3000, Chemin de la Côte-Sainte-Catherine
Montreal, Quebec H2X 2L3
in Total Papers Downloads
in Total Papers Citations
Volatility, Component Model, GARCH, Long Memory, Option Valuation, Affine, Normality
Kalman filtering, nonlinearity, term structure models, swaps, caps
Option valuation; Volatility; Macroeconomic risk; Business conditions; Mixed data sampling; GARCH
Convertible bonds, Risk-shifting, Asset substitution, Agency conflict, Financial distress, Asset volatility, Contingent claims
Bayesian Volatility Models, Stochastic Volatility, Generalized Autoregressive Conditional Heteroscedasticity Models, Long Memory in Volatility, Multifactor Volatility
Risk premiums; Idiosyncratic risk; Systematic risk; Tail risk; Option valuation; GARCH
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