Similar Search Results - EconBiz

GARCH processes and value at risk : an empirical analysis for Mexican interest rate futures

Benavides P., Guillermo - In: Panorama socio-económico 25 (2007), pp. 92-105

Persistent link: https://www.econbiz.de/10003746021

Quantitative risk management : concepts, techniques and tools

McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005

Persistent link: https://www.econbiz.de/10002934295

Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

Most financial and investment decisions are based on considerations of possible future changes and require forecasts on the evolution of the financial world. Time series and processes are the natural tools for describing the dynamic behavior of financial data, leading to the required forecasts....

Persistent link: https://www.econbiz.de/10009634376

Financial risk management with bayesian estimation of GARCH models : theory and applications

Ardia, David - 2008

Persistent link: https://www.econbiz.de/10013278094

Volatility estimation on the basis of price intensities

Gerhard, Frank; Hautsch, Nikolaus - 1999

Persistent link: https://www.econbiz.de/10001447119

Intraday volatility in interest-rate and foreign-exchange markets : ARCH, announcement, and seasonality effects

Ederington, Louis H.; Lee, Jae-ha - In: The journal of futures markets 21 (2001) 6, pp. 517-552

Persistent link: https://www.econbiz.de/10001579721

Modeling volatility and changes in the swap spread

In, Francis Haeuck; Brown, Rob; Fang, Victor - In: International review of financial analysis 12 (2003) 5, pp. 545-561

Persistent link: https://www.econbiz.de/10001797475

Modeling the volatility of the Heath-Jarrow-Morton model : a multifactor GARCH analysis

Zhou, Anjun - In: Journal of empirical finance 9 (2002) 1, pp. 35-56

Persistent link: https://www.econbiz.de/10001655780

Modeling the determinants of swap spreads

Brown, Rob; In, Francis Haeuck; Fang, Victor - In: The journal of fixed income 12 (2002) 1, pp. 29-40

Persistent link: https://www.econbiz.de/10001725696

Volatility transmission across the term structure of swap markets : international evidence

Abad, Pilar; Novales, Alfonso - In: Applied financial economics 14 (2004) 14, pp. 1045-1058

Persistent link: https://www.econbiz.de/10002377770

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