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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...
Persistent link: https://www.econbiz.de/10011476532
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Realized volatility, jump and beta : evidence from Canadian stock market
Gajurel, Dinesh; Chowdhury, Biplob - 2020
Persistent link: https://www.econbiz.de/10012317084
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010438059
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10010384390
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10010477092
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386124
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Forecasting variance using stochastic volatility and GARCH
Hansson, Björn A.; Hördahl, Peter - 1998
Persistent link: https://www.econbiz.de/10000981021
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Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
Persistent link: https://www.econbiz.de/10000997987