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GHICA — Risk analysis with GH distributions and independent components
16 references·1 citing·34 second hop
GHICA — Risk analysis with GH distributions and independent components (2009)GHICA — Risk analysis with GH distributio…Theory of rational option pricing (2005)Theory of rational option pri…Lévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures (2002)The Generalized Hyperbolic Mo…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Value at Risk (2001)Value at RiskTheoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)The Generalized Hyperbolic Mo…Correlation: Pitfalls and Alternatives (1999)Correlation: Pitfalls and Alt…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Hyperbolic Distributions in Finance (1995)Hyperbolic Distributions in F…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications (1989)Seminonparametric Estimation …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…Optimal Portfolio Diversification via Independent Component Analysis (2021)Optimal Portfolio Diversifica…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling (1997)The variation of certain speculative prices (1997)New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)Copulas for Finance - A Reading Guide and Some Applications (2007)A Capital Asset Pricing Model with Time-Varying Covariances (1988)The Econometrics of Financial Markets (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Econometrics of Financial Markets (2012)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Option pricing: A simplified approach (1979)
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  • 2002

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The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures
280 cited

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  • 2021Optimal Portfolio Diversification via Independent Component Analysis41 cited