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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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Volatility dynamics under duration-dependent mixing
Maheu, John M.; Mccurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3, pp. 345-372
Persistent link: https://www.econbiz.de/10007241087
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An infinite hidden Markov model for short-term interest rates
Maheu, John M.; Yang, Qiao - In: Journal of empirical finance 38 (2016), pp. 202-220
Persistent link: https://www.econbiz.de/10011663269
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Hedging foreign currency portfolios
Gagnon, Louis; Lypny, Gregory J.; McCurdy, Thomas H. - In: Journal of empirical finance 5 (1998) 3, pp. 197-220
Persistent link: https://www.econbiz.de/10007247494
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Hedging foreign currency portfolios
Gagnon, Louis; Lypny, Gregory J.; McCurdy, Thomas H. - In: Journal of empirical finance 5 (1998) 3, pp. 197-220
Persistent link: https://www.econbiz.de/10001668824