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Chu, Jeffrey - 2017

With the exception of Bitcoin, there appears to be little or no literature on GARCH modeling of cryptocurrencies. This paper provides the first GARCH modeling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency and their fits are assessed in terms of...

Persistent link: https://www.econbiz.de/10012946406

GARCH modelling of cryptocurrencies

Chu, Jeffrey; Chan, Stephen; Nadarajah, Saralees; … - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-15

With the exception of Bitcoin, there appears to be little or no literature on GARCH modelling of cryptocurrencies. This paper provides the first GARCH modelling of the seven most popular cryptocurrencies. Twelve GARCH models are fitted to each cryptocurrency, and their fits are assessed in terms...

Persistent link: https://www.econbiz.de/10011854856

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - In: Journal of banking & finance 34 (2010) 4, pp. 871-881

Persistent link: https://www.econbiz.de/10003966119

The information content of implied volatilities and model-free volatility expectations : evidence from options written on individual stocks

Taylor, Stephen; Yadav, Pradeep; Zhang, Yuanyuan - 2009

The volatility information content of stock options for individual firms is measured using option prices for 149 U.S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock returns, at-the-money implied volatilities and...

Persistent link: https://www.econbiz.de/10003857823

Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter

Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973

Persistent link: https://www.econbiz.de/10011860929

Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models

Choudhry, Taufiq; Hasan, Mohammad S.; Zhang, Yuanyuan - In: International journal of banking, accounting and finance 10 (2019) 1, pp. 67-100

Persistent link: https://www.econbiz.de/10012051118

Option valuation via nonaffine dynamics with realized volatility

Zhang, Yuanyuan; Zhang, Qian; Wang, Zerong; Wang, Qi - In: Journal of empirical finance 77 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10014578567

An econometric investigation of hedging performance of stock index futures in Korea : dynamic versus static hedging

Hasan, Mohammad S.; Choudhry, Taufiq; Zhang, Yuanyuan - In: International journal of banking, accounting and … 11 (2020) 2, pp. 227-253

Persistent link: https://www.econbiz.de/10012204571

VIX option pricing through nonaffine GARCH dynamics and semianalytical formula

Liu, Junting; Wang, Qi; Zhang, Yuanyuan - In: The journal of futures markets 44 (2024) 7, pp. 1189-1223

Persistent link: https://www.econbiz.de/10014553980