Econometric analysis of financial derivatives: an overview
Chia-Lin Chang, Michael McAleer
| Year of publication: |
August 2015
|
|---|---|
| Authors: | Chang, Chia-Lin ; McAleer, Michael |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 2, p. 403-407
|
| Subject: | Stochastic volatility | Switching volatility | Volatility risk | Option pricing dynamics | Futures prices | Fractional integration | Stochastic dominance | Variance risk premium | Fat tails | Leverage and asymmetry | Divided governments | Derivat | Derivative | Kapitalmarktrendite | Capital market returns | Börsenkurs | Share price | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Statistische Verteilung | Statistical distribution | Terminbörse | Futures exchange | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2015.02.026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011499624