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- 2014
-
Mark
Nonparametric forward-looking value-at-risk
(
- Contribution to journal › Article
- 2013
-
Mark
Financial and economic integration’s impact on Asian equity markets' sensitivity to external shocks
(
- Contribution to journal › Article
-
Mark
A Term Structure Model for VIX Futures
(
- Contribution to journal › Article
-
Mark
Pricing Electricity Swaptions under a Stochastic Volatility Term-Structure Model
(
- Contribution to journal › Article
- 2012
-
Mark
Pricing Electricity Swaptions under a Stochastic Volatility Term-Structure Model
(
- Working paper/Preprint › Working paper
- 2011
-
Mark
Risk Contagion among International Stock Markets
(
- Contribution to journal › Article
-
Mark
Jumps and stochastic volatility in oil prices: time series evidence
(
- Contribution to journal › Article
- 2009
-
Mark
Essays on stochastic volatility
(
- Thesis › Doctoral thesis (compilation)
-
Mark
Is the VIX futures market able to predict the VIX index? A test of the expectation hypothesis
(
- Contribution to journal › Article
- 2008
-
Mark
Markov Chain Monte Carlo Estimation of a Multi-Factor Jump Diffusion Model for Power Prices
(
- Contribution to journal › Article