Quantitative Finance, Volume 7, Issue 6 (2007)

Browse this journal
Sample our Economics, Finance,Business & Industry journals, sign in here to start your access, latest two full volumes FREE to you for 14 days

Quantitative Finance, Volume 7, Issue 6 (2007)

See all volumes and issues
Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Volume 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001
Download citations Download PDFs Download issue

Comment and analysis

Article
Optimal approximations of power laws with exponentials: application to volatility models with long memory
Thierry Bochud & Damien Challet
Pages: 585-589
Published online: 28 Nov 2007
First Page PreviewforOptimal approximations of power laws with exponentials: application to volatility models with long memory | Full Text | References | PDF (211.9 KB)
  • 232 Views
  • 17 CrossRef citations
  • 0Altmetric
Article
Forecasting volatility in GARCH models with additive outliers
Beatriz Catalán & F. Javier Trívez
Pages: 591-596
Published online: 28 Nov 2007
First Page PreviewforForecasting volatility in GARCH models with additive outliers | Full Text | References | PDF (132.2 KB)
  • 194 Views
  • 14 CrossRef citations
  • 0Altmetric

Research papers

Article
Conditional tail behaviour and Value at Risk
Fabio Bellini & Gianna Figà-talamanca
Pages: 599-607
Published online: 28 Nov 2007
AbstractforConditional tail behaviour and Value at Risk | Full Text | References | PDF (1 MB)
  • 229 Views
  • 8 CrossRef citations
  • 0Altmetric

Original Articles

Article
Value-at-risk in a market subject to regime switching
Ryohei Kawata & Masaaki Kijima
Pages: 609-619
Published online: 28 Nov 2007
AbstractforValue-at-risk in a market subject to regime switching | Full Text | References | PDF (236.5 KB)
  • 272 Views
  • 11 CrossRef citations
  • 0Altmetric
Article
Value-at-risk forecasts under scrutiny—the German experience
Stefan Jaschke, Gerhard Stahl & Richard Stehle
Pages: 621-636
Published online: 28 Nov 2007
AbstractforValue-at-risk forecasts under scrutiny—the German experience | Full Text | References | PDF (632.7 KB)
  • 120 Views
  • 1 CrossRef citations
  • 0Altmetric
Article
The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market
Luis Muga & Rafael Santamaría
Pages: 637-650
Published online: 28 Nov 2007
AbstractforThe momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market | Full Text | References | PDF (159.7 KB)
  • 342 Views
  • 10 CrossRef citations
  • 0Altmetric
Article
Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets
Thomas C. Chiang, Lin Tan & Huimin Li
Pages: 651-667
Published online: 28 Nov 2007
AbstractforEmpirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets | Full Text | References | PDF (254.2 KB)
  • 253 Views
  • 16 CrossRef citations
  • 0Altmetric
Article
Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
Chaker Aloui
Pages: 669-685
Published online: 28 Nov 2007
AbstractforPrice and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period | Full Text | References | PDF (433.1 KB)
  • 781 Views
  • 43 CrossRef citations
  • 0Altmetric
Article
Testing asymmetry in financial time series
Francesco Lisi
Pages: 687-696
Published online: 28 Nov 2007
AbstractforTesting asymmetry in financial time series | Full Text | References | PDF (135 KB)
  • 264 Views
  • 13 CrossRef citations
  • 0Altmetric

Letter to the Editor

Letter
Comments on ‘A theory of non-Gaussian option pricing’
Gil Adams, Yuhua Yuan & Michael Kelly
Pages: 697-699
Published online: 28 Nov 2007
First Page PreviewforComments on ‘A theory of non-Gaussian option pricing’ | Full Text | PDF (81.5 KB)
  • 77 Views
  • 1 CrossRef citations
  • 0Altmetric

Erratum

Correction
A theory of non-Gaussian option pricing
Lisa Borland
Page: 701
Published online: 28 Nov 2007
AbstractforA theory of non-Gaussian option pricing | Full Text | References | PDF (55.1 KB)
  • 175 Views
  • 3 CrossRef citations
  • 0Altmetric

Errata

Correction
A non-Gaussian option pricing model with skew
Lisa Borland & Jean-Philippe Bouchaud
Page: 703
Published online: 28 Nov 2007
CitationforA non-Gaussian option pricing model with skew | Full Text | PDF (90.7 KB)
  • 95 Views
  • 3 CrossRef citations
  • 0Altmetric

Explore articles

Explore the most recently published articles

Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
Ruting Wang et al.
Article | Published online: 18 Jul 2024
Open Access
Spike and hike modeling for interest rate derivatives: with an application to SOFR caplets
Leif Andersen et al.
Article | Published online: 16 Jul 2024
Covariance matrix filtering and portfolio optimisation: the average oracle vs non-linear shrinkage and all the variants of DCC-NLS
Christian Bongiorno et al.
Article | Published online: 16 Jul 2024
Equity auction dynamics: latent liquidity models with activity acceleration
Mohammed Salek et al.
Article | Published online: 15 Jul 2024
View all latest articles