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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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Options : recent advances in theory and practice
Hodges, Stewart D. (contributor)
Persistent link: https://www.econbiz.de/10000804448
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(1990). - X, 181 S. - Enth. 11 Beitr.
Hodges, Stewart D. (ed.) - 1990
Persistent link: https://www.econbiz.de/10000804449
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(1992). - XIII, 313 S. - Enth. 16 Beitr.
Hodges, Stewart D. (ed.)
Persistent link: https://www.econbiz.de/10000804450
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A generalization of the Sharpe ratio and its applications to valuation bounds and risk measures
Hodges, Stewart D. - 1998
Persistent link: https://www.econbiz.de/10001752066
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FORC preprint
Financial Options Research Centre - Coventry - Nachgewiesen 1994 -
Persistent link: https://www.econbiz.de/10001754564
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Papers - Energy efficiency in World Bank power sector policy and lending: New opportunities
Strickland, C.; Sturm, R. - In: Energy policy 26 (1998) 11, pp. 873-884
Persistent link: https://www.econbiz.de/10007528950
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Bayesian analysis of the stochastic conditional duration model
Strickland, Chris M.; Forbes, Catherine Scipione; … - 2003
Persistent link: https://www.econbiz.de/10001854434
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Bayesian Analysis of the Stochastic Conditional Duration Model
Strickland, Chris M.; Forbes, Catherine S.; Martin, Gael M. - Department of Econometrics and Business Statistics, … - 2003
A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. The sampling...
Persistent link: https://www.econbiz.de/10005149083