Details about 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

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 View citations (7)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (15)
   See also Journal Article The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets, Journal of Econometrics, Elsevier (2011) View citations (187) (2011)

2006

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

2005

3. Forecasting Exchange Rate Volatility In The Presence Of Jumps
   Working Paper, Economics Department, Queen's University 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 View citations (187)
   See also Working Paper The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets, Working Paper (2008) View citations (7) (2008)

2008

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

2005

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