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Option prices under Bayesian learning: implied volatility dynamics and predictive densities
Guidolin, Massimo; Timmermann, Allan - In: Journal of Economic Dynamics and Control 27 (2003) 5, pp. 717-769
Persistent link: https://www.econbiz.de/10005229658
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Properties of equilibrium asset prices under alternative learning schemes
Guidolin, Massimo; Timmermann, Allan - In: Journal of Economic Dynamics and Control 31 (2007) 1, pp. 161-217
Persistent link: https://www.econbiz.de/10005229674
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Asset allocation under multivariate regime switching
Guidolin, Massimo; Timmermann, Allan - In: Journal of Economic Dynamics and Control 31 (2007) 11, pp. 3503-3544
Persistent link: https://www.econbiz.de/10005205056