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Latent integrated stochastic volatility, realized volatility, and implied volatility : a state space approach
Bach, Christian; Christensen, Bent Jesper - 2010
Persistent link: https://www.econbiz.de/10008857837
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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper; Wel, Michael van der - 2010
Persistent link: https://www.econbiz.de/10003947812
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The effect of long memory in volatility on stock market fluctuations
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: The review of economics and statistics 89 (2007) 4, pp. 684-700
Persistent link: https://www.econbiz.de/10003567153
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Level shifts in volatility and the implied-realized volatility relation
Christensen, Bent Jesper; Santucci de Magistris, Paolo - 2010
Persistent link: https://www.econbiz.de/10008651637
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The risk-return tradeoff and leverage effect in a stochastic volatility-in-mean model
Christensen, Bent Jesper; Posedel Šimović, Petra - 2010
Persistent link: https://www.econbiz.de/10008651660
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The impact of health changes on labor supply : evidence from merged data on individual objective medical diagnosis codes and early retirement behavior
Christensen, Bent Jesper; Kallestrup-Lamb, Malene - 2010
Persistent link: https://www.econbiz.de/10008659427
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Estimating dynamic equilibrium models using macro and financial data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - 2011
Persistent link: https://www.econbiz.de/10009152334
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The impact of health changes on labor supply : evidence from merged data on individual objective medical diagnosis codes and early retirement behavior
Christensen, Bent Jesper; Kallestrup-Lamb, Malene - In: Health economics 21 (2012), pp. 56-100
Persistent link: https://www.econbiz.de/10009551217
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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Ørregaard Nielsen, Morten; … - 2012
Persistent link: https://www.econbiz.de/10009531560
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - In: Journal of econometrics 160 (2011) 1, pp. 48-57
Persistent link: https://www.econbiz.de/10009242554