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Practical volatility and correlation modeling for financial market risk management
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002636035
Saved in:
2
Volatility forecasting
Andersen, Torben
;
Bollerslev, Tim
;
Christoffersen, Peter F.
-
2005
Persistent link: https://www.econbiz.de/10002636128
Saved in:
3
Financial asset returns, direction-of-change forecasting, and volatility dynamics
Christoffersen, Peter F.
(
contributor
); …
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002100081
Saved in:
4
Is the potential for international diversification disappearing?
Christoffersen, Peter F.
;
Errunza, Vihang R.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161197
Saved in:
5
Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2010
Persistent link: https://www.econbiz.de/10009161203
Saved in:
6
Market skewness risk and the cross-section of stock returns
Chang, Bo Young
;
Christoffersen, Peter F.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161204
Saved in:
7
Option anomalies and the pricing kernel
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2010
Persistent link: https://www.econbiz.de/10009161205
Saved in:
8
Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2008
Persistent link: https://www.econbiz.de/10003861266
Saved in:
9
The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.
;
Heston, Steven L.
;
Jacobs, Kris
-
2009
Persistent link: https://www.econbiz.de/10003861274
Saved in:
10
Models for S&P500 dynamics : evidence from realized volatility, daily returns, and option prices
Christoffersen, Peter F.
;
Jacobs, Kris
;
Mimouni, Karim
-
2008
Persistent link: https://www.econbiz.de/10003861277
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