| Volatility modelling and forecasting in finance
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2007 |
Xiao, Linlan |
| What good is a volatility model?
|
2007 |
Engle, Robert F. |
| Applications of portfolio variety
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2007 |
Di Bartolomeo, Dan |
| Implied risk-neutral probability density functions from option prices : a central bank perspective
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2007 |
Bahra, Bhupinder |
| Implied volatility forecasting : a comparison of different procedures including fractionally integrated models with applications to UK equity options
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2007 |
Hwang, Soosung |
| Volatility forecasting in a tick data model
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2007 |
Rogers, Leonard C. G. |
| Generating composite volatility forecasts with random factor betas
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2007 |
Christodoulakis, George A. |
| An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility
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2007 |
Silvey, Thomas A. |
| Modelling slippage : an application to the bund futures contract
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2007 |
Acar, Emmanuel |
| Real trading volume and price action in the foreign exchange markets
|
2007 |
Lequeux, Pierre |
| GARCH predictions and the predictions of option prices
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2007 |
Knight, John L. |
| Long memory in stochastic volatility
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2007 |
Harvey, Andrew C. |
| GARCH processes - some exact results, some difficulties and a suggested remedy
|
2007 |
Knight, John L. |
| A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices
|
2007 |
Cornish, Rob |
| Stochastic volatility and option pricing
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2007 |
Jiang, George J. |
| Hashing GARCH : a reassessment of volatility forecasting performance
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2007 |
Christodoulakis, George A. |
| An econometric model of downside risk
|
2007 |
Bond, Shaun A. |
| Variations in the mean and volatility of stock returns around turning points of the business cycle
|
2007 |
Pérez-Quirós, Gabriel |
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