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Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
Hogan, Steve; Jarrow, Robert A.; Teo, Melvyn; Warachka, … - In: Journal of financial economics 73 (2004) 3, pp. 525-565
Persistent link: https://www.econbiz.de/10002204680
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Reduced-form valuation of callable corporate bonds : theory and evidence
Jarrow, Robert A.; Li, Haitao; Liu, Sheen; Wu, Chunchi - In: Journal of financial economics 95 (2010) 2, pp. 227-248
Persistent link: https://www.econbiz.de/10003939586
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Testing market efficiency using statistical arbitrage with applications to momentum and value strategies
Hogan, Steve; Jarrow, Robert; Teo, Melvyn; Warachka, Mitch - In: Journal of financial economics 73 (2004) 3, pp. 525-566
Persistent link: https://www.econbiz.de/10006503433
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Approximate option valuation for arbitrary stochastic processes
Jarrow, Robert; Rudd, Andrew - In: Journal of financial economics 10 (1982) 3, pp. 347-369
Persistent link: https://www.econbiz.de/10003071419
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An autoregrassive jump process for common stock returns
Oldfield jr., George S.; Rogalski, Richard J; Jarrow, … - In: Journal of financial economics 5 (1977) 3, pp. 389-418
Persistent link: https://www.econbiz.de/10002595028
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Forward contracts and futures contracts
Jarrow, Robert A.; Oldfield, George S. - In: Journal of financial economics 9 (1981) 4, pp. 373-382
Persistent link: https://www.econbiz.de/10003071440
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An autoregressive jump process for common stock returns
Olderfield, George S.; Rogalski, Richard J.; Jarrow, … - In: Journal of financial economics 5 (1977) 3, pp. 389-418
Persistent link: https://www.econbiz.de/10003585026