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Hits 121-130 within 159 documents
A Multivariate Jump-Driven Financial Asset Model [journal article]
Source: Quantitative Finance, 6 (2006) 5. p.385-402
The effect of microaggregation by individual ranking on the estimation of moments [journal article]
Source: Journal of Econometrics, 153 (2009) 2. p.174-182
Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series [journal article]
Source: Quantitative Finance, 8 (2008) 7. p.705-722
A stationary unbiased finite sample ARCH-LM test procedure [journal article]
Source: Applied Economics, 43 (2010) 8. p.1019-1033
Risk minimization in stochastic volatility models: model risk and empirical performance [journal article]
Source: Quantitative Finance, 9 (2009) 6. p.693-704
Expectations and Bubbles in Asset Pricing Experiments [journal article]
Source: Journal of Economic Behavior & Organization, 67 (2008) 1. p.116-133
Spectral methods for volatility derivatives [journal article]
Source: Quantitative Finance, 9 (2009) 6. p.663-692
Predictive density estimators for daily volatility based on the use of realized measures [journal article]
Source: Journal of Econometrics, 150 (2009) 2. p.119-138
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise [journal article]
Source: Quantitative Finance, 10 (2010) 1. p.39-47
The predictive ability of relative efficiency for future earnings: an application using data envelopment analysis to Spanish SMEs [journal article]
Source: Applied Economics, 42 (2008) 21. p.2751-2757