Search Results - subject:"volatility components"

A two-component realized exponential generalized autoregressive conditional heteroscedasticity model

Wu, Xinyu; Xia, Michelle; Zhang, Huanming - In: Journal of risk 24 (2022) 6, pp. 61-92

Persistent link: https://www.econbiz.de/10013549674

Directly pricing VIX futures : the role of dynamic volatility and jump intensity

Wang, Tianyi; Cheng, Sicong; Yin, Fangsheng; Yu, Mei - In: Applied economics 54 (2022) 32, pp. 3678-3694

Persistent link: https://www.econbiz.de/10013410814

Risk premia in the term structure of crude oil futures : long-run and short-run volatility components

Boyd, Naomi E.; Li, Bingxin; Liu, Rui - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1505-1533

Persistent link: https://www.econbiz.de/10013191983

Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels

Babaoglu, Kadir - 2017

We nest multiple volatility components, fat tails and a U-shaped pricing kernel in a single option model and compare …

Persistent link: https://www.econbiz.de/10012970627

Option valuation with volatility components, fat tails, and nonlinear pricing kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - 2015

Persistent link: https://www.econbiz.de/10011398641

The role of US variables in long-run and short-run Taiwan stock volatility

Chao, Shih-Wei - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 5, pp. 1153-1170

Persistent link: https://www.econbiz.de/10012210684

Modelling and forecasting unbiased extreme value volatility estimator : A study based on exchange rates with economic significance analysis

Kumar, Dilip - In: The journal of prediction markets 13 (2019) 1, pp. 3-28

Persistent link: https://www.econbiz.de/10012607570

Option valuation with volatility components, fat tails, and nonmonotonic pricing Kernels

Babaoğlu, Kadir; Christoffersen, Peter F.; Heston, … - In: Review of asset pricing studies 8 (2018) 2, pp. 183-231

Persistent link: https://www.econbiz.de/10012002169

Anticipating Long-Term Stock Market Volatility

Conrad, Christian; Loch, Karin - 2012

We investigate the relationship between long-term U.S. stock market risks and the macroeconomic environment using a two component GARCH-MIDAS model. Our results provide strong evidence in favor of counter-cyclical behavior of long-term stock market volatility. Among the various macro variables...

Persistent link: https://www.econbiz.de/10011422246

Anticipating Long-Term Stock Market Volatility

Conrad, Christian; Loch, Karin - Alfred-Weber-Institut für Wirtschaftswissenschaften, … - 2012

Persistent link: https://www.econbiz.de/10011264799