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Microfit 5.0

McKenzie, C. R.; Takaoka, Sumiko - In: Journal of Applied Econometrics 28 (2013) 1, pp. 170-175

Persistent link: https://www.econbiz.de/10010826737

EViews 7.2

McKenzie, C. R.; Takaoka, Sumiko - In: Journal of Applied Econometrics 27 (2012) 7, pp. 1205-1210

Persistent link: https://www.econbiz.de/10010826774

2002: A LIMDEP odyssey

McKenzie, C. R.; Takaoka, Sumiko - In: Journal of Applied Econometrics 18 (2003) 2, pp. 241-247

Persistent link: https://www.econbiz.de/10005764824

EViews 5.1

McKenzie, C. R.; Takaoka, Sumiko - In: Journal of Applied Econometrics 22 (2007) 6, pp. 1145-1152

Persistent link: https://www.econbiz.de/10005582384

Microfit 4.0

McKenzie, C. R. - In: Journal of Applied Econometrics 13 (1998) 1, pp. 77-89

Persistent link: https://www.econbiz.de/10005582470

Book Review: Time Series and Dynamic Models, Christian Gourieroux and Alain Monfort, Cambridge University Press, Cambridge, 1997

McKenzie, Colin - In: Journal of Applied Econometrics 13 (1998) 6, pp. 681-684

Persistent link: https://www.econbiz.de/10005823659

Parametric pricing of higher order moments in S&P500 options

Martin, V. L.; Martin, G. M.; Lim, G. C. - In: Journal of Applied Econometrics 20 (2005) 3, pp. 377-404

A general parametric framework based on the generalized Student t-distribution is developed for pricing S&P500 options. Higher order moments in stock returns as well as time-varying volatility are priced. An important computational advantage of the proposed framework over Monte Carlo-based...

Persistent link: https://www.econbiz.de/10005247805