A conditional autoregressive range model with gamma distribution for financial volatility modelling
Year of publication: |
August 2017
|
---|---|
Authors: | Xie, Haibin ; Wu, Xinyu |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 64.2017, p. 349-356
|
Subject: | CARR | Gamma distribution | GCARR | Price range | Volatility | Volatilität | Statistische Verteilung | Statistical distribution | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model |
-
Forecasting volatility with component conditional autoregressive range model
Wu, Xinyu, (2020)
-
Skewed generalized error distribution of financial assets and option pricing
Theodossiou, Panayiotis, (2015)
-
Model-based pricing for financial derivatives
Zhu, Ke, (2015)
- More ...
-
Volatility forecasting using stochastic conditional range model with leverage effect
Wu, Xinyu, (2019)
-
Forecasting VIX with time-varying risk aversion
Wu, Xinyu, (2023)
-
Probability weighting functions obtained from Hong Kong index option market
Wu, Xinyu, (2019)
- More ...