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A Multifractal Model of Asset Returns
BENOIT B. MANDELBROT, ADLAI J. FISHER and LAURENT E. CALVET
Yale University, New York University and Harvard University
Date Posted:April 21,1998
Working Paper Series
2278 downloads
Forecasting Volatility
LOUIS H. EDERINGTON and WEI GUAN
University of Oklahoma and Delaware State University
Date Posted:July 13,1999
Working Paper Series
1449 downloads
An E-ARCH Model for the Term Structure of Implied Volatility of FX Options
MARCO AVELLANEDA and YINGZI ZHU
New York University and Citibank, N.A.
Date Posted:April 1,1997
Working Paper Series
1429 downloads
Large Deviations and the Distribution of Price Changes
LAURENT E. CALVET, ADLAI J. FISHER and BENOIT B. MANDELBROT
Harvard University, New York University and Yale University
Date Posted:April 22,1998
Working Paper Series
1064 downloads
Multifractality of Deutschemark / US Dollar Exchange Rates
ADLAI J. FISHER, LAURENT E. CALVET and BENOIT B. MANDELBROT
New York University, Harvard University and Yale University
Date Posted:April 21,1998
Working Paper Series
1005 downloads
Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options
YONGHENG DENG, JOHN M. QUIGLEY and ROBERT VAN ORDER
University of Pennsylvania, University of California, Berkeley and Freddie Mac
Date Posted:March 22,1999
Working Paper Series
807 downloads
Testing, Comparing, and Combining Value-at-Risk Measures
PETER F. CHRISTOFFERSEN, JINYONG HAHN and ATSUSHI INOUE
McGill University, University of Michigan and North Carolina State University
Date Posted:November 16,1999
Working Paper Series
633 downloads
The Occurrence and Timing of Events: The Application of Event History Models in Accounting and Finance Research
MARC J. LECLERE
Loyola University
Date Posted:November 1,1999
Working Paper Series
618 downloads
Modeling Term Structure Dynamics: An Infinite Dimensional Approach
RAMA CONT
Ecole Polytechnique
Date Posted:February 25,1999
Working Paper Series
611 downloads
When Is Time Continuous?
DIMITRIS BERTSIMAS, LEONID KOGAN and ANDREW W. LO
Massachusetts Institute of Technology (MIT), University of Pennsylvania, Wharton School and Massachusetts Institute of Technology (MIT)
Date Posted:September 2,1998
Working Paper Series
610 downloads
Intuitive Volatility Estimator
HAIM REISMAN
Technion-Israel Institute of Technology
Date Posted:January 2,1999
Working Paper Series
542 downloads
Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology
EMEL KAHYA and PANAYIOTIS T. THEODOSSIOU
Rutgers University and Rutgers University, School of Business
Date Posted:March 6,1998
Working Paper Series
537 downloads
An Investigation of the Risk and Return Relation at Long Horizons
PAUL HARRISON and HAROLD H. ZHANG
Board of Governors of the Federal Reserve System and Carnegie Mellon University
Date Posted:March 30,1999
Working Paper Series
504 downloads
One-Factor-GARCH Models for German Stocks - Estimation and Forecasting
THOMAS KAISER
Affiliation Unknown
Date Posted:February 1,1997
Working Paper Series
501 downloads
International Asset Allocation with Time-Varying Correlations
ANDREW ANG and GEERT BEKAERT
Columbia Business School and Columbia Business School
Date Posted:April 7,1999
Working Paper Series
464 downloads
A Portfolio Performance Index and Its Implications
MICHAEL J. STUTZER
University of Iowa
Date Posted:October 7,1998
Working Paper Series
458 downloads
What Data Should Be Used To Price Options?
MIKHAIL CHERNOV and ERIC GHYSELS
Pennsylvania State University and Pennsylvania State University
Date Posted:August 29,1998
Working Paper Series
438 downloads
Financial Data and the Skewed Generalized T Distribution
PANAYIOTIS T. THEODOSSIOU
Rutgers University, School of Business
Date Posted:March 8,1998
Working Paper Series
411 downloads
Estimating Dynamic Panel Data Models: A Practical Guide fo Macroeconomists
RUTH JUDSON and ANN L. OWEN
Board of Governors of the Federal Reserve System and Hamilton College
Date Posted:May 6,1997
Working Paper Series
409 downloads
Regime Switches in Interest Rates
ANDREW ANG and GEERT BEKAERT
Columbia Business School and Columbia Business School
Date Posted:June 1,1998
Working Paper Series
396 downloads
Volume, Volatility, and Leverage: A Dynamic Analysis
GEORGE TAUCHEN, HAROLD H. ZHANG and MING LIU
Duke University, Carnegie Mellon University and Chinese University of Hong Kong
Date Posted:May 12,1997
Working Paper Series
381 downloads
Efficient Estimation in Semiparametric GARCH Models
FEIKE C. DROST and CHRIS A.J. KLAASSEN
Tilburg University and University of Amsterdam
Date Posted:January 21,1997
Working Paper Series
378 downloads
Efficiency in Foreign Exchange Markets
ROBERTO BAVIERA, MICHELE PASQUINI, MAURIZIO SERVA, DAVIDE VERGNI and ANGELO VULPIANI
Universita' de L'Aquila & Instituto Nazionale di Fisica della Materia, Universita' de L'Aquila & Istituto Nazionale Fisica della Materia, Universita' de L'Aquila & Istituto Nazionale Fisica della Materia, Universita' di Roma & Instituto Nazionale di Fisica della Materia and Universita' di Roma & Instituto Nazionale di Fisica della Materia
Date Posted:February 23,1999
Working Paper Series
362 downloads
On Bayesian Modelling of Fat Tails and Skewness
CARMEN FERNANDEZ and MARK F.J. STEEL
University of St Andrews, Economics and Management and University of Edinburgh
Date Posted:November 26,1996
Working Paper Series
352 downloads
The Dynamics of Discrete Bid and Ask Quotes
JOEL HASBROUCK
New York University
Date Posted:January 21,1997
Working Paper Series
342 downloads