A GARCH Option Pricing Model with Filtered Historical Simulation
G. Barone-Adesi, L. Mancini, R. Engle
Academic Publications
1 Jan. 2008
Upcoming
Why Does Implied Risk Aversion Smile?
A. Ziegler
Academic Publications
1 Jan. 2007
Upcoming
Random Walk Expectations and the Forward Discount Puzzle
P. Bacchetta, E. van Wincoop
Academic Publications
1 Jan. 2007
Upcoming
Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, and Experiments
P. Bossaerts, C. Plott, and W. Zame
Academic Publications
1 Jan. 2007
Upcoming
Heterogeneous Preferences and Equilibrium Trading Volume
T. Berrada, J. Hugonnier, M. Rindisbacher
Academic Publications
1 Jan. 2007
Upcoming
Financial Intermediation and the Costs of Trading in an Opaque Market
N. Schürhoff, R. Green, B. Hollifield
Academic Publications
1 Jan. 2007
Upcoming
Do Vertical Mergers Facilitate Upstream Collusion?
V. Nocke and L. White
Academic Publications
1 Jan. 2007
Upcoming
Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues
N. Schürhoff, R. Green, B. Hollifield
Academic Publications
1 Jan. 2007
Upcoming
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility
O. Scaillet, A. Medvedev
Academic Publications
1 Jan. 2007
Upcoming
Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding
F. Degeorge, F. Derrien, and K. L. Womack
Academic Publications
1 Jan. 2007
Upcoming
Capital Structure, Credit Risk, and Macroeconomic Conditions
E. Morellec, D. Hackbarth, J. Miao
Academic Publications
1 Jan. 2006
Upcoming
Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?
P. Bacchetta, E. Van Wincoop
Academic Publications
1 Jan. 2006
Upcoming