Anna Downarowicz

Affiliation not provided to SSRN
SCHOLARLY PAPERS

3

DOWNLOADS

514

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Forecasting Hedge Funds Volatility: A Markov Regime-Switching Approach

Number of pages: 45 Posted: 28 Feb 2011
Szabolcs Blazsek and Anna Downarowicz
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 223 (139,988)

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hedge fund indices, idiosyncratic return, Markov switching model, volatility forecasting

2.

Price Inefficiencies in Commodities-Linked Derivatives Markets: A Model-Free Analysis

Number of pages: 31 Posted: 20 Nov 2008
Alejandro Balbás, Anna Downarowicz and Javier Gil-Bazo
Universidad Carlos III de Madrid - Department of Business Administration, affiliation not provided to SSRN and Universitat Pompeu Fabra
Downloads 174 (176,078)
Citation 1

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commodities-linked derivatives, price effciency, options markets, portfolio global dominance

3.

Market Imperfections, Discount Factors and Global Dominance: An Empirical Analysis with Oil-Linked Derivatives

Number of pages: 33 Posted: 26 Feb 2008
Alejandro Balbás, Anna Downarowicz and Javier Gil-Bazo
Universidad Carlos III de Madrid - Department of Business Administration, affiliation not provided to SSRN and Universitat Pompeu Fabra
Downloads 117 (242,608)

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Stochastic Discount Factor, Markets with Frictions, Oil-Linked Derivatives