Forecasting volatility in the presence of Leverage Effect
Download full text from publisher
References listed on IDEAS
- Erhan Bayraktar & Virginia Young, 2008.
"Pricing options in incomplete equity markets via the instantaneous Sharpe ratio,"
Annals of Finance,
Springer, vol. 4(4), pages 399-429, October.
- Erhan Bayraktar & Virginia R. Young, 2007. "Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio," Papers math/0701650, arXiv.org, revised Jul 2007.
- Giovanni Di Masi & Tomas Björk & Wolfgang Runggaldier & Yuri Kabanov, 1997.
"Towards a general theory of bond markets (*),"
Finance and Stochastics,
Springer, vol. 1(2), pages 141-174.
- Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang, 1996. "Towards a General Theory of Bond Markets," SSE/EFI Working Paper Series in Economics and Finance 143, Stockholm School of Economics.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-24 (All new papers)
- NEP-ECM-2010-07-24 (Econometrics)
- NEP-RMG-2010-07-24 (Risk Management)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-00502273. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD). General contact details of provider: https://hal.archives-ouvertes.fr/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.