Nicholas Sarantis

London Metropolitan University - Department of Economics, Finance and International Business (EFIB)

Economics Subject Group, LMBS

London EC2M 6SQ, EC2M 6SQ

United Kingdom

SCHOLARLY PAPERS

2

DOWNLOADS

382

SSRN CITATIONS

3

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation

Number of pages: 30 Posted: 06 Mar 2007 Last Revised: 26 Mar 2008
Neil Kellard, Christian Dunis and Nicholas Sarantis
University of Essex - Essex Business School, John Moores University - Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 209 (270,060)
Citation 5

Abstract:

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market efficiency, traded volatility, narrow band least squares, fractional cointegration, bootstrap

2.

Explaining Bias in the Foreign Exchange Market: The Case of Traded Volatility and Fractional Cointegration

Number of pages: 36 Posted: 14 May 2004
Neil Kellard and Nicholas Sarantis
University of Essex - Essex Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 173 (319,959)

Abstract:

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market efficiency, traded volatility, fractional cointegration, Monte Carlo simulation, risk premium

Other Papers (1)

Total Downloads: 132
1.

Foreign Exchange, Fractional Cointegration and the Implied-Realised Volatility Relation

Number of pages: 26 Posted: 04 Mar 2005
Neil Kellard, Christian Dunis and Nicholas Sarantis
University of Essex - Essex Business School, John Moores University - Business School and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Downloads 132

Abstract:

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market efficiency, traded volatility, fractional cointegration