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Volatility Expectations and Asymmetric Effects of Direct Interventions in the FX Market ⋆
– Michel Beine
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3
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Volatility Dynamics under Duration-Dependent Mixing
– John M. Maheu, Thomas H. McCurdy
- 2000
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Glossary to ARCH (GARCH)
– Tim Bollerslev, Tim Bollerslev
- 2007
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SHOULD STOCK MARKET INDEXES TIME VARYING CORRELATIONS BE TAKEN INTO ACCOUNT? A CONDITIONAL VARIANCE MULTIVARIATE APPROACH
– Historiques De L’economie, Umr Cnrs, Ryan Suleimann, Ryan Suleimann
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5
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Volatility Forecasting
– Torben G. Andersen , Tim Bollerslev , Peter F. Christoffersen , Francis X. Diebold
- 2005
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72
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Measuring Business Cycles: A Modern Perspective
– Francis X. Diebold, Glenn D. Rudebusch
- 1996
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9
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Predicting Daily Probability Distributions of S&P500 Returns
– Andreas S. Weigend, Shanming Shi
- 1998
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unknown title
– unknown authors
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Regime Switches in Swedish Interest Rates ∗
– Ulf G. Erl, Jel C
- 2003
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Volatility dynamics under
– John M. Maheu A, Thomas H. Mccurdy B
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Analytical Approximate Solutions for the Prices of American Exotic Options
– Tatiana S. Taksar, S. Taksar
- 1997
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NEW TECHNOLOGY STOCK MARKET INDEXES CONTAGION:
– Historiques De L’economie, Umr Cnrs, Ryan Suleimann, Ryan Suleimann
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THE CONTAGION EFFECT BETWEEN THE VOLATILITIES OF THE NASDAQ-100 AND THE IT.CAC: A UNIVARIATE AND A BIVARIATE SWITCHING APPROACH
– Historiques De L’economie, Ryan Suleimann, Ryan Suleimann
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109
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Post-'87 Crash Fears in the S&P 500 Futures Option Market
– David S. Bates, David S. Bates
- 1998
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3
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Forecasting and trading currency volatility: an application of recurrent neural regression and model combination
– Christian L. Dunis, Xuehuan Huang
- 2002
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23
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Continuous-time methods in finance: A review and an assessment
– Suresh M. Sundaresan
- 2000
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3
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Option Pricing under Linear Autoregressive Dynamics and Heteroskedasticity
– Christian M. Hafner, Helmut Herwartz
- 1998
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9
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Discrete Time Option Pricing with Flexible Volatility Estimation
– Wolfgang Härdle, Christian Hafner
- 2000
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2
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Regime-switching and the estimation of multifractal processes
– Laurent Calvet, Adlai Fisher, Guido Kuersteiner, Meddahi We, T. Andersen, T. Bollerslev, F. Diebold, R. Engle, J. Hamilton, J. Mackinnon, N. Shephard, D. Smith
- 2004
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