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