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Modeling time series information into option prices : an empirical evaluation of statistical projection and GARCH option pricing model
Chen, An-sing; Leung, Mark T. - In: Journal of banking & finance 29 (2005) 12, pp. 2947-2969
Persistent link: https://www.econbiz.de/10003203805
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Switching asymmetric GARCH and options on a volatility index
Daouk, Hazem; Guo, Jie Qun - In: The journal of futures markets 24 (2004) 3, pp. 251-282
Persistent link: https://www.econbiz.de/10001968654
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Is unlevered firm volatility asymmetric?
Daouk, Hazem; Ng, David Tat-chee - In: Journal of empirical finance 18 (2011) 4, pp. 634-651
Persistent link: https://www.econbiz.de/10009306538
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Time-varying variance scaling : application of the fractionally integrated ARMA model
Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012117796