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subject:"Time series analysis"
subject:"United States"
~isPartOf:"The review of financial studies"
~person:"Engle, Robert F."
~person:"Timmermann, Allan"
~subject:"Zeitreihenanalyse"
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Time series analysis
United States
Zeitreihenanalyse
2002-2004
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ARCH model
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Estimation
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Option pricing theory
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Engle, Robert F.
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The review of financial studies
Discussion paper / Department of Economics, University of California San Diego
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Discussion paper / Centre for Economic Policy Research
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Working paper / National Bureau of Economic Research, Inc.
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The journal of finance : the journal of the American Finance Association
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Forecasting volatility in the financial markets
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A GARCH option pricing model with filtered historical simulation
Barone-Adesi, Giovanni
;
Engle, Robert F.
;
Mancini, Loriano
- In:
The review of financial studies
21
(
2008
)
3
,
pp. 1223-1258
Persistent link: https://www.econbiz.de/10003742228
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