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How common are common return factors across the NYSE and Nasdaq?
Goyal, Amit; Pérignon, Christophe; Villa, Christophe - In: Journal of financial economics 90 (2008) 3, pp. 252-271
Persistent link: https://www.econbiz.de/10008149196
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How common are common return factors across the NYSE and Nasdaq?
Goyal, Amit; Pérignon, Christophe; Villa, Christophe - In: Journal of financial economics 90 (2008) 3, pp. 252-272
Persistent link: https://www.econbiz.de/10008890952
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Extracting Information from Options Markets: Smiles, State-Price Densities and Risk Aversion
Pérignon, C.; Villa, C. - In: European financial management : the journal of the … 8 (2002) 4, pp. 95-98
Persistent link: https://www.econbiz.de/10005939334
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Why common factors in international bond returns are not so common
Pérignon, Christophe; Smith, Daniel R.; Villa, Christophe - In: Journal of international money and finance 26 (2007) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10007604796
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Sources of Time Variation in the Covariance Matrix of Interest Rates
Pérignon, Christophe; Villa, Christophe - In: The journal of business : B 79 (2006) 3, pp. 1535-1550
Persistent link: https://www.econbiz.de/10007261372
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Interest rates: Component proponents II - The authors propose a novel method of extracting the risk factors driving interest rates that allows both the covariance matrix of interest rates and the variances of the risk factors to vary through time.
Pérignon, Christophe; Villa, Christophe - In: Risk : managing risk in the world's financial markets 17 (2004) 7, pp. 77-80
Persistent link: https://www.econbiz.de/10007026812
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Data analysis: Component proponents - Principal component analysis can be problematic when different data sets are grouped together. The authors show how to resolve this problem using principal component analysis.
Pérignon, Christophe; Villa, Christophe - In: Risk : managing risk in the world's financial markets 15 (2002) 9, pp. 154-156
Persistent link: https://www.econbiz.de/10007035413
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Application du modèle GARCH à l'évaluation des options MONEP
Villa, Christophe - In: Journal de la Société de Statistique de Paris 137 (1996) 2, pp. 51-68
Persistent link: https://www.econbiz.de/10006796447
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The Information Content of Implied Volatility, Skewness and Kurtosis: Empirical Evidence from Long-term CAC 40 Options
Navatte, Patrick; Villa, Christophe - In: European financial management : the journal of the … 6 (2000) 1, pp. 41-56
Persistent link: https://www.econbiz.de/10005955629
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The Dynamics of Implied Volatilities: A Common Principal Components Approach
Fengler, Matthias R.; Härdle, Wolfgang K.; Villa, … - In: Review of derivatives research 6 (2003) 3, pp. 179-202
Persistent link: https://www.econbiz.de/10005931028