Testing the Volatility Term Structure Using Option Hedging Criteria
By Robert F. Engle, Joshua V. Rosenberg. 2000
58 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/e9ed207d7fc8f1bdece83f7596dc2b0ef991189f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Robert F. Engle
- Andrew J. Patton
- Kevin Sheppard
- Christian M. Hafner
- N. Shephard
- George Filis
- Timo Teräsvirta
- Stavros Degiannakis *
In Finance
- Robert F. Engle
- Andrew J. Patton
- Kevin Sheppard
- Christian M. Hafner
- N. Shephard
- George Filis
- Timo Teräsvirta
- Stavros Degiannakis *
Citations in the corpus
- New frontiers for arch models (2002, methodology): “Engle and Rosenberg(2000) develop hedging parameters for GARCH models and Rosenberg and Engle(2001) jointly estimate the pricing kernel and the empirical GARCH density.”