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The Economic Value of Realized Volatility : Using High-Frequency Returns for Option Valuation
Christoffersen, Peter F. - 2012
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...
Persistent link: https://www.econbiz.de/10013116276
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The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 3, pp. 663-697
Persistent link: https://www.econbiz.de/10010487742
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The economic value of realized volatility : using high-frequency returns for option valuation
Christoffersen, Peter F.; Feunou, Bruno; Jacobs, Kris; … - 2012
Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added. To do so we...
Persistent link: https://www.econbiz.de/10009627514
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Pricing and hedging derivative securities with neural networks and a homogeneity hint
Garcia, René; Gençay, Ramazan - In: Journal of econometrics 94 (2000) 1/2, pp. 93-115
Persistent link: https://www.econbiz.de/10001437747
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Risk aversion, intertemporal substitution, and option pricing
Garcia, René; Renault, Eric - 1998
Persistent link: https://www.econbiz.de/10000984192
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A note on hedging in ARCH and stochastic volatility option pricing models
Garcia, René - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 153-161
Persistent link: https://www.econbiz.de/10001242838
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Asymmetic smiles, leverage effects and structural parameters
Garcia, René; Luger, Richard; Renault, Eric - 2000
Persistent link: https://www.econbiz.de/10001549285
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Empirical assessment of an intertemporal option pricing model with latent variables
Garcia, René; Luger, Richard; Renault, Eric - 2000
Persistent link: https://www.econbiz.de/10001549287
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Empirical assessment of an intertemporal option pricing model with latent variables
Garcia, René; Luger, Richard; Renault, Eric - 2001
Persistent link: https://www.econbiz.de/10001614493
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Asymmetric smiles, leverage effects and structural parameters
Garcia, René; Luger, Richard; Renault, Eric - 2001
Persistent link: https://www.econbiz.de/10001614502