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JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004

This paper graphically demonstrates the significant impact of the observed financial market persistence, i.e., long term memory or dependence, on European option valuation. Many empirical researchers have observed non-Fickian degrees of persistence or long memory in the financial markets...

Persistent link: https://www.econbiz.de/10005561723

Long Memory Options: LM Evidence and Simulations

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory in the financial markets different from the...

Persistent link: https://www.econbiz.de/10005134830

Investing in mutual funds : are you paying for performance or for the ties of the manager?

Siriopoulos, Costas; Skaperda, Maria - In: Bulletin of applied economics 7 (2020) 2, pp. 153-164

Persistent link: https://www.econbiz.de/10012813848

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

Klein, Tony; Hien, Pham Thu; Walther, Thomas - 2018

BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …

Persistent link: https://www.econbiz.de/10014284447

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as the Black-Scholes and Hull-White formulas which...

Persistent link: https://www.econbiz.de/10010296646

Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

Persistent link: https://www.econbiz.de/10005440037

Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices

Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004

In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...

Persistent link: https://www.econbiz.de/10005063668

Using High Frequency Data to Calculate, Model and Forecast Realized Volatility

Oomen, Roel - Society for Computational Economics - SCE - 2001

, and, although it outperforms representative GARCH models, it does so with greater complexity and data intensiveness that … may not be worthwhile relative to GARCH's simplicity and flexibility. …

Persistent link: https://www.econbiz.de/10005706766

G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models

S»bastien Laurent; Peters, Jean-Philippe - Society for Computational Economics - SCE - 2001

univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of …

Persistent link: https://www.econbiz.de/10005132877

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2004

Persistent link: https://www.econbiz.de/10009219819