Similar Search Results

Narrow search

Another look at the forecast performance of ARFIMA models

Ellis, Craig; Wilson, Patrick - In: International Review of Financial Analysis 13 (2004) 1, pp. 63-81

Persistent link: https://www.econbiz.de/10005229112

Paramater estimation bias and volatility scaling in Black-Scholes option prices

Batten, Jonathan A.; Ellis, Craig A. - In: International Review of Financial Analysis 14 (2005) 2, pp. 165-176

Persistent link: https://www.econbiz.de/10005229164

Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds

Batten, Jonathan; Ellis, Craig; Hogan, Warren - In: International Review of Financial Analysis 11 (2002) 3, pp. 331-344

Persistent link: https://www.econbiz.de/10005221820

Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique

Ellis, Craig - In: International Review of Financial Analysis 8 (1999) 1, pp. 53-65

Persistent link: https://www.econbiz.de/10005221843

Scaling laws in variance as a measure of long-term dependence

Batten, Jonathan; Ellis, Craig; Mellor, Robert - In: International Review of Financial Analysis 8 (1999) 2, pp. 123-138

Persistent link: https://www.econbiz.de/10005228984

Bank 'ratings arbitrage': Is LGD a blind spot in economic capital calculations?

Sundmacher, Maike; Ellis, Craig - In: International Review of Financial Analysis 20 (2011) 1, pp. 6-11

In banking, economic capital is commonly referred to as the level of capital a financial institution needs to hold in order to achieve or maintain its target external credit rating. From a risk management perspective, pricing loan assets based on economic capital is preferred to regulatory...

Persistent link: https://www.econbiz.de/10008863199