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Thomas Busch

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First Name:Thomas
Middle Name:
Last Name:Busch
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RePEc Short-ID:pbu74
http://www.econ.au.dk/research/research-centres/creates/people/junior-fellows/thomas-busch/

Research output

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Jump to: Working papers Articles

Working papers

  1. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," CREATES Research Papers 2007-09, Department of Economics and Business Economics, Aarhus University.
  2. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2006. "The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps," Working Paper 1188, Economics Department, Queen's University.
  3. Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch, 2005. "Forecasting Exchange Rate Volatility In The Presence Of Jumps," Working Paper 1187, Economics Department, Queen's University.

Articles

  1. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, vol. 160(1), pages 48-57, January.
  2. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
  3. Busch, Thomas, 2005. "A robust LR test for the GARCH model," Economics Letters, Elsevier, vol. 88(3), pages 358-364, September.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (2) 2008-06-27 2008-10-21
  2. NEP-FOR: Forecasting (2) 2008-06-27 2008-10-21
  3. NEP-MST: Market Microstructure (2) 2008-06-27 2008-10-21
  4. NEP-ETS: Econometric Time Series (1) 2008-06-27
  5. NEP-FMK: Financial Markets (1) 2008-06-27

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