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~person:"Ornthanalai, Chayawat"
~subject:"ARCH model"
~subject:"Dynamische Wirtschaftstheorie"
~subject:"Economic dynamics"
~subject:"Stochastic process"
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ARCH model
Dynamische Wirtschaftstheorie
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Option pricing theory
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Ornthanalai, Chayawat
Christoffersen, Peter F.
38
Jacobs, Kris
18
Bollerslev, Tim
12
Diebold, Francis X.
12
Andersen, Torben
8
Heston, Steven L.
7
Andersen, Torben G.
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Feunou, Bruno
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Jeon, Yoontae
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Boloorforoosh, Ali
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Errunza, Vihang R.
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Journal of financial economics
3
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CREATES research paper
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The journal of derivatives : the official publication of the International Association of Financial Engineers
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ECONIS (ZBW)
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1
GARCH option valuation : theory and evidence
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2012
Persistent link: https://www.econbiz.de/10009667377
Saved in:
2
A comment on Christoffersen, Jacobs, and Ornthanalai (2012), "Dynamic jump intensities and risk premiums : evidence from S&P 500 returns and options"
Durham, Garland
;
Geweke, John
;
Ghosh, Pulak
- In:
Journal of financial economics
115
(
2015
)
1
,
pp. 210-214
Persistent link: https://www.econbiz.de/10011327221
Saved in:
3
GARCH option valuation : theory and evidence
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
The journal of derivatives : the official publication …
21
(
2013
)
2
,
pp. 8-41
Persistent link: https://www.econbiz.de/10010358127
Saved in:
4
Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
Saved in:
5
Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2010
Persistent link: https://www.econbiz.de/10009161203
Saved in:
6
Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
90
(
2008
)
3
,
pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
Saved in:
7
Exploring time-varying jump intensities : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
-
2008
Persistent link: https://www.econbiz.de/10003861266
Saved in:
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