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Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes
Huang, Jing-zhi; Wu, Liuren - Econometric Society - 2004
index options, one needs to incorporate an infinite activity jump component in the underlying asset return process, and also …
Persistent link: https://www.econbiz.de/10005699646
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Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness
Tay, Anthony S.; Hashmi, Aamir R. - Econometric Society - 2004
conditional heteroskedasticity and time-varying conditional skewness, and permit mean, variance and skewness spillovers to be … about regional countries increases skewness spillovers …
Persistent link: https://www.econbiz.de/10005063746