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Details about Thomas Busch

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Homepage:http://www.econ.au.dk/research/research-centres/creates/people/junior-fellows/thomas-busch/

Access statistics for papers by Thomas Busch.

Last updated 2015-06-06. Update your information in the RePEc Author Service.

Short-id: pbu74


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Working Papers

2008

  1. The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets
    Working Paper, Economics Department, Queen's University Downloads View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (15)

    See also Journal Article in Journal of Econometrics (2011)

2006

  1. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps
    Working Paper, Economics Department, Queen's University Downloads View citations (2)

2005

  1. Forecasting Exchange Rate Volatility In The Presence Of Jumps
    Working Paper, Economics Department, Queen's University Downloads View citations (6)

Journal Articles

2011

  1. The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
    Journal of Econometrics, 2011, 160, (1), 48-57 Downloads View citations (90)
    See also Working Paper (2008)

2008

  1. Testing the martingale restriction for option implied densities
    Review of Derivatives Research, 2008, 11, (1), 61-81 Downloads View citations (1)

2005

  1. A robust LR test for the GARCH model
    Economics Letters, 2005, 88, (3), 358-364 Downloads View citations (4)
 
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