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thesis modeling spot prices in ukrainian wholesale electricity market by sergiu frunze a thesis submitted in partial fulfillment of the requirements for the degree of master…
exponential conditional volatility models andrew harvey august 24, 2010 cwpe 1040 exponential conditional volatility models andrew harvey faculty of economics, cambridge…
conditional gauss-hermite filtering with application to volatility estimation hermann singer diskussionsbeitrag nr. 430 oktober 2008 diskussionsbeiträge der fakultät für…
realized volatility and variance: options via swaps peter carr∗ and roger lee† this version: october 26, 2007 in this paper we develop strategies for pricing and hedging…
journal of econometrics 31 1986 307-327. north-holland generalized autoregressive conditional heteroskedasticity tim bollerslev* university of california at san diego, la…
working paper/document de travail 2011-20 a stochastic volatility model with conditional skewness by bruno feunou and roméo tédongap 2 bank of canada working paper 2011-20…
munich personal repec archive estimating and forecasting conditional volatility and correlations of the dow jones islamic stock market index using multivariate garch-dcc…
nber working paper series the vix, the variance premium and stock market volatility geert bekaert marie hoerova working paper 18995 http://www.nber.org/papers/w18995 national…
volatility dynamics and the term structure of the variance risk premium∗ nicola fusari† and maria t. gonzalez-perez† january 8, 2013 job market paper
8/6/2019 [york university, swishchuk modeling of variance and volatility swaps for financial markets with stochastic volatility 1/19modeling of variance and volatility swaps…
_____________________________________________________________________________________ richard valliant is a mathematical statistician in the office of survey methods research…
realized volatility and variance: options via swaps peter carr∗ and roger lee† this version: october 26, 2007 in this paper we develop strategies for pricing and hedging…
journal of empirical finance elsevier journal of empirical finance 2 1995 3-18 tests of conditional mean-variance efficiency of the us stock market charles engel a * jeffrey…
economics 201fs: price series, geometric returns, realized volatility, bipower variance economics 201fs: realized volatility, bipower variance, alternative volatility measures…
conditional skewness of stock market returns in developed and emerging markets and its economic fundamentals∗ eric ghysels unc† alberto plazzi university of lugano and…
visual servoing using the sum of conditional variance bertrand delabarre and eric marchand abstract— in this paper we propose a new way to achieve direct visual servoing…
24 february 2007 introduction to volatility trading and variance swaps equity derivatives workshop university of chicago — program on financial mathematics sebastien bossu…
november 2015 part ii: evaluating management actions in the first article of this series, ”part i: management actions in a solvency ii world”, we presented the solvency…
volatility modeling in financial markets master thesis sergiy ladokhin supervisors: dr. sandjai bhulai, vu university amsterdam …
technical report, ide0835 , october 19, 2008 pricing variance swaps by using two methods: replication strategy and a stochastic volatility model master’s thesis in financial…