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What drives international equity correlations? : volatility or market direction?

Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges - 2009

Persistent link: https://www.econbiz.de/10003971756

What drives international equity correlations? : volatility or market direction?

Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges - In: Journal of international money and finance 30 (2011) 6, pp. 1234-1263

Persistent link: https://www.econbiz.de/10009373944

Earnings announcement premium and return volatility : is it consistent with risk-return trade-off?

Tsafack, Georges; Becker, Ying; Han, Ki C. - In: Pacific-Basin finance journal 79 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014463244

Measuring financial contagion : dealing with the volatility Bias in the correlation dynamics

Starkey, Christopher Michael; Tsafack, Georges - In: International review of financial analysis 90 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014469938

Risk aversion, intertemporal substitution, and option pricing

Garcia, René; Renault, Eric - 1998

Persistent link: https://www.econbiz.de/10000984192

A note on hedging in ARCH and stochastic volatility option pricing models

Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161

Persistent link: https://www.econbiz.de/10001242838

The stochastic discount factor : extending the volatility bound and a new approach to portfolio selection with higher-order moments

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002655756

Funding Risk, Market Liquidity, Market Volatility and the Cross-Section of Asset Returns

Fontaine, Jean-Sebastien - 2016

We find strong evidence of a funding risk premium in the cross-section of asset returns. Our estimate for the price of funding risk is robust across Treasury bonds, corporate bonds, equities, and hedge funds. Funding shocks pose a risk to investors because they exacerbate the illiquidity and...

Persistent link: https://www.econbiz.de/10013005363

The econometrics of option pricing

Garcia, René; Ghysels, Eric; Renault, Eric - 2010

Persistent link: https://www.econbiz.de/10003900680

Special issue on "Multivariate volatility models"

Garcia, René (contributor); Ghysels, Eric (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003907531