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Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
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Exploring the role of the realized return distribution in the formation of the implied volatility smile
Chalamandaris, Georgios; Rompolis, Leonidas S. - In: Journal of banking & finance 36 (2012) 4, pp. 1028-1044
Persistent link: https://www.econbiz.de/10009557834
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The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns
Diavatopoulos, Dean; Doran, James S.; Fodor, Andy; … - In: Journal of banking & finance 36 (2012) 3, pp. 786-802
Persistent link: https://www.econbiz.de/10009540475
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Profitability of time series momentum
He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157
Persistent link: https://www.econbiz.de/10011377714
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Covariance forecasting in equity markets
Symitsi, Efthymia; Symeonidis, Lazaros; Kourtis, Apostolos - In: Journal of banking & finance 96 (2018), pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
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Return decomposition over the business cycle
Cenesizoglu, Tolga - In: Journal of banking & finance 143 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013533426
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Multivariate moments expansion density : application of the dynamic equicorrelation model
Ñíguez, Trino-Manuel; Perote, Javier - In: Journal of banking & finance 72 (2016), pp. 216-232
Persistent link: https://www.econbiz.de/10011637138
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Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho - In: Journal of banking & finance 47 (2014), pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
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Forecasting the return distribution using high-frequency volatility measures
Hua, Jian; Manzan, Sebastiano - In: Journal of banking & finance 37 (2013) 11, pp. 4381-4403
Persistent link: https://www.econbiz.de/10010247031
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The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248207