G13 - Contingent Pricing; Futures Pricing

Citations 1-7 of 7 total displayed.

Most recent content (1 Apr 2007):

Articles
A semiparametric factor model for implied volatility surface dynamics

Matthias R. Fengler, Wolfgang K. Härdle, and Enno Mammen
J. Financial Econometrics 2007; 5: 189-218. [Abstract] [Full text] [PDF]  

Articles
Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange

Marcelo Fernandes and Marco Aurélio Dos Santos Rocha
J. Financial Econometrics 2007; 5: 219-242. [Abstract] [Full text] [PDF]  

Past content (since Mar 2003):

Articles
Long Memory and the Relation Between Implied and Realized Volatility

Federico M. Bandi and Benoit Perron
J. Financial Econometrics 2006; 4: 636-670. [Abstract] [Full text] [PDF]  

Articles
Practitioners’ Corner

Adam Canopius
J. Financial Econometrics 2006; 4: 671-675. [Extract] [Full text] [PDF]  

Articles
Leverage and Volatility Feedback Effects in High-Frequency Data

Tim Bollerslev, Julia Litvinova, and George Tauchen
J. Financial Econometrics 2006; 4: 353-384. [Abstract] [Full text] [PDF]  

Articles
A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options

Toby Daglish
J. Financial Econometrics 2003; 1: 327-364. [Abstract] [PDF]  

Articles
Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options

Soku Byoun, Chuck C. Y. Kwok, and Hun Y. Park
J. Financial Econometrics 2003; 1: 126-151. [Abstract] [PDF]