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Estimating value-at-risk under a Heath-Jarrow-Morton framework with jump
Ze-To, Samuel Yau Man
- In:
Applied economics
44
(
2012
)
19/21
,
pp. 2729-2741
Persistent link: https://www.econbiz.de/10009546636
Saved in:
2
Asset liquidity and stock returns
Ze-To, Samuel Yau Man
- In:
Advances in accounting : a research annual
35
(
2016
),
pp. 177-196
Persistent link: https://www.econbiz.de/10011720126
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3
Cross-section stock return and implied covariance between jump and diffusive volatility
Ze-To, Samuel Yau Man
- In:
Journal of forecasting
34
(
2015
)
5
,
pp. 379-390
Persistent link: https://www.econbiz.de/10011318319
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4
Expect stock returns and options-implied rate of return
Ze-To, Samuel Yau Man
- In:
Journal of mathematical finance
2
(
2012
)
4
,
pp. 269-279
Persistent link: https://www.econbiz.de/10009725341
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5
Crisis, value at risk and conditional extreme value theory via the NIG + Jump model
Ze-To, Samuel Yau Man
- In:
Journal of mathematical finance
2
(
2012
)
3
,
pp. 225-237
Persistent link: https://www.econbiz.de/10009711983
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6
Earnings management and accrual anomaly across market states and business cycles
Ze-To, Samuel Yau Man
- In:
Advances in accounting : a research annual
28
(
2012
)
2
,
pp. 344-352
Persistent link: https://www.econbiz.de/10009715406
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7
Fundamental index aligned and excess market return predictability
Ze-To, Samuel Yau Man
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 592-614
Persistent link: https://www.econbiz.de/10013166162
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8
Option implied beta and option return
Ze-To, Samuel Yau Man
- In:
Applied economics
50
(
2018
)
2
,
pp. 128-142
Persistent link: https://www.econbiz.de/10011845923
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9
Correlated implied volatility with jump and cross section of stock returns
Ze-To, Samuel Yau Man
- In:
Accounting and finance : journal of the Accounting …
56
(
2016
)
4
,
pp. 1187-1214
Persistent link: https://www.econbiz.de/10011660377
Saved in:
10
Estimating value-at-risk under a HeathJarrowMorton framework with jump
Ze-To, Samuel Yau Man
- In:
Applied economics
44
(
2012
)
21
,
pp. 2729-2742
Persistent link: https://www.econbiz.de/10009817976
Saved in:
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