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Stochastic Volatility Author info | Abstract | Publisher info | Download info | Related research | Statistics GHYSELSÊ, Eric
HARVEYÊ, Andrew
RENAULTÊ, Eric
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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number
1995069.
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Date of creation: 01 Jan 1995Date of revision:
Handle: RePEc:cor:louvco:1995069Contact details of provider: Postal: Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium) Phone: 32(10)474321 Fax: +32 10474301 Email: Web page: http://www.uclouvain.be/core More information through EDIRC
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M. Hashem Pesaran & Christoph Schleicher & Paolo Zaffaroni, 2008.
"Model Averaging in Risk Management with an Application to Futures Markets ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
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Other versions:
Pesaran, M.H. & Schleicher, C. & Zaffaroni, P., 2008.
"Model Averaging in Risk Management with an Application to Futures Markets ,"
Cambridge Working Papers in Economics
0808, Faculty of Economics, University of Cambridge.
[Downloadable!] Pesaran, M. Hashem & Schleicher, Christoph & Zaffaroni, Paolo, 2009.
"Model averaging in risk management with an application to futures markets ,"
Journal of Empirical Finance ,
Elsevier, vol. 16(2), pages 280-305, March.
[Downloadable!] (restricted) Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009.
"Option Valuation with Conditional Heteroskedasticity and Non-Normality ,"
CREATES Research Papers
2009-33, School of Economics and Management, University of Aarhus.
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Hashem Pesaran & Paolo Zaffaroni & Banca d'Italia), 2004.
"Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management ,"
Money Macro and Finance (MMF) Research Group Conference 2004
101, Money Macro and Finance Research Group.
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Other versions:
M. Hashem Pesaran & Paolo Zaffaroni, 2004.
"Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management ,"
IEPR Working Papers
04.3, Institute of Economic Policy Research (IEPR).
[Downloadable!] Pesaran, M Hashem & Zaffaroni, Paolo, 2005.
"Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management ,"
CEPR Discussion Papers
5279, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) M. Hashem Pesaran & Paolo Zaffaroni, 2004.
"Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!] Ramdan Dridi & Eric Renault, 2000.
"Semi-Parametric Indirect Inference ,"
STICERD - Econometrics Paper Series
/2000/392, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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Pieter J. van der Sluis, 1997.
"Computationally Attractive Stability Tests for the Efficient Method of Moments ,"
Tinbergen Institute Discussion Papers
97-087/4, Tinbergen Institute.
[Downloadable!]
Other versions:
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