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An empirical test of the variance gamma option pricing model

Lam, K.; Chang, E.; Lee, M. C. - In: Pacific-Basin Finance Journal 10 (2002) 3, pp. 267-285

Persistent link: https://www.econbiz.de/10005351899

Intraday price reversals for index futures in the US and Hong Kong

Fung, A.K.-W.; Mok, D.M.Y.; Lam, K. - In: Journal of banking & finance 24 (2000) 7, pp. 1179-1202

Persistent link: https://www.econbiz.de/10005895974

Correction: Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model

Li, W.K.; Lam, K. - In: The statistician : journal of the Institute of Statisticians 45 (1996) 1, pp. 142

Persistent link: https://www.econbiz.de/10007316065

Modelling asymmetry in stock returns by a threshold autoregressive conditional heteroscedastic model

Li, W.K.; Lam, K. - In: The statistician : journal of the Institute of Statisticians 44 (1995) 3, pp. 333-342

Persistent link: https://www.econbiz.de/10007330926

Forecasting exchange rate volatility using autoregressive random variance model

So, Mike; Lam, K.; Li, W. K. - In: Applied Financial Economics 9 (1999) 6, pp. 583-591

Recently, as an alternative to the GARCH model, the autoregressive random variance (ARV) model has been gaining popularity in the modelling of changing volatility, mainly because of the capability in capturing the stochastic nature of volatility. This article highlights the ARV model as an...

Persistent link: https://www.econbiz.de/10009206779

Operational competitiveness analysis on software development

Parkan, C.; Lam, K.; Hang, G. - In: Journal of the Operational Research Society : OR 48 (1997) 9, pp. 892-905

Persistent link: https://www.econbiz.de/10006060347

A threshold stochastic volatility model

So, Mike K.P.; Li, W.K.; Lam, K. - In: Journal of forecasting 21 (2002) 7, pp. 473-500

Persistent link: https://www.econbiz.de/10006891490

Forecasting and Trading Strategies Based on a Price Trend Model

Kwan, J.W.C.; Lam, K.; So, M.K.P.; Yu, P.L.H. - In: Journal of forecasting 19 (2000) 6, pp. 485-498

Persistent link: https://www.econbiz.de/10006904844

Forecasting for the Generation of Trading Signals in Financial Markets

Lam, K.; Lam, K.C. - In: Journal of forecasting 19 (2000) 1, pp. 39-52

Persistent link: https://www.econbiz.de/10006909792

A Stochastic Volatility Model With Markov Switchlng

So, Mike K.P.; Lam, K.; Li, W.K. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 244-253

Persistent link: https://www.econbiz.de/10008219287