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Volatility indices for the French financial market

Crouhy, Michel; Rockinger, Michael - 1996

Persistent link: https://www.econbiz.de/10000936195

Volatility indices for the French financial market

Crouhy, Michel - In: Finance : revue de l'Association Française de Finance 18 (1997) 2, pp. 29-50

Persistent link: https://www.econbiz.de/10001247906

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

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

The pricing of forward-starting Asian options

Bouaziz, Laurent; Briys, Eric; Crouhy, Michel - 1991

Persistent link: https://www.econbiz.de/10000827880

The interaction between the financial and investment decisions of the firm : the case of issuing warrants in a levered firm

Crouhy, Michel; Galai, Dan - 1994

Persistent link: https://www.econbiz.de/10000909453

The pricing of forward-starting Asian options

Bouaziz, Laurent; Briys, Eric; Crouhy, Michel - 1994

Persistent link: https://www.econbiz.de/10000909455