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Optionsbewertung bei stochastischer Volatilität : Theorie und Empirie
Campenhausen, Claus von - 1996
Persistent link: https://www.econbiz.de/10000934033
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Trading patterns, time deformation and stochastic volatility in foreign exchange markets
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1996
Persistent link: https://www.econbiz.de/10000952887
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Stochastic volatility duration models
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1997
Persistent link: https://www.econbiz.de/10000980453
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Risk aversion, intertemporal substitution, and option pricing
Garcia, René; Renault, Eric - 1998
Persistent link: https://www.econbiz.de/10000984192
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Policy intervention, price variability and the International Sugar Agreement : project 42300 ; an econometric model of the world sugar market
Sturgiss, Robert; Wong, Gordon; Borrell, Brent William - 1987
Persistent link: https://www.econbiz.de/10000913753
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American options exercise boundary when the volatility changes randomly
Touzi, Nizar - 1995
Persistent link: https://www.econbiz.de/10000924111
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Building a consistent pricing model from observed option prices
Laurent, Jean-Paul; Leisen, Dietmar - 1999
Persistent link: https://www.econbiz.de/10001380392
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Dynamic factor models
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001380657
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To what extent do exchange rates and their volatility affect trade?
Huchet-Bourdon, Marilyne; Korinek, Jane - 2011
Persistent link: https://www.econbiz.de/10009685496
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Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to …
Persistent link: https://www.econbiz.de/10011978764