Similar Search Results

Flexible time series models for subjective distribution estimation with monetary policy in view

Guégan, Dominique; Ielpo, Florian - In: Brussels economic review 51 (2008) 1, pp. 79-103

Persistent link: https://www.econbiz.de/10003983487

Forecasting the density of oil futures returns using model-free implied volatility and high-frequency data

Ielpo, Florian; Sévi, Benoît - 2014

Persistent link: https://www.econbiz.de/10010432122

A time series approach to option pricing : models, methods and empirical performances

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian - 2015

Persistent link: https://www.econbiz.de/10010458461

The number of regimes across asset returns : identification and economic value

Gatumel, Mathieu; Ielpo, Florian - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-25

Persistent link: https://www.econbiz.de/10010438505

"Time series momentum" in commodity markets

Chevallier, Julien; Ielpo, Florian - In: Managerial finance 40 (2014) 7, pp. 662-680

Persistent link: https://www.econbiz.de/10010391104

A Time Series Approach to Option Pricing : Models, Methods and Empirical Performances

Chorro, Christophe - 2015

The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....

Persistent link: https://www.econbiz.de/10012401993

The contribution of intraday jumps to forecasting the density of returns

Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24

Persistent link: https://www.econbiz.de/10012502523