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Modeling the dynamics of correlations among implied volatilities
Engle, Robert F.; Figlewski, Stephen - In: Review of finance : journal of the European Finance … 19 (2015) 3, pp. 991-1018
Persistent link: https://www.econbiz.de/10011405161
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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1999
Persistent link: https://www.econbiz.de/10001448004
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Testing the volatility term structure using option hedging criteria
Engle, Robert F.; Rosenberg, Joshua V. - 1999
Persistent link: https://www.econbiz.de/10001448019
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GARCH gamma
Engle, Robert F.; Rosenberg, Joshua V. - 1995
Persistent link: https://www.econbiz.de/10000915837
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Hedging options in a GARCH environment : testing the term structure of stochastic volatility models
Engle, Robert F.; Rosenberg, Joshua V. - 1994
Persistent link: https://www.econbiz.de/10000904203
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GARCH gamma
Engle, Robert F. - 1995
Persistent link: https://www.econbiz.de/10000911609
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Option hedging using empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1997
Persistent link: https://www.econbiz.de/10000970980
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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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Empirical pricing kernels
Rosenberg, Joshua V.; Engle, Robert F. - 1998
Persistent link: https://www.econbiz.de/10000982923
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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