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Journal of applied econometrics
Working paper / Department of Econometrics and Business Statistics, Monash University
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1
Parametric pricing of higher order moments in S&P500 options
Lim, Guay C.
;
Martin, Gael M.
;
Martin, Vance
- In:
Journal of applied econometrics
20
(
2005
)
3
,
pp. 377-404
Persistent link: https://www.econbiz.de/10002807211
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2
A non-linear model of the real US UK exchange rate
Creedy, John
- In:
Journal of applied econometrics
11
(
1996
)
6
,
pp. 669-686
Persistent link: https://www.econbiz.de/10001211069
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3
Unravelling financial market linkages during crises
Dungey, Mardi H.
;
Martin, Vance
- In:
Journal of applied econometrics
22
(
2007
)
1
,
pp. 89-119
Persistent link: https://www.econbiz.de/10003448512
Saved in:
4
US deficit sustainability : a new approach based on multiple endogenous breaks
Martin, Gael M.
- In:
Journal of applied econometrics
15
(
2000
)
1
,
pp. 83-105
Persistent link: https://www.econbiz.de/10001465108
Saved in:
5
Does the option market produce superior forecasts of noise-corrected volatility measures?
Martin, Gael M.
;
Reidy, Andrew
;
Wright, Jill
- In:
Journal of applied econometrics
24
(
2009
)
1
,
pp. 77-104
Persistent link: https://www.econbiz.de/10003807531
Saved in:
6
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
Saved in:
7
Does the option market produce superior forecasts of noise-corrected volatility measures?
Martin, Gael M.
;
Reidy, Andrew
;
Wright, Jill
- In:
Journal of applied econometrics
24
(
2009
)
1
,
pp. 77-104
Persistent link: https://www.econbiz.de/10008210114
Saved in:
8
Unravelling financial market linkages during crises
Dungey, Mardi
;
Martin, Vance L.
- In:
Journal of applied econometrics
22
(
2007
)
1
,
pp. 89-120
Persistent link: https://www.econbiz.de/10007613978
Saved in:
9
Does the option market produce superior forecasts of noise‐corrected volatility measures?
M. Martin, Gael
;
Reidy, Andrew
;
Wright, Jill
- In:
Journal of applied econometrics
24
(
2009
)
1
,
pp. 77-105
Persistent link: https://www.econbiz.de/10008847147
Saved in:
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