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User's guide

Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1739-1742

Persistent link: https://www.econbiz.de/10001755419

Conditional volatility, skewness, and kurtosis : existence and persistence

Jondeau, Eric; Rockinger, Michael - 2000

Persistent link: https://www.econbiz.de/10001534321

Reading PIBOR futures options smiles : the 1997 snap election

Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - In: Journal of banking & finance 25 (2001) 11, pp. 1957-1987

Persistent link: https://www.econbiz.de/10001617901

Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements

Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737

Persistent link: https://www.econbiz.de/10001755410

Conditional volatility, skewness and kurtosis : existence and persistence

Jondeau, Eric; Rockinger, Michael - 2000

Persistent link: https://www.econbiz.de/10001526562

Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence

Jondeau, Eric - 2010

Recent portfolio choice asset pricing and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a condi-tional...

Persistent link: https://www.econbiz.de/10013134839

Reading interest rate and bond futures options' smiles around the 1997 French snap election

Coutant, Sophie - 1998

Persistent link: https://www.econbiz.de/10013422626

The pricing of default-free interest rate cap, floor and collar agreements

Briys, Eric; Crouhy, Michel; Schöbel, Rainer - 1992

Persistent link: https://www.econbiz.de/10000838418

The pricing of default-free interest rate CAP, floor and collar agreements

Briys, Eric; Crouhy, Michel; Schöbel, Rainer - 1990 - Rev

Persistent link: https://www.econbiz.de/10000789023

Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election

Coutant, S.; Jondeau, E.; Rockinger, M. - Banque de France - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as of Notional interest rate futures options and to investigate how traders reacted to a political event. We first focus on 5 dates surrounding the 1997 snap election and several...

Persistent link: https://www.econbiz.de/10005036199