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On the predictability of the stock market volatility : does history matter?
Adjaoute, Kpate - In: European financial management : the journal of the … 4 (1998) 3, pp. 293-319
Persistent link: https://www.econbiz.de/10001251082
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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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The effects of newly listed derivatives in a thin stock market
Bruand, Martin - In: Review of derivatives research 2 (1998) 1, pp. 59-86
Persistent link: https://www.econbiz.de/10001250186
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On the Predictability of the Stock Market Volatility: Does History Matter?
Adjaoute, Kate; Bruand, Martin; Gibson-Asner, Rajna - In: European Financial Management 4 (1998) 3, pp. 293-319
Persistent link: https://www.econbiz.de/10005309487
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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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The jump-diffusion process in Swiss stock returns and its influence on option valuation
Bruand, Martin - In: Finanzmarkt und Portfolio-Management 10 (1996) 1, pp. 75-98
Persistent link: https://www.econbiz.de/10001221522
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Pricing and hedging caps on the Swiss index of mortgage rates
Bruand, Martin - In: The journal of fixed income 7 (1998) 4, pp. 94-111
Persistent link: https://www.econbiz.de/10001243515
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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