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Modeling volatility dynamics
Diebold, Francis X., (1995)
A multivariate GARCH model of risk premia in foreign exchange markets
Malliaropulos, Dimitrios, (1997)
Impulse response function for conditional volatility in GARCH models
Lin, Wen-ling Tsai, (1997)
Risk management lessons from long-term capital management
Jorion, Philippe, (2000)
[Rezension von: Neftci, Salih N., An introduction to the mathematics of financial derivatives]
Jorion, Philippe, (1998)
[Rezension von: Baxter, Martin, ..., Financial calculus]