Volatility-Related Exchange Traded Assets: An Econometric Investigation
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Cites work
- A multiple indicators model for volatility using intra-daily data
- A tale of two option markets: pricing kernels and volatility risk
- A theory of the term structure of interest rates
- Econometric specification of stochastic discount factor models
- scientific article; zbMATH DE number 3549968 (Why is no real title available?)
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- Mixture Processes for Financial Intradaily Durations
- Note on the Infinite Divisibility of Exponential Mixtures
- On Esscher Transforms in Discrete Finance Models
- On the probability function in the collective theory of risk.
- Post-'87 crash fears in the S\&P 500 futures option market
- Pseudo Maximum Likelihood Methods: Theory
- Qualitative and asymptotic performance of SNP density estimators
- Semi-Nonparametric Maximum Likelihood Estimation
- Sequential estimation of shape parameters in multivariate dynamic models
- Sufficient Conditions for a Mixture of Exponentials to be a Probability Density Function
- The relative efficiency of method of moments estimators
- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
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