Making covariance-based portfolio risk models sensitive to the rate at which markets reflect new information-Reference-Cited by-同舟云学术

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Making covariance-based portfolio risk models sensitive to the rate at which markets reflect new information

Published:2005 Issue: Volume: Page:249-261
ISSN:
Container-title:Linear Factor Models in Finance
language:
Short-container-title:

Author:

diBartolomeo Dan,Warrick Sandy

Publisher

Elsevier

Reference30 articles.

1. Pricing Currency Options with Scheduled and Unscheduled Announcement Effects on Volatility;Abraham;Managerial and Decision Economics,1993

2. Implied Volatility vs. GARCH: A Comparison of Forecasts;Bartunek;Managerial Finance,1995

3. Stochastic Covariance Estimation: A Principal Components Approach;Ball;Vanderbilt Working Paper, 1998,1998

4. The Pricing of Options and Corporate Liabilities;Black;Journal of Political Economy,1973

5. Economic Forces and the Stock Market;Chen;Journal of Business,1986

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