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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011
Persistent link: https://www.econbiz.de/10009382620
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Option pricing with asymmetric heteroskedastic normal mixture models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2010
Persistent link: https://www.econbiz.de/10008651682
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The value of multivariate model sophistication : an application to pricing Dow Jones industrial average options
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2012
Persistent link: https://www.econbiz.de/10009485768
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Multivariate option pricing with time varying volatility and correlations
Rombouts, Jeroen V. K.; Stentoft, Lars - 2010
Persistent link: https://www.econbiz.de/10003963064
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Bayesian option pricing using mixed normal heteroskedasticity models
Rombouts, Jeroen V. K.; Stentoft, Lars - 2009
Persistent link: https://www.econbiz.de/10003849502
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Variance swap payoffs, risk premia and extreme market conditions
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2017
Persistent link: https://www.econbiz.de/10011706023
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Dynamics of variance risk premia, investors' sentiment and return predictability
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - 2017
Persistent link: https://www.econbiz.de/10011624137
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Forecasting with option implied information
Christoffersen, Peter F.; Jacobs, Kris; Chang, Bo Young - 2011
Persistent link: https://www.econbiz.de/10009385092
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Correlation dynamics and international diversification benefits
Christoffersen, Peter F.; Errunza, Vihang R.; Jacobs, Kris - 2013
Persistent link: https://www.econbiz.de/10010226790
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Illiquidity premia in the equity options market
Christoffersen, Peter F.; Goyenko, Ruslan; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226833