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Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F.; Itō, Takatoshi; Lin, Wen-ling - 1988
Persistent link: https://www.econbiz.de/10000133228
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Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000877913
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Long run volatility forecasting for individual stocks in a one factor model
Engle, Robert F.; Lee, Gary G. J. - 1993
Persistent link: https://www.econbiz.de/10000877958
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Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F.; Kane, Alex; Noh, Jaesun - 1993
Persistent link: https://www.econbiz.de/10000886028
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - 1998
Persistent link: https://www.econbiz.de/10000982921
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Measuring and testing the impact of news on volatility
Engle, Robert F.; Ng, Victor K. - 1991
Persistent link: https://www.econbiz.de/10000814056
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Meteor showers or heat waves? : heteroskedastic intra-daily volatility in the foreign exchange market
Engle, Robert F.; Itō, Takatoshi; Lin, Wen-ling Tsai - 1988
Persistent link: https://www.econbiz.de/10000757954
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Correlations and volatilities of asynchronous data
Burns, Patrick - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 7-18
Persistent link: https://www.econbiz.de/10001246679
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Estimating diffusion models of stochastic volatility
Engle, Robert F.; Lee, Gary G. J. - 1995
Persistent link: https://www.econbiz.de/10000930719
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Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Engle, Robert F. - In: Review of derivatives research 1 (1996) 2, pp. 139-157
Persistent link: https://www.econbiz.de/10001218119