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Enrique ter Horst

Personal Details

First Name:Enrique
Middle Name:
Last Name:ter Horst
Suffix:
RePEc Short-ID:pte131
[This author has chosen not to make the email address public]

Affiliation

Instituto de Estudios Superiores de Administración (IESA)

Caracas, Venezuela
http://www.iesa.edu.ve/

:

Avenida IESA, Edificio IESA, San Bernardino, Caracas 1010
RePEc:edi:iesaave (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Stochastic Volatility Models Including Open, Close, High and Low Prices," Papers 0901.1315, arXiv.org.
  2. Abel Rodriguez & Enrique ter Horst, 2008. "Measuring expectations in options markets: An application to the SP500 index," Papers 0901.0033, arXiv.org.
  3. Henryk Gzyl & Enrique ter Horst & Samuel Malone, 2006. "Towards a Bayesian framework for option pricing," Papers cs/0610053, arXiv.org.

Articles

  1. Malone, Samuel & Rodriguez, Abel & ter Horst, Enrique, 2009. "What executives should know about structural credit risk models and their limitations: a primer with examples," Journal of Financial Transformation, Capco Institute, vol. 27, pages 58-62.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Abel Rodriguez & Henryk Gzyl & German Molina & Enrique ter Horst, 2009. "Stochastic Volatility Models Including Open, Close, High and Low Prices," Papers 0901.1315, arXiv.org.

    Cited by:

    1. Parthajit Kayal & S. Maheswaran, 2017. "Is USD-INR Really an Excessively Volatile Currency Pair?," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(2), pages 329-342, June.
    2. Kumar, Dilip & Maheswaran, S., 2014. "Modeling and forecasting the additive bias corrected extreme value volatility estimator," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 166-176.
    3. Jelena Stankeviciene & Nijole Maknickiene & Algirdas Maknickas, 2017. "High-low Strategy of Portfolio Composition using Evolino RNN Ensembles," Engineering Economics, Kaunas University of Technology, vol. 28(2), pages 162-169, April.
    4. Kumar, Dilip & Maheswaran, S., 2014. "A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 38(C), pages 33-44.
    5. Dilip Kumar, 2016. "Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator," Proceedings of Economics and Finance Conferences 3205528, International Institute of Social and Economic Sciences.
    6. Kazemilari, Mansooreh & Djauhari, Maman Abdurachman, 2015. "Correlation network analysis for multi-dimensional data in stocks market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 62-75.
    7. Maheswaran, S. & Kumar, Dilip, 2013. "An automatic bias correction procedure for volatility estimation using extreme values of asset prices," Economic Modelling, Elsevier, vol. 33(C), pages 701-712.

Articles

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