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Simulation Based Inference in Moving Average Models
(Université de Montréal. Département de sciences économiques., 1995)
On Stable Factor Structurs in the Pricing of Risk
(Université de Montréal. Département de sciences économiques., 1995)
Stochastic Volatility
(Université de Montréal. Département de sciences économiques., 1996)
This paper prepared for the Handbook of Statistics (Vol.14: Statistical Methods in Finance), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous ...
Market Time and Asset Price Movements: Theory and Estimation
(Université de Montréal. Département de sciences économiques., 1995)
Predictive Tests for Structural Change with Unknown Breakpoint
(Université de Montréal. Département de sciences économiques., 1995)
Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process
(Université de Montréal. Département de sciences économiques., 1995)
Dynamic Regression and Filtered Data Series: a Laplace Approximation to the Effects of Filtering in Small Samples
(Université de Montréal. Département de sciences économiques., 1993)
Arbitrage-Based Pricing when Volatility is Stochastic
(Université de Montréal. Département de sciences économiques., 1996)
The paper investigates the pricing of derivative securities with calendar-time maturities.
On the Dynamic Specification of International Asset Pricing Models
(Université de Montréal. Département de sciences économiques., 1995)
A Semi-Parametric Factor Model for Interest Rates
(Université de Montréal. Département de sciences économiques., 1996)
Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public ...