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Empirical performance of Black-Scholes and GARCH option pricing models during turbulent times : the Indian evidence
Bhat, Aparna; Arekar, Kirti - In: International journal of economics and finance 8 (2016) 3, pp. 123-136
Persistent link: https://www.econbiz.de/10011447894
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The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns
Mohy El Din, Tarek - 1997
Persistent link: https://www.econbiz.de/10000623956
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The valuation of options for constant elasticity of variance processes : a review of the theory and empirical evidence for options written on Swiss stocks
Adjaoute, Kpate - In: Finanzmarkt und Portfolio-Management 7 (1993) 4, pp. 495-509
Persistent link: https://www.econbiz.de/10001222030
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A flexible dynamic correlation model
Baur, Dirk - 2006
Persistent link: https://www.econbiz.de/10003331350
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New panel unit root tests of PPP
Coakley, Jerry - In: Economics letters 57 (1997) 1, pp. 17-22
Persistent link: https://www.econbiz.de/10001229597
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Covariance matrix estimators and tests of market efficiency
Ligeralde, Antonio Velasco - In: Journal of international money and finance 16 (1997) 2, pp. 323-343
Persistent link: https://www.econbiz.de/10001225587
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Fractionally integrated models with ARCH errors
Hauser, Michael A.; Kunst, Robert M. - 1994
Persistent link: https://www.econbiz.de/10000882159
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: International review of financial analysis 29 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10010244148
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Factor models of stock returns : GARCH errors versus time-varying betas
Koundouri, Phoebe; Kourogenis, Nikolaos; Pittis, Nikitas; … - In: Journal of forecasting 35 (2016) 5, pp. 445-461
Persistent link: https://www.econbiz.de/10011580985