2, pp. 183-231
Persistent link: https://www.econbiz.de/10012002169
Cover Image
Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
Cover Image
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Cover Image
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Cover Image
Non-linear volatility with normal inverse Gaussian innovations : ad-hoc analytic option pricing
Mozumder, Sharif; Talukdar, Bakhtear; Kabir, M. Humayun; … - In: Review of quantitative finance and accounting 62 (2024) 1, pp. 97-133
Persistent link: https://www.econbiz.de/10014502965
Cover Image
Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Hodoshima, Jiro; Yamawake, Toshiyuki - In: Finance research letters 28 (2019), pp. 74-81
Persistent link: https://www.econbiz.de/10012388014