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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
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Stochastic volatility
Ghysels, Eric - 1995
Persistent link: https://www.econbiz.de/10000929391
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Stochastic volatility
Ghysels, Eric - 1996
Persistent link: https://www.econbiz.de/10001320263
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The econometrics of option pricing
Garcia, René; Ghysels, Eric; Renault, Eric - 2010
Persistent link: https://www.econbiz.de/10003900680
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Special issue on "Multivariate volatility models"
Garcia, René (contributor); Ghysels, Eric (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003907531
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Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors
Chabi-Yo, Fousseni - In: Journal of banking & finance 35 (2011) 8, pp. 1971-1983
Persistent link: https://www.econbiz.de/10009247371
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Pricing kernels with stochastic skewness and volatility risk
Chabi-yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-640
Persistent link: https://www.econbiz.de/10009525254
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Pricing kernels with coskewness and volatility risk
Chabi-Yo, Fousseni - 2008 - This version : December 1, 2008
Persistent link: https://www.econbiz.de/10003819936
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Expected returns and volatility of Fama-French factors
Chabi-Yo, Fousseni - 2009 - This version: September 25, 2009
Persistent link: https://www.econbiz.de/10003887678
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Moment-based estimation of stochastic volatility models
Renault, Eric - In: Handbook of financial time series, (pp. 269-311). 2009
Persistent link: https://www.econbiz.de/10003833955