-
2
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F. and M. Scholes (1973), 'The Pricing of Options and Corporate Liabilities', Journal of Political Economy, Vol. 81, pp. 637-59.
-
(1973)
Journal of Political Economy
, vol.81
, pp. 637-659
-
-
Black, F.1
Scholes, M.2
-
3
-
-
42449156579
-
Generalized autoregressive conditional heteroscedasticity
-
Bollerslev, T. (1986), 'Generalized Autoregressive Conditional Heteroscedasticity', Journal of Econometncs,Vol. 31, pp. 307-27.
-
(1986)
Journal of Econometncs
, vol.31
, pp. 307-327
-
-
Bollerslev, T.1
-
4
-
-
34848900983
-
ARCH modeling in finance: A selective review of the theory and empirical evidence
-
-, R.Y. Chou and K.F. Kroner (1992), 'ARCH Modeling in Finance: A Selective Review of the Theory and Empirical Evidence', Journal of Econometrics, Vol. 52, pp. 5-59.
-
(1992)
Journal of Econometrics
, vol.52
, pp. 5-59
-
-
Chou, R.Y.1
Kroner, K.F.2
-
5
-
-
84974296074
-
Pricing european currency options: A comparison of the modified black-scholes model and a random variance model
-
Chesney M. and L.O. Scott (1989), 'Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model', Journal of Financial and Quantitative Analysts, Vol. 24, pp. 267-84.
-
(1989)
Journal of Financial and Quantitative Analysts
, vol.24
, pp. 267-284
-
-
Chesney, M.1
Scott, L.O.2
-
6
-
-
84986384825
-
Volatility persistence and stock valuations: Some empirical evidence using GARCH
-
Chou, R.Y. (1988), 'Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH', Journal of Applied Econometrics, Vol. 3, pp. 279-94.
-
(1988)
Journal of Applied Econometrics
, vol.3
, pp. 279-294
-
-
Chou, R.Y.1
-
7
-
-
0000593389
-
Simulated moments estimation of markov models of asset prices
-
Duffie, D. and K.J. Singleton (1993), 'Simulated Moments Estimation of Markov Models of Asset Prices', Econometrica, Vol. 61, pp. 929-52.
-
(1993)
Econometrica
, vol.61
, pp. 929-952
-
-
Duffie, D.1
Singleton, K.J.2
-
8
-
-
0000051984
-
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
-
Engle, R.F. (1982), 'Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation', Econometnca, Vol. 50, pp. 987-1008.
-
(1982)
Econometnca
, vol.50
, pp. 987-1008
-
-
Engle, R.F.1
-
9
-
-
84963146757
-
Modelling the persistence of conditional variances
-
- and T. Bollerslev (1986), 'Modelling the Persistence of Conditional Variances', Econometric Reviews, Vol. 5, pp. 1-50.
-
(1986)
Econometric Reviews
, vol.5
, pp. 1-50
-
-
Bollerslev, T.1
-
11
-
-
21844517339
-
A stochastic variance model for absolute returns
-
Fornari, F. and A. Mele (1994), 'A Stochastic Variance Model for Absolute Returns', Economics letters, Vol. 46, pp. 211-14.
-
(1994)
Economics letters
, vol.46
, pp. 211-214
-
-
Fornari, F.1
Mele, A.2
-
12
-
-
45949117024
-
Expected stock returns and volatility
-
French, K.R., G.W. Schwert and R.F. Stambaugh (1987), 'Expected Stock Returns and Volatility', Journal of Financial Economics, Vol. 19, pp. 3-30.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 3-30
-
-
French, K.R.1
Schwert, G.W.2
Stambaugh, R.F.3
-
13
-
-
0001698432
-
Correlations in price changes and volatility across international stock markets
-
Hamao, Y., R. Masulis and V. Ng (1990), 'Correlations in Price Changes and Volatility Across International Stock Markets', The Review of Financial Studies, Vol. 3, pp. 281-308.
-
(1990)
The Review of Financial Studies
, vol.3
, pp. 281-308
-
-
Hamao, Y.1
Masulis, R.2
Ng, V.3
-
15
-
-
0030490795
-
Estimation of an asymmetric stochastic volatility model for asset returns
-
forthcoming
-
- (1996), 'Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns', Journal of Business and Economic Statistics (forthcoming).
