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Phillips, Peter C. B.
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15
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14
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11
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11
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10
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9
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9
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8
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Journal of econometrics
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ECONIS (ZBW)
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1
Econometric analysis of financial derivatives
Chang, Chia-Lin
(
ed.
);
McAleer, Michael
(
ed.
)
-
2015
Persistent link: https://www.econbiz.de/10011499675
Saved in:
2
Variance disparity and market frictions
Park, Yang-Ho
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 326-348
Persistent link: https://www.econbiz.de/10012438393
Saved in:
3
Variance trading and market price of variance risk
Bondarenko, Oleg
- In:
Journal of econometrics
180
(
2014
)
1
,
pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
Saved in:
4
Econometric analysis of financial derivatives: an overview
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 403-407
Persistent link: https://www.econbiz.de/10011499624
Saved in:
5
A multivariate stochastic unit root model with an application to
derivative
pricing
Lieberman, Offer
;
Phillips, Peter C. B.
- In:
Journal of econometrics
196
(
2017
)
1
,
pp. 99-110
Persistent link: https://www.econbiz.de/10011743783
Saved in:
6
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Park, Yang-Ho
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 313-328
Persistent link: https://www.econbiz.de/10011617156
Saved in:
7
Closed-form implied volatility surfaces for stochastic volatility models with jumps
Aït-Sahalia, Yacine
;
Li, Chenxu
;
Li, Chen Xu
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 364-392
Persistent link: https://www.econbiz.de/10012619431
Saved in:
8
Regime switching in foreign exchange rates : evidence from currency option prices
Bollen, Nicolas P. B.
;
Gray, Stephen
;
Whaley, Robert E.
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 239-276
Persistent link: https://www.econbiz.de/10001437758
Saved in:
9
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Christensen, Bent Jesper
;
Nielsen, Morten Ørregaard
- In:
Journal of econometrics
133
(
2006
)
1
,
pp. 343-371
Persistent link: https://www.econbiz.de/10003354581
Saved in:
10
Econometric methods for
derivative
securities and risk management
Garcia, René
(
contributor
);
Ghysels, Eric
(
contributor
); …
- In:
Journal of econometrics
94
(
2000
)
1/2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10001437739
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