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Efficient discretization of stochastic integrals
Fukasawa, Masaaki - In: Finance and stochastics 18 (2014) 1, pp. 175-208
Persistent link: https://www.econbiz.de/10010235454
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The persistence in hedge fund performance : extended analysis
Capocci, Daniel - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 233-255
Persistent link: https://www.econbiz.de/10003901056
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Effects of macroeconomic news announcements on risk-neutral distribution : evidence from KOSPI200 intraday options data
Kim, Sol; Lee, Geul - In: Asia-Pacific journal of financial studies 40 (2011) 3, pp. 403-432
Persistent link: https://www.econbiz.de/10009388576
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Dynamics of credit spread moments of European corporate bond indexes
Alizadeh-Masoodian, Amir H.; Alexandros, Gabrielsen - In: Journal of banking & finance 37 (2013) 8, pp. 3125-3144
Persistent link: https://www.econbiz.de/10009777103
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Do jumps contribute to the dynamics of the equity premium
Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei - In: Journal of financial economics 110 (2013) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10010208659
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Information contagion within small worlds and changes in kurtosis and volatility in financial prices
Bowden, Mark - In: Journal of macroeconomics 34 (2012) 2, pp. 553-566
Persistent link: https://www.econbiz.de/10009689359
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...
Persistent link: https://www.econbiz.de/10009767120
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Prerequisites for modeling price and return data series for the Bucharest Stock Exchange
Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126
Persistent link: https://www.econbiz.de/10010224748
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Human capital distribution, growth and trade
Lee, Cheng-te; Huang, Deng-shing - In: Bulletin of economic research 66 (2014) 1, pp. 45-54
Persistent link: https://www.econbiz.de/10010399414
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Forward-looking market risk premium
Duan, Jin-Chuan; Zhang, Weiqi - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 521-538
Persistent link: https://www.econbiz.de/10010258775