Browse By Person: Becker, Ralf
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Number of items: 9.
Bardsen, Gunnar, Becker, Ralf, & Hurn, Aubrey (2004) The Impact of Monetary Policy in the UK on the Relationship between the Term Structure of Interest Rates and Future Inflation. In Becker, R & Hurn, S (Eds.) Contemporary Issues in Economics and Econometrics. Edward Elgar Publishing, Cheltenham, United Kingdom, pp. 147-161.
Becker, Ralf, Clements, Adam, & McClelland, Andrew (2009) The jump component of S&P 500 volatility and the VIX index. Journal of Banking and Finance, 33(6), pp. 1033-1038.
Becker, Ralf & Clements, Adam (2008) Are combination forecasts of S&P 500 volatility statistically superior? International Journal of Forecasting, 24(1), pp. 122-133.
Becker, Ralf, Clements, Adam E., & White, Scott I. (2007) Does implied volatility provide any information beyond that captured in model-based volatility forecasts? Journal of Banking & Finance, 31(8), pp. 2535-2549.
Becker, Ralf, Clements, Adam E., & White, Scott I. (2006) On the informational efficiency of S&P500 implied volatility. The North American Journal of Economics and Finance, 17(2), pp. 139-153.
Becker, Ralf, Enders, Walter, & Hurn, Stanley (2004) A general test for time dependence in parameters. Journal of Applied Econometrics, 19(7), pp. 899-906.
Becker, Ralf, Clements, Adam, & Curchin, James (2008) How does implied volatility differ from model based volatility forecasts? In Robinson, T, Christensen, M, & Fletcher, A (Eds.) Proceedings of the 16th Annual Conference on Pacific Basin Finance, Economics, Accounting, and Management, 2-4 July 2008, Australia, Queensland, Brisbane.
Becker, Ralf & Hurn, Stan (2001) Using Discreet-Time Techniques to test Continuous-Time Models for Nonlinearity Drift. In Canberra, A (Ed.) MODSIM 2001 International Conference on Modelling and Simulation, Proceedings, 10-13 December 2001.
Becker, Ralf (2001) Testing for nonlinear structure in time-series data. PhD thesis, Queensland University of Technology.