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Reviews of Books and Teaching Materials

Reviews of Books and Teaching Materials

References

  • Acharya, V. V., Pedersen, L. H., Philippon, T., and Richardson, M. (2017), Review of Financial Studies, 30, 2–47.
  • Boudt, K., Paulus, E. C. S., and Rosenthal, D. W. R. (2017), “Funding Liquidity, Market Liquidity and TED Spread: A Two-Regime Model,” Journal of Empirical Finance, 43, 143–158.
  • Boudt, K., Peterson, B., and Croux, C. (2008), “Estimation and Decomposition of Downside Risk for Portfolios with Non-normal Returns,” Journal of Risk, 11, 79–103.
  • Brownlees, C., and Engle, R. (2016), “SRISK: A Conditional Capital Shortfall Measure of Systemic Risk,” Review of Financial Studies, 30, 48–79.
  • Engle, R. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models,” Journal of Business & Economic Statistics, 20, 339–350.
  • Heston, S. L. (1993), “A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options,” Review of Financial Studies, 6, 327–343.
  • Jacod, J., Li, Y., Mykland, P. A., Podolskij, M., and Vetter, M. (2009), “Microstructure Noise in the Continuous Case: The Pre-averaging Approach,” Stochastic Processes and their Applications, 119, 2249–2276.
  • Merton, R. C. (1974), “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, 449–470.
  • Tse, Y. K., and Tsui, A. K. C. (2002), “A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with Time-Varying Correlations,” Journal of Business & Economic Statistics, 20, 351–362.
  • Zhang, L., Mykland, P. A., and Aït-Sahalia, Y. (2005), “A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data,” Journal of the American Statistical Association, 100, 1394–1411.

References

  • DeGroot, M. H., and Schervish, M. J. (2012), Probability and Statistics, Boston: Addison-Wesley.
  • Dougherty, C. (2016), Introduction to Econometrics, Oxford: Oxford University Press.
  • Papoulis, A. (1990), Probability & Statistics, New Jersey: Prentice-Hall.

References

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