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Search: subject_exact:"Rangkorrelation"
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High-frequency data and stock-bond investing
Lai, Yu-Sheng
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1623-1638
Persistent link: https://www.econbiz.de/10013465728
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2
On Carr and Lee's correlation immunization strategy
LIn, Jimin
;
Lorig, Matthew
- In:
Applied mathematical finance
26
(
2019
)
2
,
pp. 131-152
Persistent link: https://www.econbiz.de/10012210265
Saved in:
3
Stochastic multivariate mixture covariance model
So, Mike Ka-pui
;
Li, Raymond W. M.
;
Asai, Manabu
;
Jiang, Yue
- In:
Journal of forecasting
36
(
2017
)
2
,
pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
Saved in:
4
On the modelling and forecasting of multivariate realized volatility : generalized heterogeneous autoregressive (GHAR) model
Čech, František
;
Baruník, Jozef
- In:
Journal of forecasting
36
(
2017
)
2
,
pp. 181-206
Persistent link: https://www.econbiz.de/10011729136
Saved in:
5
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
Saved in:
6
Model uncertainty and forecast combination in high-dimensional multivariate volatility prediction
Amendola, Alessandra
;
Storti, Giuseppe
- In:
Journal of forecasting
34
(
2015
)
2
,
pp. 83-91
Persistent link: https://www.econbiz.de/10011305317
Saved in:
7
Cross-section stock return and implied covariance between jump and diffusive volatility
Ze-To, Samuel Yau Man
- In:
Journal of forecasting
34
(
2015
)
5
,
pp. 379-390
Persistent link: https://www.econbiz.de/10011318319
Saved in:
8
Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara
;
Escobar, Marcos
;
Zagst, Rudi
- In:
Applied mathematical finance
21
(
2014
)
3/4
,
pp. 363-397
Persistent link: https://www.econbiz.de/10010499671
Saved in:
9
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos
;
Götz, Barbara
;
Neykova, Daniela
; …
- In:
Applied mathematical finance
21
(
2014
)
5/6
,
pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
Saved in:
10
How predictable are equity covariance matrices? : evidence from high-frequency data for four markets
Buckle, Michael J.
;
Chen, Jing
;
Williams, Julian
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 542-557
Persistent link: https://www.econbiz.de/10011282861
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