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On asymptotically efficient estimation of conditional heteroskedasticity models

Wirjanto, Tony S. - 1992 - Rev. version

Persistent link: https://www.econbiz.de/10000898935

An empirical characteristic function approach to VaR under a mixture-of-normal distribution with time-varying volatility

Xu, Dinghai; Wirjanto, Tony S. - In: The journal of derivatives : the official publication … 18 (2010) 1, pp. 39-58

Persistent link: https://www.econbiz.de/10008655519

An empirical characteristic function approach to VaR under a mixture of normal distribution with time-varying volatility

Xu, Dinghai; Wirjanto, Tony S. - 2008

Persistent link: https://www.econbiz.de/10003975377

The applications of mixtures of normal distributions in empirical finance : a selected survey

Wirjanto, Tony S.; Xu, Dinghai - 2009

Persistent link: https://www.econbiz.de/10003975425

Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China

Wang, Donghua; Ding, Jin; Chu, Guoqing; Xu, Dinghai; … - In: Applied economics 53 (2021) 7, pp. 781-804

Persistent link: https://www.econbiz.de/10012416088

Forecasting value at risk with intra-day return curves

Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: International journal of forecasting 36 (2020) 3, pp. 1023-1038

Persistent link: https://www.econbiz.de/10012497181

Exploring volatility of crude oil intraday return curves : a functional GARCH-X model

Rice, Gregory; Wirjanto, Tony S.; Zhao, Yuqian - In: Journal of commodity markets 32 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014495589

An analytical approximation to the option formula for the GARCH model

Choi, Youngsoo - In: International review of financial analysis 14 (2005) 2, pp. 149-164

Persistent link: https://www.econbiz.de/10002738237

Information content in sneer asymmetry : an application to out-of-sample implied volatility forecasting

Choi, Youngsoo; Jordan, Steven J.; Lee, Wonchang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 34-51

Persistent link: https://www.econbiz.de/10011404184

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543