-
(1996)
Journal of Business and Economic Statistics
-
-
-
16
-
-
84962984403
-
Multivariate stochastic variance models
-
-, E. Ruiz and N. Shephard (1994), 'Multivariate Stochastic Variance Models', Review of Economic Studies, Vol. 61, pp. 247-64.
-
(1994)
Review of Economic Studies
, vol.61
, pp. 247-264
-
-
Ruiz, E.1
Shephard, N.2
-
17
-
-
0000942739
-
Persistence in variance, structural change, and the GARCH Model
-
Lamoureux, C.G. and W.D. Lastrapes (1990), 'Persistence in Variance, Structural Change, and the GARCH Model', Journal of Business and Economic Statistics, Vol. 8, pp. 225-34.
-
(1990)
Journal of Business and Economic Statistics
, vol.8
, pp. 225-234
-
-
Lamoureux, C.G.1
Lastrapes, W.D.2
-
18
-
-
85025724501
-
On Estimating the expected return on the market
-
Merton, R.C. (1980), 'On Estimating the Expected Return on the Market', Journal of Financial Economics, Vol. 8, pp. 323-61.
-
(1980)
Journal of Financial Economics
, vol.8
, pp. 323-361
-
-
Merton, R.C.1
-
19
-
-
44049121505
-
Stock returns and volatility: An empirical study of uk stock market
-
Poon, S.H. and S.J. Taylor (1992), 'Stock Returns and Volatility: An Empirical Study of UK Stock Market', Journal of Banking and Finance, Vol. 16, pp. 37-59.
-
(1992)
Journal of Banking and Finance
, vol.16
, pp. 37-59
-
-
Poon, S.H.1
Taylor, S.J.2
-
20
-
-
0000441798
-
The persistence of volatility and stock market returns
-
Poterba, J.M. and L.H. Summers (1986), 'The Persistence of Volatility and Stock Market Returns', American Economic Review, Vol. 76, pp. 1142-51.
-
(1986)
American Economic Review
, vol.76
, pp. 1142-1151
-
-
Poterba, J.M.1
Summers, L.H.2
-
21
-
-
84980092818
-
Capital asset prices: A theory of market equilibrium under conditions of Risk'
-
Sharpe, W.F. (1964), 'Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk', Journal of Finance, Vol. 19, No. 3.
-
(1964)
Journal of Finance
, vol.19
, Issue.3
-
-
Sharpe, W.F.1
-
22
-
-
77951452381
-
Volatility decomposition in the autoregressive random variance model for changing volatility
-
The University of Hong Kong
-
So M.K.P., K. Lam and W.K. Li (1995), 'Volatility Decomposition in the Autoregressive Random Variance Model for Changing Volatility', Working paper (The University of Hong Kong).
-
(1995)
Working Paper
-
-
So, M.K.P.1
Lam, K.2
Li, W.K.3
-
23
-
-
0011714398
-
Multivariate modelling of the autoregressive random variance process
-
forthcoming
-
-, W.K. Li and K. Lam (1997), 'Multivariate Modelling of the Autoregressive Random Variance Process', Journal of Time Series Analysis (forthcoming).
-
(1997)
Journal of Time Series Analysis
-
-
Li, W.K.1
Lam, K.2
-
24
-
-
0000679352
-
Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices 1961-79
-
O.D. Anderson (eds.), (North-Holland, Amsterdam)
-
Taylor, S.J. (1982), 'Financial Returns Modelled by the Product of Two Stochastic Processes, a Study of Daily Sugar Prices 1961-79', in O.D. Anderson (eds.), Time Series Analysis: Theory and Practice, (North-Holland, Amsterdam), pp. 203-26.
-
(1982)
Time Series Analysis: Theory and Practice
, pp. 203-226
-
-
Taylor, S.J.1
-
26
-
-
84986754945
-
Modelling stochastic volatility
-
-(1994), 'Modelling Stochastic Volatility', Mathematical Finance, Vol. 4, pp. 183-204.
-
(1994)
Mathematical Finance
, vol.4
, pp. 183-204
-
-
-
27
-
-
45949112947
-
Option values under stochastic volatility: Theory and empirical estimates
-
Wiggins, J.B. (1987), 'Option Values under Stochastic Volatility: Theory and Empirical Estimates', Journal of Financial Economics, Vol. 19, pp. 351-72.
-
(1987)
Journal of Financial Economics
, vol.19
, pp. 351-372
-
-
Wiggins, J.B.1
|